White Rose University Consortium logo
University of Leeds logo University of Sheffield logo York University logo

Essays on the Secular Stagnation Hypothesis and the Cross-Section of Assets Returns

Zhang, Xiaoge (2017) Essays on the Secular Stagnation Hypothesis and the Cross-Section of Assets Returns. PhD thesis, University of York.

XiaogeZhangPhDThesisEconommics2017Resubmit.pdf - Examined Thesis (PDF)
Available under License Creative Commons Attribution-Noncommercial-No Derivative Works 2.0 UK: England & Wales.

Download (1036Kb) | Preview


This thesis studies the relations between growth and cross-sectional assets prices. I develop four discrete-time models in both the exchange and the production economy. Chapter 3 introduces the model with two Lucas trees and studies the interactions between two trees in terms of their price dividend ratios and returns. Chapter 4 explores a production economy with multiple balanced growth paths. The model shows that pessimistic beliefs may trigger persistent slumps, low interest rates and high risk premia. Chapter 5 extends the model used in chapter 4 to the Epstein and Zin framework and calibrates the model to match the historical data moments. Chapter 6 considers a model with two parallel sectors in the production economy and examines the cross-sectional co-movements between growth and asset returns.

Item Type: Thesis (PhD)
Academic Units: The University of York > Economics and Related Studies (York)
Identification Number/EthosID: uk.bl.ethos.739915
Depositing User: Mr Xiaoge Zhang
Date Deposited: 04 May 2018 15:59
Last Modified: 24 Jul 2018 15:24
URI: http://etheses.whiterose.ac.uk/id/eprint/19706

You do not need to contact us to get a copy of this thesis. Please use the 'Download' link(s) above to get a copy.
You can contact us about this thesis. If you need to make a general enquiry, please see the Contact us page.

Actions (repository staff only: login required)