Download This course will extend the basis models introduced in Romer

Summer 2012
Xiamen University
Rui Zhao
Emory
Advanced Topics in Macroeconomics
Asset Pricing
This course will start the model with uncertainty and its application in asset pricing. All
class related materials can be downloaded from
userwww.service.emory.edu/~rzhao9/xiamen/
References
Ljunqvist, L. and T. Sargent. Recursive Macroeconomic Theory. Second edition, MIT
Press.
Stokey, N., R. Lucas Jr., with E. Prescott. Recursive Methods for Economic Dynamics.
Harvard University Press.
John Cochrane. Asset Pricing. Princeton University Press.
Darrell Duffle. Dynamic Asset Pricing Theory. Princeton University Press.
Reading list
1. Markov Chain
Ljunqvist and Sargent, Chapter 2. Time series.
Stokey, Lucas, with Prescott, Chapter 11, p319-334. Markov Chain.
Stokey, Lucas, with Prescott, Chapter 8. Markov Processes.
2. Asset Pricing
Ljunqvist and Sargent, Chapter 8. Competitive Equilibrium with Complete Markets.
Ljunqvist and Sargent, Chapter 12. Recursive Competitive Equilibria.
Ljunqvist and Sargent, Chapter 13. Asset Pricing.
Lucas, R. Jr. (1978) Asset Prices in an Exchange Economy. Econometrica, 46(6): 14291445.
Hansen, L. and K. Singleton (1982) Generalized Instrumental Variables Estimation of
Nonlinear Rational Expectations Models. Econometrica, 50(5): 1269-1286.
Hansen, L. and K. Singleton (1983) Stochastic Consumption, Risk Aversion, and the
Temporal Behavior of Asset Returns. Journal of Political Economy, 91(2), 249-265.
Mehra, R. and E. Prescott. (1985) The Equity Premium: A puzzle. Journal of Monetary
Economics, 15: 145-161.
Weil, P. (1989) The Equity Premium Puzzle and the Risk-Free Rate Puzzle. Journal of
Monetary Economics, 24: 401-421.
Hansen, L. and R. Jagannathan. (1991) Implication of Security Market Data for Models
of Dynamic Economies. Journal of Political Economy, 99(2): 225-262.