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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 …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …
Persistent link: https://www.econbiz.de/10014024265
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Keynesian systems with rigidity and flexibility of prices and inflation–deflation expectations
Murakami, Hiroki - In: Structural Change and Economic Dynamics 30 (2014) C, pp. 68-85
In this paper, by utilizing the Poincaré–Bendixson theory and the Hopf bifurcation theory, we analyze both rigid-price and flexible-price nonlinear disequilibrium Keynesian macroeconomic systems, prove the existence of a persistent business cycle and derive the conditions for global...
Persistent link: https://www.econbiz.de/10010906613
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Macroeconomic volatility: The role of the informal economy
Restrepo-Echavarria, Paulina - In: European Economic Review 70 (2014) C, pp. 454-469
Many countries have a large informal economy that is poorly measured in the national accounts. I develop a two-sector small open economy business cycle model where one sector is formal and the other is informal, and explore the effect that the informal sector has on measured business cycles. I...
Persistent link: https://www.econbiz.de/10010931008
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Dispersion and Volatility in Stock Returns: An Empirical Investigation
Campbell, John Y; Kim, Sangjoon; Lettau, Martin - C.E.P.R. Discussion Papers - 1998
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios, relative to the market, within the month; and the...
Persistent link: https://www.econbiz.de/10005662245
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Asymmetric information, firm investment and stock prices
Kong, Dongmin; Xiao, Tusheng; Liu, Shasha - In: China Finance Review International 1 (2010) December, pp. 6-33
Purpose–The purpose of this paper is to explore the relations of investment and stock prices (Tobin-Q), the impact of asymmetric information on the investment sensitivity to stock price, and the impact of asymmetric information on the stock price sensitivity to investment....
Persistent link: https://www.econbiz.de/10010561535
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The Supply and Demand for Safe Assets
Gorton, Gary; Ordonez, Guillermo L. - National Bureau of Economic Research (NBER) - 2013
There is a demand for safe assets, either government bonds or private substitutes, for use as collateral. Government bonds are safe assets, given the government's power to tax, but their supply is driven by fiscal considerations, and does not necessarily meet the private demand for safe assets....
Persistent link: https://www.econbiz.de/10010969335
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Financing asset sales and business cycles
Arnold, Marc; Hackbarth, Dirk; Puhan, Tatjana Xenia - 2014
Using a dynamic model of financing, investment, and macroeconomic risk, we investigate when firms sell assets to fund … investments (financing asset sales) across the business cycle. Equity financed investment transfers wealth from equity to debt …
Persistent link: https://www.econbiz.de/10010337958
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Predicting the unpredictable: Forecastable bubbles and business cycles under rational expectations
Gracia, Eduard - In: Economics - The Open-Access, Open-Assessment E-Journal 6 (2012), pp. 1-43
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if it holds, market valuations must follow a random walk; hence, the hypothesis is frequently criticized on the basis of empirical evidence against such a prediction. Yet this reasoning incurs what we...
Persistent link: https://www.econbiz.de/10010954775
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Speculative growth, overreaction, and the welfare cost of technology-driven bubbles
Lansing, Kevin J. - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 461-483
risk aversion is low and agents underinvest relative to the socially optimal level. But for higher levels of risk aversion …
Persistent link: https://www.econbiz.de/10010594616
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Credit Risk and Disaster Risk
Gourio, François - C.E.P.R. Discussion Papers - 2011
corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in … highly exposed to the risk of economic depression. This motivates introducing a small, time-varying risk of large economic … implications. An increase in disaster risk makes default more systematic, leading to higher risk premia, and higher expected …
Persistent link: https://www.econbiz.de/10008854475