IDEAS home Printed from https://ideas.repec.org/a/ila/anaeco/v27y2012i2p3-51.html
   My bibliography  Save this article

Introducing Financial Assets Into Structural Models

Author

Listed:
  • Jorge Fornero

    (Banco Central de Chile)

Abstract

This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to the third order, meaning that returns depend on the first three conditional moments. We obtain a hypothetic yield curve whose curvature increases with the order of the approximation because of the premiums. In addition, impulse response functions of various fundamental shocks illustrate the effect on the level and slope of bond yields with several maturities and on breakeven inflation. Important shocks are technology and inflation target shocks

Suggested Citation

  • Jorge Fornero, 2012. "Introducing Financial Assets Into Structural Models," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 27(2), pages 3-51, October.
    • Handle: RePEc:ila:anaeco:v:27:y:2012:i:2:p:3-51
    as

    Download full text from publisher

    File URL: http://www.rae-ear.org/index.php/rae/article/view/362
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    financial assets; DSGE; business cycle; monetary policy;
    All these keywords.

    JEL classification:

    • H22 - Public Economics - - Taxation, Subsidies, and Revenue - - - Incidence
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ila:anaeco:v:27:y:2012:i:2:p:3-51. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mauricio Tejada (email available below). General contact details of provider: https://edirc.repec.org/data/deilacl.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.