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Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique

Listed author(s):
  • Julien Matheron
  • Kevin E. Beaubrun-Diant

[eng] This review of the literature presents the main tools and results of research at the crossroads between finance and macroeconomics. The literature seeks to jointly analyze the economic cycle and fluctuations in financial-asset prices. Our article follows this approach : we offer a critical analysis of the modeling mechanisms that should be factored into a DSGE model so as to make it compatible with the stylized facts of asset returns without necessarily sacrificing to the facts of the economic cycle. [fre] Cette revue de la littérature présente les principaux outils et résultats de la recherche se situant à l’intersection de la finance et de la macroéconomie. L’ambition de cette littérature est de fournir une analyse conjointe du cycle économique et des fluctuations des prix d’actifs financiers. Cet article adopte cette perspective et propose une analyse critique des mécanismes de modélisation à prendre en considération dans un modèle DSGE, afin que celui-ci soit compatible avec les faits stylisés des rentabilités des actifs financiers sans pour autant sacrifier aux faits du cycle économique.

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File URL: http://dx.doi.org/doi:10.3406/ecop.2008.7805
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File URL: http://www.persee.fr/doc/ecop_0249-4744_2008_num_183_2_7805
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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 183 (2008)
Issue (Month): 2 ()
Pages: 35-63

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_2008_num_183_2_7805
Note: DOI:10.3406/ecop.2008.7805
Contact details of provider: Web page: http://www.persee.fr/collection/ecop

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