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Acedański Jan (Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach)
Ceny akcji w wybranych modelach DSGE z sektorem produkcji
Stock Prices in DSGE Models with Production
Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach, 2009, nr 57, s. 9-36, tab., bibliogr. 44 poz.
Issue title
Ryzyko w procesach gospodarczych, społecznych i inwestycjach kapitałowych
Model dynamicznej stochastycznej równowagi ogólnej, Ceny akcji, Modele stochastyczne, Ryzyko gospodarcze
Dynamic Stochastic General Equilibrium (DSGE), Shares prices, Stochastic models, Economic exposure
Celem artykułu jest zbadanie, w jakim stopniu współczesne modele są w stanie łącznie wyjaśniać wahania kategorii makroekonomicznych, kształtowanie się cen akcji oraz ich wzajemne powiązania. (fragment tekstu)

The paper investigates to what extent contemporary macroeconomic models are able to explain jointly macroeconomic aggregate fluctuations, stock prices and their links. Especially, it focuses on the excess return predictability and leading indicator properties. Standard RBC and classic Jermann's model as well as the new ideas: long-memory habits, long-run consumption risk and consumers' heterogeneity have been analysed. It is shown that usually the level an d volatility moments of the main variables generated by the models are close to their empirical counterparts whereas moments referring to the predictability and leading indicators differ significantly from observations.(original abstract)
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Full text
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