Advanced Search
MyIDEAS: Login to save this article or follow this journal

Equilibrium Modeling of Asset Prices: Rationality versus Rules of Thumb

Contents:

Author Info

  • Ingram, Beth Fisher

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.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 8 (1990)
Issue (Month): 1 (January)
Pages: 115-25

as in new window
Handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:115-25

Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main

Order Information:
Web: http://www.amstat.org/publications/index.html

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Rodepeter, Ralf & Winter, Joachim, 1999. "Rules of thumb in life-cycle savings models," Sonderforschungsbereich 504 Publications 99-81, Sonderforschungsbereich 504, Universit├Ąt Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  2. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  3. B. Ravikumar & Enchuan Shao, 2010. "Search Frictions and Asset Price Volatility," Working Papers 10-1, Bank of Canada.
  4. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
  5. Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Discussion Paper / Institute for Empirical Macroeconomics 91, Federal Reserve Bank of Minneapolis.
  6. Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
  7. Krusell, Per & Smith, Anthony Jr., 1996. "Rules of thumb in macroeconomic equilibrium A quantitative analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 527-558, April.
  8. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
  9. K.Schmedders & F.Kubler, 2004. "Approximate Versus Exact Equilibria," Computing in Economics and Finance 2004 46, Society for Computational Economics.
  10. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  11. Lettau, M. & Uhlig, H., 1995. "Rule of Thumb and Dynamic Programming," Discussion Paper 1995-27, Tilburg University, Center for Economic Research.
  12. Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:115-25. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.