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- W2034608560 abstract "Abstract I examine asset returns in the context of real dynamic stochastic general equilibrium economies with multiple equilibria (indeterminacy) that allow for aggregate fluctuations due to non‐fundamental belief shocks. The two models include habit formation in preferences. Model 1 combines restrictions on factor mobility and adjustment costs in a one‐sector economy. Model 2 uses restrictions on factor mobility in a two‐sector economy. Results demonstrate that Model 1 fails to match the stylized financial facts. Model 2 replicates the low risk‐free rate and the standard deviation of the return on the risk‐free asset, but underestimates the equity premium and standard deviation of the return on equity." @default.
- W2034608560 created "2016-06-24" @default.
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- W2034608560 date "2009-09-12" @default.
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- W2034608560 title "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations" @default.
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- W2034608560 doi "https://doi.org/10.1016/j.rfe.2009.08.001" @default.
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