纽约大学助理教授Jaroslav Borovicka:通过资产定价的镜头研究宏观经济模型

 

【主题】通过资产定价的镜头研究宏观经济模型
【主讲人】Jaroslav Borovicka,助理教授,纽约大学
【时间】2014-03-31(周一)10:30—12:00
【地点】清华经管学院伟伦楼501
【语言】英语
【主办】金融系
【目标听众】博士生,硕士生以及经管学院教师
 
Abstract
 
We develop new methods for representing the asset-pricing implications of stochastic general equilibrium models. We provide asset-pricing counterparts to impulse response functions and the resulting dynamic value decompositions (DVDs). These methods quantify the exposures of macroeconomic cash flows to shocks over alternative investment horizons and the corresponding prices or investors’ compensations. We extend the continuous-time methods developed in Hansen and Scheinkman (2012) and Boroviˇcka et al. (2011) by constructing discrete-time, state-dependent, shock-exposure and shock-price elasticities as functions of the investment horizon. Our methods are applicable to economic models that are nonlinear, including models with stochastic volatility.