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Consumption, Wealth and Business Cycles in Germany
Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - CESifo - 2005
This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies — mostly for the Anglo-Saxon economies — have generally documented that departures of these three variables from their common trend...
Persistent link: https://www.econbiz.de/10005765943
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Fundamentals, Misvaluation, and Investment: The Real Story
Chirinko, Robert S.; Schaller, Huntley - CESifo - 2007
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We … introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama … misvaluation into standard investment equations to estimate the quantitative effect of misvaluation on investment. Overall, the …
Persistent link: https://www.econbiz.de/10005766115
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Do Bubbles Lead to Overinvestment?: A Revealed Preference Approach
Chirinko, Robert S.; Schaller, Huntley - CESifo - 2011
firms in making their investment decisions.We use a revealed preference approach that relies on the pattern of investment … spending – combined with investment theory – to estimate the discount rates used by managers. The standard story predicts that … firms with high stock prices and good investment opportunities should have discount rates that do not differ systematically …
Persistent link: https://www.econbiz.de/10009150640
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Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
Caporale, Guglielmo Maria; Sousa, Ricardo M. - CESifo - 2011
In this paper, we show, using the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that,...
Persistent link: https://www.econbiz.de/10009325810
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Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
Caporale, Guglielmo Maria; Sousa, Ricardo M. - CESifo - 2011
In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence...
Persistent link: https://www.econbiz.de/10009352230
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Top Incomes, Rising Inequality, and Welfare
Lansing, Kevin J.; Markiewicz, Agnieszka - CESifo - 2012
This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. Under realistic assumptions, we find that all agents can benefit from the...
Persistent link: https://www.econbiz.de/10010877730
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Land Collateral and Labor Market Dynamics in France
Kaas, Leo; Pintus, Patrick A.; Ray, Simon - CESifo - 2014
The value of land in the balance sheet of French firms correlates positively with their hiring and investment flows. To … land price shocks give rise to significant amplification and hump-shaped responses of investment, vacancies and …
Persistent link: https://www.econbiz.de/10010948812
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 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/10010948836
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Leaning Against Windy Bank Lending
Melina, Giovanni; Villa, Stefania - CESifo - 2015
Using an estimated dynamic stochastic general equilibrium model with banking, this paper first provides evidence that monetary policy reacted to bank loan growth in the US during the Great Moderation. It then shows that the optimized simple interest-rate rule features virtually no response to...
Persistent link: https://www.econbiz.de/10011265258
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Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - CESifo - 2011
This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...
Persistent link: https://www.econbiz.de/10009324087