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Chapter 18. Macro, Money, and Finance : A Continuous-Time Approach

Brunnermeier, M.K.; Sannikov, Y. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1497-1545). 2016

(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …

Persistent link: https://www.econbiz.de/10014024265

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

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

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

Collateralized Borrowing and Increasing Risk

Phelan, Gregory - 2016

This paper uses a general equilibrium model with collateralized borrowing to show that increases in risk can have ambiguous effects on leverage, loan margins, loan amounts, and asset prices. Increasing risk about future payoffs and endowments can lead to riskier loans with larger balances and...

Persistent link: https://www.econbiz.de/10012983234

Dynamic Equilibrium with Heterogeneous Agents and Risk Constraints

Prieto, Rodolfo - 2011

We examine the impact of risk-based portfolio constraints on asset prices in an exchange economy. Constrained agents scale down their portfolio and behave locally like power utility investors with risk aversion that depends on current market conditions. The imposition of constraints dampens...

Persistent link: https://www.econbiz.de/10013132941

Tackling the volatility paradox : spillover persistence and systemic risk

Kubitza, Christian - 2024

future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important …

Persistent link: https://www.econbiz.de/10015176897

Tackling the volatility paradox: spillover persistence and systemic risk

Kubitza, Christian - 2021 - This version: April 13, 2021

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by …. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility …

Persistent link: https://www.econbiz.de/10012499703

Did real economic uncertainty drive risk connectedness in the oil-stock nexus during the COVID-19 outbreak? : A partial wavelet coherence analysis

Al-Shboul, Mohammad; Maghyereh, Aktham I. - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-23

the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the …

Persistent link: https://www.econbiz.de/10014497264

Volatility, Distress Risk, and the Cross Section of Returns

Sabbaghi, Omid - 2015

Persistent link: https://www.econbiz.de/10013023281