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Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model

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  • Donaldson, John B
  • Mehra, Rajnish

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 51 (1984)
Issue (Month): 3 (July)
Pages: 491-508

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Handle: RePEc:bla:restud:v:51:y:1984:i:3:p:491-508

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Cited by:
  1. Basak, Suleyman, 1999. "On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 1029-1064, June.
  2. Kikuchi, Tomoo, 2008. "International asset market, nonconvergence, and endogenous fluctuations," Journal of Economic Theory, Elsevier, vol. 139(1), pages 310-334, March.
  3. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  4. Peng, Yajun & Shawky, Hany, 1997. "Productivity shocks and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 303-316.
  5. Robert B. Barsky, 1986. "Why Don't the Prices of Stocks and Bonds Move Together?," NBER Working Papers 2047, National Bureau of Economic Research, Inc.
  6. Ellen R. McGrattan & Edward C. Prescott, 2004. "Taxes, Regulations, and the Value of U.S. and U.K. Corporations," Levine's Bibliography 122247000000000715, UCLA Department of Economics.
  7. Basak, Suleyman, 2002. "A comparative study of portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1217-1241, July.
  8. Jack Favilukis, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics 24500, London School of Economics and Political Science, LSE Library.
  9. Shawky, Hany & Peng, Yajun, 1995. "Expected stock returns, real business activity and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 4(2-3), pages 143-154.
  10. Rajnish Mehra & Edward C. Prescott, 1982. "A test of the intertemporal asset pricing model," Staff Report 81, Federal Reserve Bank of Minneapolis.
  11. Dominique Pepin, 2014. "Asset Prices and Risk Aversion," Papers 1403.0851, arXiv.org.
  12. Rajnish Mehra, 2013. "Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy," NBER Working Papers 19146, National Bureau of Economic Research, Inc.
  13. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
  14. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  15. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938 Elsevier.

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