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Asset Prices in Affine Real Business Cycle Models

We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quan...

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Bibliographic Details
Main Author: Shamloo, Maral
Other Authors: Malkhozov, Aytek
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2010
Series:IMF Working Papers
Subjects:
Business Cycles
Inflation
Wealth
Labour; Income Economics
Productivity
Saving
Deflation
Industrial Productivity
Labor
Asset Prices
Macroeconomics: Production
Price Level
Consumption; Economics
Labor Economics: General
Economic Growth
Consumption
Prices
Macroeconomics
Macroeconomics: Consumption
Prices, Business Fluctuations, And Cycles: General (includes Measurement And Data)
Production And Operations Management
Labor Economics
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest
Physical Description:42 pages
ISBN:9781455209491

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