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Full-Text Articles in Macroeconomics
Surplus Consumption, Habit Utility And Moody Investors, Jun Lou
Surplus Consumption, Habit Utility And Moody Investors, Jun Lou
Dissertations, Theses, and Capstone Projects
The thesis examines a blend of Asset Pricing topics: joint stock-bond pricing, consumption-based asset pricing puzzles, time variation in risk preference, among others. In chapter one, I first review the literature on respective topics in search of a consolidated framework of resolution. I then propose one, a consumption-based affine model that jointly prices bond and stock in closed form. The tractable feature of the price solutions remains standard as in affine termstructure of interest rates, but presents novelty for the stock prices. In chapter two, I discuss the GMM based procedures for model estimation. In chapter three, I interpret the …