This paper studies a general equilibrium model with heterogeneity in both risk aversion and beliefs about the expected growth rate of the aggregate endowment.

I look into the impact of the frequency and persistence of risk, via a two-sector DSGE model in continuous time.

Building a DSGE model in continuous time featuring heterogeneous agents and multiple sectors, this paper demonstrates the real impact of financial frictions on the capital reallocation.

We extend the heterogenous agent models in macroeconomics to consider recursive preferences and asset pricing in continuous time framework.

This paper analyzes the transmission of monetary policy via financing constraint in equity market to firm investment and stock returns.