Pricing Risks in Tangible and Intangible Capital: Implications from a Two-Sector Economy
This paper builds a two-sector DSGE model in continuous time, where two sectors are subject to risks of different persistence.
A Macro-Finance Model of Capital Reallocation and Misallocation
Building a DSGE model in continuous time featuring heterogeneous agents and multiple sectors, this paper demonstrates the impact of financial frictions on the capital reallocation.
Beliefs Heterogeneity and the Equity Term Structure
This paper studies a general equilibrium model with heterogeneity in both risk aversion and beliefs about the expected growth rate of the aggregate endowment.
Huggett Meets Epstein-Zin in Continuous Time
We extend the heterogenous agent models in macroeconomics to consider recursive preferences and asset pricing in continuous time framework.
The Equity Constraint Channel of Monetary Policy
This paper highlights the role of the equity financing constraints in the transmission of monetary policy.