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

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

A dynamic general equilibrium multifactor asset pricing model for a monetary economy with capital accumulation and multisector production is constructed. Equilibrium Clower constraints on some investment goods and some consumption goods are imposed. An equilibrium APT model is constructed where the covariance between the inflation tax, distorted equilibrium investment returns, and fundamental forcing processes are important in determining equilibrium risk prices. The model is used to address issues concerning the relative importance of real and nominal factors in asset pricing raised in recent papers by Chen, Roll, and Ross (1986) and Cochrane (1991, 1992).

Original languageEnglish (US)
Pages (from-to)569-597
Number of pages29
JournalJournal of Economic Dynamics and Control
Volume19
Issue number3
DOIs
StatePublished - 1995
Externally publishedYes

Fingerprint

Asset Pricing
Arbitrage
Tax
Taxation
Inflation
Pricing
Equilibrium Constraints
Capital Accumulation
General Equilibrium
Equilibrium Model
Forcing
Categorical or nominal
Costs
Model
Arbitrage pricing
Inflation tax

Keywords

  • Asset pricing
  • Monetary business cycles

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics
  • Control and Optimization

Cite this

Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy. / Reffett, Kevin.

In: Journal of Economic Dynamics and Control, Vol. 19, No. 3, 1995, p. 569-597.

Research output: Contribution to journalArticle

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