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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.

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Abstract

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

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