Showing 1 - 10 of 189
We study the asset pricing implications of an economy where solvency constraints are endogenously determined to deter agents from defaulting while allowing as much risk-sharing as possible. We solve analytically for efficient allocations and for the corresponding asset prices, portfolios...
Persistent link: https://www.econbiz.de/10012746547
We study the asset pricing implications of an economy where solvency constraints are determined to efficiently deter agents from defaulting. We present a simple example for which efficient allocations and all equilibrium elements are characterized analytically. The main model produces large...
Persistent link: https://www.econbiz.de/10012746721
This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. Calibrated to the U.S. postwar economy, the...
Persistent link: https://www.econbiz.de/10012714593
This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A closed form expression is presented for the Sharpe ratio at steady-state as a function of investment volatility and adjustment cost curvature. Calibrated to the U.S. postwar economy, the...
Persistent link: https://www.econbiz.de/10012760683
We measure the cost of consumption fluctuations using an approach that does not require the specification of preferences and instead uses asset prices. We measure the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as...
Persistent link: https://www.econbiz.de/10012757219
In this paper we document the cyclical properties of U.S. firms' financial flows. Equity payouts are procyclical and debt payouts are countercyclical. We develop a model with explicit roles for debt and equity financing and explore how the observed dynamics of real and financial variables are...
Persistent link: https://www.econbiz.de/10005027072
Together with a sense of entering a New Economy, the US experienced in the second half of the 1990s an economic expansion, a stock market boom, a financing boom for new firms and productivity gains. In this paper, we propose an interpretation of these events within a general equilibrium model...
Persistent link: https://www.econbiz.de/10005830923
The volatility of US business cycles has declined during the last two decades. During the same period the financial structure of firms has become more volatile. In this paper we develop a model in which financial factors play a key role in generating economic fluctuations. Innovations in...
Persistent link: https://www.econbiz.de/10005830954
Persistent link: https://www.econbiz.de/10004970326
analysis shows that innovations that have allowed firms to issue equity more flexibly can plausibly account for the lower output volatility together with the higher volatility in the financial structure of firms.
Persistent link: https://www.econbiz.de/10011082062