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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. Finn, Mary G. & Hoffman, Dennis L. & Schlagenhauf, Don E., 1990. "Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis," Journal of Monetary Economics, Elsevier, vol. 25(3), pages 431-451, June.
  2. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  3. 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.
  4. Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.
  5. 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.
  6. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
  7. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  8. 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.
  9. Gurdip S. Bakshi & Zhiwu Chen, . "Equilibrium Valuation of Foreign Exchange Claims," Research in Financial Economics 9510, Ohio State University.
  10. Lucas, Robert E, Jr & Stokey, Nancy L, 1987. "Money and Interest in a Cash-in-Advance Economy," Econometrica, Econometric Society, vol. 55(3), pages 491-513, May.
  11. 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.
  12. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
  13. Carl E. Walsh, 2003. "Monetary Theory and Policy, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232316, June.
  14. 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.
  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. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
  17. 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.
  18. Bakshi, Gurdip S & Chen, Zhiwu, 1996. "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 241-75.
  19. 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.
  20. 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.
  21. Robert J. Hodrick & Narayana Kocherlakota & Deborah Lucas, 1989. "The Variability of Velocity in Cash-In-Advance Models," NBER Working Papers 2891, National Bureau of Economic Research, Inc.
  22. Day, Theodore E, 1984. " Real Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 39(2), pages 493-502, June.
  23. 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.
  24. John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
  25. Stulz, Rene M, 1986. " Asset Pricing and Expected Inflation," Journal of Finance, American Finance Association, vol. 41(1), pages 209-23, March.
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