Topic
Intertemporal equilibrium
About: Intertemporal equilibrium is a research topic. Over the lifetime, 238 publications have been published within this topic receiving 9197 citations.
Papers published on a yearly basis
Papers
TL;DR: The authors examined the relationship between terms of trade and business cycles using a three-sector intertemporal equilibrium model and a large multicountry database and found that terms-of-trade shocks account for nearly one-half of actual GDP variability.
Abstract: This paper examines the relationship between terms of trade and business cycles using a three-sector intertemporal equilibrium model and a large multicountry database. Results show that terms-of-trade shocks account for nearly one-half of actual GDP variability. The model explains weak correlations between net exports and terms of trade (the Harberger, Laursen, and Metzler effect), and produces large and weakly correlated deviations from purchasing power parity and real interest rate parity. Terms-of-trade shocks cause real appreciations and positive interest differentials, although productivity shocks have opposite effects. The puzzle that welfare gains of international asset trading are negligible is left unresolved. Copyright 1995 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
1,199 citations
TL;DR: In this paper, the authors argue for a closer link between the modelling of the long-run relations in applied economics and the intertemporal equilibrium notion from economic theory, and argue that the long run relations in economics can be modelled in the same way as in applied applied economics.
Abstract: This argues for a closer link between the modelling of the long-run relations in applied economics and the intertemporal equilibrium notion from economic theory.(This abstract was borrowed from another version of this item.)
819 citations
Posted Content•
TL;DR: This paper used an asymptotic principal component technique to estimate pervasive factors influencing asset returns and to test the restrictions imposed by static and intertemporal equilibrium versions of the arbitrage pricing theory (APT) on a multivariate regression model.
Abstract: We use an asymptotic principal Components technique to estimate pervasive factors influencing asset returns and to test the restrictions imposed by static and intertemporal equilibrium versions of the arbitrage pricing theory (APT) on a multivariate regression model. The empirical techniques allow for fairly arbitrary time variation in risk premiums. We find that the APT provides a better description of the expected returns on assets than the capital asset pricing model (CAPM). However, some statistically reliable mipricing of assets by the APT remains.
602 citations
Posted Content•
TL;DR: A survey of the field of asset pricing can be found in this paper, where the emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return.
Abstract: This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance.
582 citations
TL;DR: This paper used an asymptotic principal components technique to estimate the pervasive factors influencing asset returns and to test the restrictions imposed by static and intertemporal equilibrium versions of the arbitrage pricing theory (APT) on a multivariate regression model.
479 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 3 |
| 2019 | 2 |
| 2018 | 5 |
| 2017 | 7 |
| 2016 | 6 |