Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

This paper studies a DSGE model with endogenous financial asset supply and ambiguity averse investors. An increase in uncertainty about profits leads firms to substitute away from debt and reduce shareholder payout in bad times when the equity premium is high. Regime shifts in volatility generate large low frequency movements in asset prices due to uncertainty premia that are disconnected from the business cycle.

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Year of publication:	2014-05
Authors:	Schneider, Martin ; Bianchi, Francesco ; Ilut, Cosmin L.
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP CF EFG ME The price is Paper copy available by mail Number 20081
Classification:	D8 - Information and Uncertainty ; E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; G1 - General Financial Markets ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010777727