Search Results - subject:"AGGREGATE VOLATILITY"

Uncertainty and Debt-Maturity in Emerging Markets

Bussiere, Matthieu; Fratzscher, Marcel; Koeniger, Winfried - In: Contributions in Macroeconomics 6 (2006) 1, pp. 1-28

Abstract Although a lot has been written on the link between debt maturity and financial crises, it remains puzzling why the private sector in emerging market economies holds such a large share of short-term debt in the presence of substantial macroeconomic risk. To understand this phenomenon,...

Persistent link: https://www.econbiz.de/10015359916

Aggregate Consequences of Limited Contract Enforceability

Cooley, Thomas F; Marimon, Ramon; Quadrini, Vincenzo - C.E.P.R. Discussion Papers - 2004

be associated with greater aggregate volatility. A key assumption for this result is that defaulting entrepreneurs are …

Persistent link: https://www.econbiz.de/10005656202

Diverging Trends in Macro and Micro Volatility: Facts

Comin, D.; Mulani, S. - C.V. Starr Center for Applied Economics, Department of … - 2003

studied. We argue that this new fact renders obsolete the proposed explanations for the decline in aggregate volatility and …

Persistent link: https://www.econbiz.de/10005826888

Idiosyncratic volatility, aggregate volatility risk, and the cross-section of returns

Barinov, Alexander (1981; Schwert, G. William (1950

volatility makes growth options a hedge against aggregate volatility risk. Growth options become less sensitive to the underlying … volatility increases. In empirical tests, the aggregate volatility risk factor explains the idiosyncratic volatility discount and … why it is stronger for growth firms. The aggregate volatility risk factor also partly explains the stronger value effect …

Persistent link: https://www.econbiz.de/10009482974

Firms, Destinations, and Aggregate Fluctuations

Giovanni, Julian di; Levchenko, Andrei A.; Méjean, Isabelle - Research Seminar in International Economics, University …

Gabaix, 2011), and (ii) sizable aggregate volatility can arise from idiosyncratic shocks due to input-output linkages across …

Persistent link: https://www.econbiz.de/10010970436