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Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy

  • Balduzzi, Pierluigi

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 8 (August)
Pages: 2713-2743

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Handle: RePEc:eee:dyncon:v:31:y:2007:i:8:p:2713-2743
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
  2. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
  3. Robert E. Lucas, Jr. & Nancy L. Stokey, 1985. "Money and Interest in a Cash-in-Advance Economy," NBER Working Papers 1618, National Bureau of Economic Research, Inc.
  4. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
  5. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  6. Balduzzi, Pierluigi & Foresi, Silverio & Hait, David J., 1997. "Price Barriers and the Dynamics of Asset Prices in Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 137-159, June.
  7. Carl E. Walsh, 2003. "Monetary Theory and Policy, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232316, June.
  8. Gurdip S. Bakshi & Zhiwu Chen, 1998. "Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies," Yale School of Management Working Papers ysm44, Yale School of Management.
  9. Hodrick, Robert J & Kocherlakota, Narayana R & Lucas, Deborah, 1991. "The Variability of Velocity in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 358-84, April.
  10. John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
  11. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
  12. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  13. LeRoy, Stephen F, 1984. "Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks," The Journal of Business, University of Chicago Press, vol. 57(2), pages 197-213, April.
  14. Bakshi, Gurdip S & Chen, Zhiwu, 1997. " Equilibrium Valuation of Foreign Exchange Claims," Journal of Finance, American Finance Association, vol. 52(2), pages 799-826, June.
  15. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
  16. Finn, M.G. & Hoffman, D.L. & Schlagenhauf, D.E., 1989. "Intertemporal Asset-Pricing Relationships In Barter And Monetary Economies: An Empirical Analysis," RCER Working Papers 208, University of Rochester - Center for Economic Research (RCER).
  17. Lee, Bong-Soo, 1989. "Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship," Journal of Economic Dynamics and Control, Elsevier, vol. 13(4), pages 499-531, October.
  18. Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004. "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers 388, Society for Economic Dynamics.
  19. Day, Theodore E, 1984. " Real Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 39(2), pages 493-502, June.
  20. Feenstra, Robert C, 1985. "Anticipated Devaluations, Currency Flight, and Direct Trade Controls in a Monetary Economy," American Economic Review, American Economic Association, vol. 75(3), pages 386-401, June.
  21. Marshall, David A, 1992. " Inflation and Asset Returns in a Monetary Economy," Journal of Finance, American Finance Association, vol. 47(4), pages 1315-42, September.
  22. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-71, December.
  23. Stulz, Rene M, 1986. " Asset Pricing and Expected Inflation," Journal of Finance, American Finance Association, vol. 41(1), pages 209-23, March.
  24. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  25. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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