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Effects of Macroeconomic Uncertainty on the Stock and Bond Markets
Asgharian, Hossein - 2015
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on …
Persistent link: https://www.econbiz.de/10013025703
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2015
We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional...
Persistent link: https://www.econbiz.de/10013034190
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Business-Cycle Macroeconomics in an Asset Pricing Financial Economy
Tse, Wai Man - 2020
The paper introduces a portfolio-based Keynesian dynamic stochastic general disequilibrium model. It is an endogenous phase-switching macroeconomic model of risky investment where the rational expectation is applied in the financial market with three financial instruments of stocks, credits, and...
Persistent link: https://www.econbiz.de/10012839941
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A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?
David, Alexander; Veronesi, Pietro - 2022
creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …
Persistent link: https://www.econbiz.de/10013294567
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Lemon Cycles
Dong, Feng; Liu, Ernest - 2023
We build a model of endogenous credit cycles arising from the dynamics of adverse selection. Heterogeneous entrepreneurs trade productive assets in an anonymous market subject to financial frictions. Cream-skimming rent-seekers create lemon assets that can be traded. Lemon assets are...
Persistent link: https://www.econbiz.de/10014349733
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Search complementarities, aggregate fluctuations, and fiscal policy
Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2019
volatility of shocks is important for the selection and duration of each equilibrium. Sufficiently adverse shocks in periods of … low macroeconomic volatility trigger severe and protracted downturns. The magnitude of government intervention is critical …
Persistent link: https://www.econbiz.de/10012003850
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10011590620
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Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities
Kizys, Renatas - 2006
In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...
Persistent link: https://www.econbiz.de/10012734024
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Macro-financial volatility under dispersed information
Miao, Jianjun; Wu, Jieran; Young, Eric R. - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 275-315
individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of … aggregate output volatility falls. We propose a two-step spectral factorization method that permits closed-form solutions in the …
Persistent link: https://www.econbiz.de/10012415651
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The Role of Learning for Asset Prices and Business Cycles
Winkler, Fabian - 2017
I examine the implications of learning-based asset pricing in a model in which firms face credit constraints that depend partly on their market value. Agents learn about stock prices, but have conditionally model-consistent expectations otherwise. The model jointly matches key asset price and...
Persistent link: https://www.econbiz.de/10012969719