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Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?
(Vanderbilt University, 2004)
This paper uses a recursive time-non-separable expected utility function to separate between the intertemporal elasticity of substitution (IES) and a measure of relative risk aversion to bets in terms of money (RAM). Risk ...
Implementing the Friedman Rule by a Government Loan Program: An Overlapping Generations Model
(Vanderbilt University, 2008)
The welfare gains from adopting a zero nominal interest policy depend on the implementation details. Here I argue that implementing the Friedman rule by a government loan program may be better than implementing it by ...
Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach
(Vanderbilt University, 2008)
The standard power utility function is widely used to explain asset prices. It assumes that the coefficient of relative risk aversion is the inverse of the elasticity of substitution. Here I use the Kihlstrom and Mirman ...
The Role of Government in the Credit Market
(Vanderbilt University, 2009)
The paper assumes a government advantage in collecting income contingent payments and develop a proposal for a government loan program that is an integral part of the tax system. The focus is on administrative costs and ...
Consumption smoothing and the equity premium
(Vanderbilt University, 2010)
Abstract: The paper investigates the role of the Intertemporal Elasticity of Substitution () in determining the equity premium. This is done in an overlapping generations economy populated by agents that live for 2 periods ...
Price Rigidity and Price Dispersion: Evidence from Micro Data
(Vanderbilt University, 2003)
We use large unpublished data set about the prices by store of 381 products collected by the Israeli bureau of statistics during 1991-92 in the process of computing the CPI. On average 24% of the stores changed their price ...
Inefficient Trade Patterns: Excessive Trade, Cross-Hauling, and Dumping
(Vanderbilt University, 2005)
I study an example of a competitive environment in which trade occurs in a sequential manner. In this example, a country with a stable demand may suffer from trade with a country with unstable demand, there may be too much ...
Living with a Monetary System infected by Bubbles
(Vanderbilt University, 2011)
I study the real effects of bubbles in a price-settingenvironment. Bubbles cause price dispersion and overinvestment in assets that are overvalued. And when they pop some goods are not sold and capacity is not fully utilized. ...
Liquidity Premium and International Seigniorage Payments
(Vanderbilt University, 2009)
Why do people hold dollar denominated assets when higher rate of return alternatives are available? Can a country collect seigniorage payments from other countries in the long run? Does the supplier of the international ...
Rigidity, Dispersion and Discreteness in Chain Prices
(Vanderbilt University, 2009)
This paper studies price setting within a chain of grocery stores, using a scanner database that contains observations of retail prices for 435 products within 75 stores over 121 weeks. We find price dispersion within the ...