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

Author

Listed:
  • Kevin Elie Beaubrun-Diant

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Julien Matheron

Abstract

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.

Suggested Citation

  • Kevin Elie Beaubrun-Diant & Julien Matheron, 2006. "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Working Papers hal-04138877, HAL.
    • Handle: RePEc:hal:wpaper:hal-04138877
    Note: View the original document on HAL open archive server: https://hal.science/hal-04138877
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    References listed on IDEAS

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    1. Jean-Guillaume Sahuc & Stéphane Moyen, 2008. "Le modèle d'équilibre général de la « Nouvelle synthèse » : quelles hypothèses retenir ?," Économie et Prévision, Programme National Persée, vol. 183(2), pages 15-34.
    2. Dominique Pépin, 2010. "L'évaluation du prix des actions par les fondamentaux : analyse du marché français," Economie & Prévision, La Documentation Française, vol. 0(4), pages 83-98.
    3. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.

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    More about this item

    Keywords

    Fluctuations économiques; Prime de risque des actions; Formation d'habitudes; coût d'ajustement.;
    All these keywords.

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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