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- W2014397330 abstract "Within the context of a stochastic growth economy, the shocks to technology are modeled as a four-state Markov process. The parameters of this process are chosen so that the implied conditional distributions for the marginal product of capital can be ordered in terms of first- and second-order stochastic dominance. This characterization of time-varying uncertainty is then used to analyze numerically the implications for bond and equity prices. Our primary finding is that the response of asset price to an increase in technological uncertainty may differ substantially in this production economy relative to that observed in an exchange setting (as recently studied by Barsky 1989 and Abel l988). This difference is due to the endogenous behavior of consumption and capital gains and depends critical on technological shocks exhibiting positive autocorrelation." @default.
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- W2014397330 date "1993-05-01" @default.
- W2014397330 modified "2023-09-25" @default.
- W2014397330 title "Time-Varying Technological Uncertainty and Asset Prices" @default.
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- W2014397330 doi "https://doi.org/10.2307/135916" @default.
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