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Business Cycles, Investment Shocks, and the "Barro-King" Curse
Ascari, Guido - 2017
Recent empirical evidence identifies investment shocks as key driving forces behind business cycle fluctuations … between consumption growth and investment growth, a weak positive unconditional correlation between consumption growth and … short-run contractionary effect a positive investment shock on consumption. Such counterfactual co-movements are typical of …
Persistent link: https://www.econbiz.de/10012966936
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The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703
Persistent link: https://www.econbiz.de/10011764966
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Spontaneous Volatility of Output and Investment
Hall, Robert E. - 2010
Spontaneous shifts in output originating within the business sector are an important factor in aggregate fluctuations. This paper develops a simple two-component decomposition of the movement of real GNP. One component is the path that GNP would have followed in order to deliver the volume of...
Persistent link: https://www.econbiz.de/10012760156
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Security Analysis : An Investment Perspective
Hou, Kewei - 2020
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …
Persistent link: https://www.econbiz.de/10012823391
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Investment timing with information-processing constraints
Mu, Congming; Yang, Jinqiang; Zhang, Yuhua - In: Finance research letters 32 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430730
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Consumption and Portfolio Choice with Option-Implied State Prices
Ait-Sahalia, Yacine - 2008
We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …
Persistent link: https://www.econbiz.de/10012772381
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Optimal investment and financing with a bank-tax-interaction
Chen, Biao; Yang, Jinqiang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438331
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Capital Reallocation and Aggregate Productivity
Cooper, Russell - 2013
This paper studies the interaction between capital reallocation and business cycles. Capital reallocation is pro-cyclical and leads to variations in measured aggregate productivity. Using a simulated method of moments approach, different sources of aggregate fluctuations are studied to assess...
Persistent link: https://www.econbiz.de/10013071893
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In...
Persistent link: https://www.econbiz.de/10013076911
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Disasters Risk and Business Cycles
Gourio, Francois - 2010
probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the … of business cycle dynamics, especially sharp downturns in investment and output such as 2008-IV …
Persistent link: https://www.econbiz.de/10013150731