Journal article
Equilibrium Modeling of Asset Prices: Rationality Versus Rules of Thumb
Journal of business & economic statistics, Vol.8(1), pp.115-125
01/01/1990
DOI: 10.1080/07350015.1990.10509781
Abstract
General equilibrium models with representative agents have proved to be inadequate descriptions of U.S. financial data. I present a model with heterogeneous agents, optimizers, and nonoptimizers that exhibits high stock-price volatility and mimics empirical regularities found in U.S. consumption, stock return, and three-month treasury-bill return data. The simulation and estimation of the model are performed using a new technique called "backsolving," which is of independent interest to researchers attempting to solve nonlinear, stochastic models.
Details
- Title: Subtitle
- Equilibrium Modeling of Asset Prices: Rationality Versus Rules of Thumb
- Creators
- Beth Fisher Ingram - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of business & economic statistics, Vol.8(1), pp.115-125
- DOI
- 10.1080/07350015.1990.10509781
- ISSN
- 0735-0015
- eISSN
- 1537-2707
- Publisher
- Taylor & Francis Group
- Number of pages
- 11
- Language
- English
- Date published
- 01/01/1990
- Academic Unit
- Economics
- Record Identifier
- 9984962894702771
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