By John B. Taylor, Michael Woodford
This textual content goals to supply a survey of the kingdom of data within the wide sector that incorporates the theories and evidence of financial development and financial fluctuations, in addition to the consquences of economic and financial rules for basic fiscal conditions.
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Additional resources for Handbook of Macroeconomics, Volume 1C
Sample text
This form of the budget constraint is appropriate for a complete-markets model in which wealth includes human capital as well as financial assets. Epstein and Zin use dynamic programming arguments to show that Equations (18) and (19) together imply an Euler equation of the form I=G \CT-t / (1 +Rw, t < ) (1 +R,,,+I) 1 . (20) If I assume that asset returns and consumption are homoskedastic and jointly lognormal, then this implies that the riskless real interest rate is rj;t+l = - l o g 6 + 0-1 2 0 E,[Act+l] + ~ 2 - - cG - ~ 2 2 o~.
Table 12 (p. 1278) reports the results of this exercise. For comparative purposes real output growth, realized stock market volatility, and the excess bond return are also included as dependent variables. For each quarterly data set the dependent variables are computed in natural units over 4, 8, and 16 quarters (1, 2, and 4years) and regressed onto the log price-dividend ratio divided by its standard deviation. Thus the regression coefficient gives the effect of a one standard deviation change in the log price-dividend ratio on the cumulative growth rate or rate of return in natural units.
2<-o . . g o R o R ,~ ~ o II ,~ 22o c~ O O R R R o ~ o ~ R O O R R R o ~ o l ] l l oo~ Q R ~ o R R o RR . . O ~ O 2 I 2 . . . O O O O Q Q Q RR R R R R R . . . I I I ] 1 1 tt . ? t? O ~ ¢ ~ r R . ~R . R . . . ~ Q Q R 22 Q I I I ] 1 1 . q . q ~ Ch. " Asset Prices, Consumption, and the Business Cycle I l J l l l l d d d I d [ d 1 1279 [i I [ [ l l d d d d 1 1 1 1 d d d d d d I I 1 [ I d d d II "~ '~ o d I M d l d d l d & [ I I I I l l I I I I I I I d l ~ d d l l l 2 d & l 2 2 I O q O q q O q o o - = o d d d d d d M 11 II 4 ~ i i i i i i d l ~ I I O M ~ d £ I q d d d d d d I " o ~ ii l d 2 ~ d d & q O ~ q O q l I q - - ~ o o - ~ o o d £ d M ~ £ £ d I d o d d d d o o Ii oo 1 1 d d ] d d d d d d o d & d d d d d d d d o ~ o ii ~ ~ ~ l l l l ~o l I I i I I I [ & I o o o E 1 £ I I oo 1 d d d d d d l l l l l l d l q = o o o o o o ~ o II d l d I q I d d l d I ~o d -' & l 0 E ~ ~ :~ I I o 1 1 o ii ~ ~..