BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Acedański Jan (Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach)
Tytuł
Ceny akcji w wybranych modelach DSGE z sektorem produkcji
Stock Prices in DSGE Models with Production
Źródło
Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach, 2009, nr 57, s. 9-36, tab., bibliogr. 44 poz.
Tytuł własny numeru
Ryzyko w procesach gospodarczych, społecznych i inwestycjach kapitałowych
Słowa kluczowe
Model dynamicznej stochastycznej równowagi ogólnej, Ceny akcji, Modele stochastyczne, Ryzyko gospodarcze
Dynamic Stochastic General Equilibrium (DSGE), Shares prices, Stochastic models, Economic exposure
Uwagi
summ.
Abstrakt
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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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  24. Goyal A., Welch I.: A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. "Review of Financial Studies" 2008, Vol. 21 (4).
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Cytowane przez
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ISSN
2083-8603
Język
pol
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