Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy

DOI10.1016/0165-1889(93)00771-UzbMath0900.90033MaRDI QIDQ673808

Kevin L. Reffett

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

G12Asset pricingD92E44E50Monetary business cycles

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

• Unnamed Item
• Liquidity and interest rates
• A unified beta pricing theory
• Asset-return anomalies in a monetary economy
• Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
• On the existence of nonoptimal equilibria in dynamic stochastic economies
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Testing for Common Trends
• Equilibrium in a Production Economy with an Income Tax
• Money and Interest in a Cash-in-Advance Economy

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