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上海立信会计金融学院 刘芸助理教授:Land Price and Asset Pricing Puzzles

([西财资讯] 发布于 :2017-05-24 )

光华讲坛——社会名流与企业家论坛第453

 

主  题:Land Price and Asset Pricing Puzzles

主讲人:上海立信会计金融学院 刘芸助理教授 

主持人:利记娱乐网经济学院  马清

时  间:2017年5月26日(周五)上午10:00-12:00

地  点:柳林校区弘远楼109会议室

主办单位:经济学院、科研处

主讲人概况:

刘芸,经济学博士,现任上海立信会计金融学院助理教授,主要研究兴趣包括宏观经济以及宏观金融。刘芸教授于2016年3月到5月访问波士顿大学,曾获得杰出研究院长奖学金等奖项。其研究成果在新加坡经济评论年会、清华宏观会议、社科院国际金融论坛等会议上进行宣讲。

 

内容提要:

This paper presents a production-based general equilibrium asset pricing model with land. The author shows that this model can explain key financial markets phenomena of a lower-than-unity intertemporal elasticity of substitution (IES), which is proven to be a challenge in the long-run risks literature. The success of the model comes from the competition for land between household and firm, which raises the land price and further implies high and volatile land return. Consequently, the model solves the equity premium puzzle and volatility puzzle. Moreover, the model can explain that volatility risk in productivity growth carries a positive risk premium; and the model can also be extended to generate cross-sectional differences in firms' returns. In addition to the success in financial markets, the author shows that the model captures the salient business cycle properties, such as the relative volatility and comovement among land price, consumption and investment. All the results are robust with a greater-than-unity IES.

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