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Equilibrium term structure relations of risky assets in incomplete markets

  • Eckwert, Bernhard
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-45FY52M-2G/2/f1a18cd1c7b8752fab2fd52cd8ee5025
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 36 (1996)
    Issue (Month): 3 ()
    Pages: 327-346

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    Handle: RePEc:eee:quaeco:v:36:y:1996:i:3:p:327-346
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
    2. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    3. Jones, David S. & Vance Roley, V., 1983. "Rational expectations and the expectations model of the term structure : A test using weekly data," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 453-465, September.
    4. Dunn, Kenneth B. & Singleton, Kenneth J., 1986. "Modeling the term structure of interest rates under non-separable utility and durability of goods," Journal of Financial Economics, Elsevier, vol. 17(1), pages 27-55, September.
    5. Cass, David & Okuno, Masahiro & Zilcha, Itzhak, 1979. "The role of money in supporting the pareto optimality of competitive equilibrium in consumption-loan type models," Journal of Economic Theory, Elsevier, vol. 20(1), pages 41-80, February.
    6. T. J. Kehoe & D. K. Levine, 1983. "Regularity in Overlapping Generations Exchange Economies," Working papers 314, Massachusetts Institute of Technology (MIT), Department of Economics.
    7. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
    8. Campbell, Tim S & Marino, Anthony M, 1994. "Myopic Investment Decisions and Competitive Labor Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(4), pages 855-75, November.
    9. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
    10. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-43, June.
    11. Balasko, Yves & Cass, David & Shell, Karl, 1980. "Existence of competitive equilibrium in a general overlapping-generations model," Journal of Economic Theory, Elsevier, vol. 23(3), pages 307-322, December.
    12. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October.
    13. N. Gregory Mankiw & Lawrence H. Summers, 1987. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," NBER Working Papers 1345, National Bureau of Economic Research, Inc.
    14. Richard Startz, . "Do Forecast Errors or Term Premia Really Make the Difference Between Long and Short Rates?," Rodney L. White Center for Financial Research Working Papers 8-81, Wharton School Rodney L. White Center for Financial Research.
    15. 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.
    16. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    17. Sandmo, Agnar, 1969. "Capital Risk, Consumption, and Portfolio Choice," Econometrica, Econometric Society, vol. 37(4), pages 586-99, October.
    18. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
    19. 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.
    20. Fama, Eugene F., 1984. "Term premiums in bond returns," Journal of Financial Economics, Elsevier, vol. 13(4), pages 529-546, December.
    21. Bernhard Eckwert, 1992. "Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 47-60.
    22. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
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