This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset pr...This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset prices and derive a familiar principal partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in economy.展开更多
With the acceleration of economic globalization and financial liberalization,factors of asset prices such as stock,bond and real estate and so on become important economic variables that affect inflation. After a brie...With the acceleration of economic globalization and financial liberalization,factors of asset prices such as stock,bond and real estate and so on become important economic variables that affect inflation. After a brief review of the latest literature,this paper analyzes the specific conduction mechanism from different aspects of consumption,investment,credit and exchange rate channels in which asset prices affect inflation. Then,this paper analyzes the monthly data from January,2002 to December,2013 with the PLS method(partial least squares regression method)and discusses whether a structural change has taken place in the inflation mechanism during this period. Finally,policy recommendations are provided.展开更多
This paper investigates testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model with the spirit of capitalism in which intertemporal preference is rep...This paper investigates testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model with the spirit of capitalism in which intertemporal preference is represented by a utility function that generalizes conventional, time-additive, expected utility. In the recursive structure of preference, the author examines the implication for cosumptions, portfolio holdings, and stock-market prices when investors accumulate wealth not only for the sake of consumption but also for wealth-induced social status. When investors care about relative social status, the propensity to consume and risk-taking behavior will depend on social standards, and stock prices will be volatible. Hence, the spirit of capitalism seems to be a driving force behind stock-market volatility and economic growth. Because the elasticity df substitution and the coefficient of relative risk aversion are independent and the spirit of capitalism is introduced, the equity premium puzzle can be partially explained in the model.展开更多
文摘This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset prices and derive a familiar principal partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in economy.
文摘With the acceleration of economic globalization and financial liberalization,factors of asset prices such as stock,bond and real estate and so on become important economic variables that affect inflation. After a brief review of the latest literature,this paper analyzes the specific conduction mechanism from different aspects of consumption,investment,credit and exchange rate channels in which asset prices affect inflation. Then,this paper analyzes the monthly data from January,2002 to December,2013 with the PLS method(partial least squares regression method)and discusses whether a structural change has taken place in the inflation mechanism during this period. Finally,policy recommendations are provided.
文摘This paper investigates testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model with the spirit of capitalism in which intertemporal preference is represented by a utility function that generalizes conventional, time-additive, expected utility. In the recursive structure of preference, the author examines the implication for cosumptions, portfolio holdings, and stock-market prices when investors accumulate wealth not only for the sake of consumption but also for wealth-induced social status. When investors care about relative social status, the propensity to consume and risk-taking behavior will depend on social standards, and stock prices will be volatible. Hence, the spirit of capitalism seems to be a driving force behind stock-market volatility and economic growth. Because the elasticity df substitution and the coefficient of relative risk aversion are independent and the spirit of capitalism is introduced, the equity premium puzzle can be partially explained in the model.