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CAPM can understate the risk of illiquid assets because these assets become riskier when investors are the most risk averse …
Persistent link: https://www.econbiz.de/10012468367
CAPM can understate the risk of illiquid assets because these assets become riskier when investors are the most risk averse …
Persistent link: https://www.econbiz.de/10012762661
Models based on the representative agent assumption cannot rationalize observed equity premia. In response to this, exchange economy models have introduced agents heterogeneity, typically in the form of bond and equity holders. We reconsider the issue introducing Limited Asset Market...
Persistent link: https://www.econbiz.de/10014144619
Persistent link: https://www.econbiz.de/10015324374
This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.
Persistent link: https://www.econbiz.de/10011432126
We develop a dynamic stochastic general equilibrium model calibrated to US data to examine how monetary policy shocks affect income inequality and the equity premium. The model features Ricardian and non-Ricardian households and shows that a monetary policy tightening causes an endogenous...
Persistent link: https://www.econbiz.de/10012240316
We introduce costly firm-entry a la Bilbiie et al. (2012) into a New Keynesian model with Epstein-Zin preferences and show that it can jointly account for a high mean value of bond and equity premium without compromising the fit of the model to first and second moments of key macroeconomic...
Persistent link: https://www.econbiz.de/10010490844
Persistent link: https://www.econbiz.de/10012511757
Persistent link: https://www.econbiz.de/10012498598
The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...
Persistent link: https://www.econbiz.de/10014527042