English, Article, Journal or magazine article edition: Liquidity Constraints in Production Based Asset Pricing Models William A. Brock; Blake LeBaron

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Bookmark: http://trove.nla.gov.au/version/141431
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Liquidity Constraints in Production Based Asset Pricing Models
Author
  • William A. Brock
  • Blake LeBaron
Physical Description
  • preprint
Notes
  • This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewrless, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
  • RePEc:nbr:nberwo:3107
Language
  • English
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