Asset Prices and Time-Varying Risk / Robert Flood.

Format:

Book

Author/Creator:

Flood, Robert.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2780.

NBER working paper series no. w2780

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas in a model environment of time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives an exposition of how to develop the formulas in an, environment where the formulas may be obtained using a simple extension of standard tools. While the paper is intended mainly as an exposition of new work, it also contains a report on the asset market effect of fiscal reform. IC is found that entering a period of week coordination between government spending end taxing (tax rate) policy is good for stock prices.

Notes:

Print version record

December 1988.