IMF Working Papers

Asset Prices in Affine Real Business Cycle Models

By Maral Shamloo, Aytek Malkhozov

November 1, 2010

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Maral Shamloo, and Aytek Malkhozov. Asset Prices in Affine Real Business Cycle Models, (USA: International Monetary Fund, 2010) accessed December 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest.

Subject: Asset prices, Business cycles, Consumption, Labor, Productivity

Keywords: Mover accent, Steady state, WP

Publication Details

  • Pages:

    42

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2010/249

  • Stock No:

    WPIEA2010249

  • ISBN:

    9781455209491

  • ISSN:

    1018-5941