Asset Pricing for Dynamic Economies

An introduction to general equilibrium modeling in macroeconomics and finance with an emphasis on asset pricing phenomena.

Sumru Altug (Author), Pamela Labadie (Author)

9780521875851, Cambridge University Press

Hardback, published 11 September 2008

602 pages, 22 b/w illus. 4 tables
25.3 x 18 x 3.8 cm, 1.3 kg

'… a major synthesis of the disciplines and could serve as a comprehensive guide to the new graduate student who wants to understand the mainstream tools and models for economists. … the authors did a magnificent job of integrating the macro and financial theories into a coherent whole. The mathematics is beautiful, complete and well stated. … Asset Pricing for Dynamic Economies may be useful to anyone who wants to understand the history of economic thought.' Communications and Strategies

This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie

List of figures
List of tables
Preface
Part I. Basic Concepts: 1. Complete contingent claims
2. Arbitrage and asset valuation
3. Expected utility
4. CAPM and APT
5. Consumption and saving
Part II. Recursive Models: 6. Dynamic programming
7. Intertemporal risk sharing
8. Consumption and asset pricing
9. Nonseparable preferences
10. Economies with production
11. Investment
12. Business cycles
Part III. Monetary and International Models: 13. Models with money
14. International models
Part IV. Models with Market Incompleteness: 15. Asset pricing with frictions
16. Borrowing constraints
17. Overlapping generations models
Part V. Supplementary Material: A. Mathematical appendix
References
Index.

Subject Areas: Finance & accounting [KF], International economics [KCL], Macroeconomics [KCB]