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IF 7.5 1区经济学 Q1 ECONOMICS

Nber Macroeconomics Annual Pub Date : 2019-01-01 DOI:10.1086/700905

R. Hall

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引用次数: 0

摘要

Koslowski、Veldkamp和Venkateswaran的这篇巧妙的论文开发了一个由两个主要组件组成的模型。第一个根源于资产定价的金融经济学。它描述了一种将糟糕的金融经历与长期低风险利率联系起来的机制。第二个根源在于企业融资。它考虑了金融机构和市场的特征，这些特征解释了为什么安全资产在糟糕时期的价值增长比标准资产定价模型中的价值增长更大。我将从探索简单的两个时期、两个州的Lucas（1978）资产定价模型开始，以了解理解风险和无风险资产定价的挑战。投资者家庭现在可以获得1个单位的捐赠，未来可以获得两个可能值的随机捐赠，即状态1和2中的c1和c2。状态1是正常的，状态2是消耗低得多的灾难。这两个消耗水平的概率分别为1p和p。这两个可能的消费值受到限制，使得预期的消费增长处于指定的速率g：

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Comment

This ingenious paper by Koslowski, Veldkamp, and Venkateswaran develops a model with two main components. The first is rooted in the financial economics of asset pricing. It describes amechanism linking bad financial experiences to lengthy periods of low riskless interest rates. The second is rooted in corporate finance. It considers features of financial institutions and markets that explain why safe assets enjoy a larger increase in value in bad times than is captured in standard asset pricing models. I will start by exploring the simple two-period, two-state Lucas (1978) model of asset pricing to develop a sense of the challenges in understanding the pricing of risky and riskless assets. Investor households receive 1 unit of endowment to consume now and a random endowment with two possible values to consume in the future, c1 and c2 in states 1 and 2. State 1 is normal and state 2 is a disasterwith considerably lower consumption. The probabilities of the two consumption levels are 1 p and p, respectively. These two values of possible consumption are constrained so that expected consumption growth is at a designated rate g:

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来源期刊

Nber Macroeconomics Annual ECONOMICS-

CiteScore

5.10

自引率

0.00%

发文量

期刊介绍： The Nber Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields.