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Comparative Valuation Dynamics in Production Economies: Long-Run Uncertainty, Heterogeneity, and Market Frictions

Year: 2024

Type: review

Abstract: We compare and contrast production economies exposed to long-run uncertainty with investors that have possibly different preferences and/or access to financial markets. We study the macroeconomic and asset-pricing properties of these models, identify common features, and highlight areas where these models depart from each other. Our framework allows us to investigate more fully the impact of investor heterogeneity, capital heterogeneity, and fluctuations of the growth components to the capital evolution as they affect the dynamics of macroeconomic quantities and asset prices. In our comparisons, we employ an array of diagnostic tools to explore time variation and state dependencies in nonlinear environments.

Source: Annual Review of Financial Economics

DOI: 10.1146/annurev-financial-082123-105652

Authors: Lars Peter Hansen, Paymon Khorrami, Fabrice Tourre

Institutions: University of Chicago, Duke University, Baruch College, City University of New York

Language: English

Topic: Economic theories and models

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Decent work and economic growth

Open Access status: hybrid

OpenAlex ID: W4402879549

FWCI: 0.845

Cites: 62

Cited by: 6

Related to: 10