Title: Comparative valuation dynamics in models with financing restrictions
Authors: Fabrice Tourre - Copenhagen Business School (Denmark) [presenting]
Lars Hansen - University of Chicago (United States)
Paymon Khorrami - University of Chicago (United States)
Abstract: A theoretical framework is developed to nest many recent dynamic stochastic general equilibrium economies with financial frictions into one common generic model. The goal is to study the macroeconomic and asset pricing properties of this class of models, identify common features and highlight areas where these models depart from each other. In order to characterize the asset pricing implications of this family of models, we study their term structure of risk prices and risk exposures, the natural extension of impulse response functions in economic environments exhibiting non-linear behaviors.