Parent Category: Article
Equity Returns and Business Cycles in Small Open Economies.
|Title||Equity Returns and Business Cycles in Small Open Economies. ||Author(S)||MOHAMMAD R. JAHAN-PARVAR, (Author) |
|Abstract|| This is the first paper in the dynamic stochastic general equilibrium literature to match key business cycle moments and long-run equity returns in a small open economy with production. These results are achieved by introducing four modifications to a standard real business cycle model: (i) borrowing and lending costs are imposed to increase the volatility of the marginal rate of substitution over time, (ii) capital adjustment costs are assumed to make equity returns more volatile, (iii) GHH preferences are employed to smooth consumption, and (iv) a working capital constraint to generate countercyclical trade balances. Our results. ...||Pagination||p 1117-1146|
|Subject||Economics||Descriptors||Banks and banking|
|Journal Title||Journal of Money, Credit, and Banking|| || |
|Permanent Links||click here|| || |