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Asset Prices and Business Cycles with Costly External Finance
Gomes, Joao F; Yaron, Amir; Zhang, Lu - C.E.P.R. Discussion Papers - 2003
This Paper asks whether the asset pricing fluctuations induced by the presence of costly external finance are empirically plausible. To accomplish this, we incorporate costly external finance into a dynamic stochastic general equilibrium model and explore its implications for the properties of...
Persistent link: https://www.econbiz.de/10005667119
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Safety Traps
Benhima, Kenza; Massenot, Baptiste - C.E.P.R. Discussion Papers - 2013
Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to...
Persistent link: https://www.econbiz.de/10011083753
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The Joint Behavior of Hiring and Investment
Yashiv, Eran - C.E.P.R. Discussion Papers - 2011
This paper explores the dynamic behavior of investment and hiring within a unified framework, stressing their mutual dependence and placing the emphasis on their joint, forward-looking behavior. Using structural estimation in aggregate, private sector U.S. data, it shows that the model, which...
Persistent link: https://www.econbiz.de/10008854549
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Financial-Friction Macroeconomics with Highly Leveraged Financial Institutions
Luk, Sheung Kan; Vines, David - C.E.P.R. Discussion Papers - 2011
productivity shocks. Our model is built on the financial accelerator approach of Bernanke, Gertler and Gilchrist (BGG), in which … leveraged goods-producers, subject to idiosyncratic productivity shocks, borrow from a competitive financial sector. In the … present paper, by contrast, it is the financial institutions which are leveraged and subject to idiosyncratic productivity …
Persistent link: https://www.econbiz.de/10009322500
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The 1920s and the 1990s in Mutual Reflection
Gordon, Robert J - C.E.P.R. Discussion Papers - 2005
productivity growth linked to the delayed effects of previously invented 'general purpose technologies' stimulated an increase in … fixed investment that became excessive and proved to be unsustainable, while the productivity acceleration helps to account …
Persistent link: https://www.econbiz.de/10005792478
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Managing Credit Bubbles
Martin, Alberto; Ventura, Jaume - C.E.P.R. Discussion Papers - 2014
We study a dynamic economy where credit is limited by insufficient collateral and, as a result, investment and output are too low. In this environment, changes in investor sentiment or market expectations can give rise to credit bubbles, that is, expansions in credit that are backed not by...
Persistent link: https://www.econbiz.de/10011084138
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Changing Credit Limits, Changing Business Cycles
Jensen, Henrik; Ravn, Søren Hove; Santoro, Emiliano - C.E.P.R. Discussion Papers - 2015
In the last decades, capital markets across the industrialized world have undergone massive deregulation, involving increases in the loan-to-value (LTV) ratios of households and firms. We study the business-cycle implications of this phenomenon in a dynamic general equilibrium model with...
Persistent link: https://www.econbiz.de/10011186632
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Credit Risk and Disaster Risk
Gourio, François - C.E.P.R. Discussion Papers - 2011
Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread...
Persistent link: https://www.econbiz.de/10008854475
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...
Persistent link: https://www.econbiz.de/10011083232
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Decentralizing the Stochastic Growth Model
Danthine, Jean-Pierre; Donaldson, John B - C.E.P.R. Discussion Papers - 2002
The objective of this Paper is to propose a number of alternative decentralized interpretations of representative agent style stochastic growth economies and to explore their implications for the generality of this model construct. Under our first interpretation, firms exist forever and...
Persistent link: https://www.econbiz.de/10005123516