Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.739915
Title: Essays on the secular stagnation hypothesis and the cross-section of assets returns
Author: Zhang, Xiaoge
Awarding Body: University of York
Current Institution: University of York
Date of Award: 2017
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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.
Supervisor: Monteiro, Paulo Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.739915  DOI: Not available
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