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2 edition of Stochastic taxation and asset pricing in dynamic general equilibrium found in the catalog.

Stochastic taxation and asset pricing in dynamic general equilibrium

Clemens Sialm

Stochastic taxation and asset pricing in dynamic general equilibrium

by Clemens Sialm

  • 95 Want to read
  • 27 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Income tax -- United States.,
  • Capital gains tax -- United States.

  • Edition Notes

    StatementClemens Sialm.
    SeriesNBER working paper series -- no. 9301, Working paper series (National Bureau of Economic Research) -- working paper no. 9301.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination39 p. :
    Number of Pages39
    ID Numbers
    Open LibraryOL22444442M

    Economic Dynamics. This is the homepage for Economic Dynamics: Theory and Computation, a graduate level introduction to deterministic and stochastic dynamics, dynamic programming and computational methods with economic applications. About the Book. The topics covered in the book are fairly similar to those found in “Recursive Methods in Economic Dynamics” by Nancy Stokey and . Downloadable! This book offers an introductory step-by-step course in Dynamic Stochastic General Equilibrium (DSGE) modelling. Modern macroeconomic analysis is increasingly concerned with the construction, calibration and/or estimation and simulation of DSGE models. The book is intended for graduate students as an introductory course to DSGE modelling and for those economists who would .

    Chicago: University of Chicago Press. (). It has become the baseline model in the stochastic dynamic general equilibrium literature. In a first step, in order to test our procedure, it is applied to this basic stochastic growth model for which the optimal consumption and asset prices can analytically be . Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to clear the asset.

      the dynamic, stochastic, general equilibrium (DSGE) model with monopolistic competition and endogenous product creation developed in Bilbiie, Ghironi, and Melitz ( Œhenceforth, BGM). Speci–cally, we compare the competitive and planner equilibria, asking whether the . "Comparative Dynamics of an Equilibrium lntertemporal Asset Pricing Model," (with R. Mehra), Review of Economic Studies, 51(1 ), Reprinted in "Growth Theory" - ed. By Becker and Burmeister, vol. Ill in International Library of Critical Writings in Economics ed. by Mark Blaug, Edgar Elgar Publishing Ltd., Cheltenham


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Stochastic taxation and asset pricing in dynamic general equilibrium by Clemens Sialm Download PDF EPUB FB2

This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. The theoretical model generalizes the Lucas () asset pricing model by introducing a flat consumption tax that follows a two-state Markov chain.

Whenever taxes change unexpectedly, stock and bond prices adjust. Get this from a library. Stochastic taxation and asset pricing in dynamic general equilibrium. [Clemens Sialm; National Bureau of Economic Research.].

This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. The theoretical model generalizes the Lucas () asset pricing model by introducing a flat consumption tax that follows a two-state Markov chain.

Whenever taxes change unexpectedly, stock and bond prices adjust instantaneously to clear the asset by: Get this from a library. Stochastic taxation and asset pricing in dynamic general equilibrium.

[Clemens Sialm; National Bureau of Economic Research.] -- Abstract: Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in This paper analyzes the effects of stochastic taxation on asset prices in a. Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium Article in Journal of Economic Dynamics and Control 30(3) March with 12 Reads How we measure 'reads'Author: Clemens Sialm.

Downloadable (with restrictions). Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model.

Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to. Download Citation | Stochastic taxation and asset pricing in dynamic general equilibrium | Tax rates have fluctuated considerably since federal income taxes were introduced in the U.S.

in George R. Zodrow, John W. Diamond, in Handbook of Computable General Equilibrium Modeling, Overview of the DZ model. In this section, we provide an overview of the DZ model, which is a large-scale dynamic OLG-CGE model that can be used to analyze both the short-run and long-run macroeconomic and distributional effects of tax reforms.

Dynamic stochastic general equilibrium modeling (abbreviated as DSGE, or DGE, or sometimes SDGE) is a method in macroeconomics that attempts to explain economic phenomena, such as economic growth and business cycles, and the effects of economic policy, through econometric models based on applied general equilibrium theory and microeconomic principles.

The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when.

Stochastic taxation and asset pricing in dynamic general equilibrium () Cached. Download Links [] Save to List; Add to Collection {Stochastic taxation and asset pricing in dynamic general equilibrium}, journal = {Journal of Economic Dynamics & Control}, year = {}.

This book describes some general equilibrium models that are dynamic, that have been built to help interpret time-series of observations of economic aggregates and to predict the consequences of alternative government interventions.

The first part of the book describes dynamic programming, search theory, and real dynamic capital pricing models. This note introduces asset pricing theory to Ph.D. students in finance.

The emphasis is put on dynamic asset pricing models that are built on continuous-time stochastic processes. It is very preliminary. Please let me know if you discover any mistake. Shanghai, China, Junhui Qian February [email protected] i.

NBER Program(s):Asset Pricing, Public Economics. Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model.

Stochastic taxation affects the after-tax returns of both risky and safe. He presents the simplest general equilibrium macroeconomic model for a closed economy, and then gradually develops a comprehensive model of the open economy.

Every important topic is covered, including growth, business cycles, fiscal policy, taxation and debt finance, current account sustainability, and exchange-rate determination.

How to solve a general model. The algorithm for solving dynamic stochastic general equilibrium (DSGE) models generally consists of the following steps: Step 1. Derive the rst-order conditions of the model. Step 2. Find the steady state. Step 3. Linearize the system around the steady state.

Step 4. Erica X. Li, Haitao Li, Shujing Wang, Cindy Yu “Management Science” Vol. 65, No. 8, Augustpp. – Recommend reason. This paper studies the link between macroeconomic fundamentals and asset pricing through the lens of a New Keynesian Dynamic Stochastic General. Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model.

Stochastic taxation affects the after-tax returns of both risky and safe assets. structure changed. In relative pricing we infer an asset’s value given the prices of some other asset.

Black-Scholes option pricing is the classic example of this approach. The central and un nished task of asset pricing theory is to understand and measure the sources of aggregate risk that drive asset prices. Of course, this is also the. This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and s:.

Asset pricing tests show that our model-implied four-factor model can explain a number of prominent cross-sectional return spreads: size, book-to-market, investment, earnings, and long-term reversal.

The investment-specific technological shock and risk shock play the .A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications.

This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing.Stochastic Taxation and Asset Pricing In Dynamic General Equilibrium Clemens Sialm Stanford University November Stanford Institute for Economic Policy Research Stanford University Stanford, CA () The Stanford Institute for Economic Policy Research at Stanford University supports research bearing on economic and public.