Asset pricing in the production economy subject to monetary shocks

Grishchenko, Olesya V.

doi:10.1016/j.jeconbus.2011.01.003

Journal of Economics and Business

2011

DOI: 10.1016/j.jeconbus.2011.01.003

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Asset pricing in the production economy subject to monetary shocks

Olesya V. Grishchenko

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Cited by 2 publications

References 69 publications

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The Sharpe Ratio and Preferences: A Parametric Approach

Lettau

Uhlig

2002

Macroecon. Dynam.

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We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calculation of the Hansen–Jagannathan volatility bounds, and therefore provides a convenient tool for theorists searching for models capable of explaining asset-pricing facts. To illustrate the usefulness of our approach, we examine several popular preference specifications, such as CRRA, various types of habit formation, and the recursive preferences of Epstein–Zin–Weil. Furthermore, we show how the models with idiosyncratic consumption shocks can be studied.

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The Sharpe Ratio and Preferences: A Parametric Approach

Lettau

Uhlig

2002

Macroecon. Dynam.

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Monetary Shocks and Inflation Dynamics in the New Keynesian Model

Dellas¹

2006

Journal of Money, Credit, and Banking

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Asset pricing in the production economy subject to monetary shocks

Cited by 2 publications

References 69 publications

The Sharpe Ratio and Preferences: A Parametric Approach

The Sharpe Ratio and Preferences: A Parametric Approach

Monetary Shocks and Inflation Dynamics in the New Keynesian Model

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