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Leasing, Ability to Repossess, and Debt Capacity

Eisfeldt, Andrea; Rampini, Adriano - Society for Economic Dynamics - SED - 2006

This paper studies the role of leasing of productive assets. When capital is leased (or rented), it is more easily … repossessed and hence leasing has higher debt capacity and relaxes financing constraints. However, leasing gives rise to an agency … leasing provided by leasing firms, namely that leasing â€œpreserves capital,â€ which is generally considered a fallacy in the …

Persistent link: https://www.econbiz.de/10005069226

Risks For The Long Run And The Real Exchange Rate

Colacito, Riccardo; Croce, Mariano - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10004970320

Expectations and Asset Prices with Heterogeneous Households

Piazzesi, Monika; Schneider, Martin - Society for Economic Dynamics - SED - 2006

This paper uses a temporary equilibrium framework to evaluate the impact of expectations on asset valuation. The model determines asset prices as a function of asset supply as well as the distribution of household endowments and expectations, which is matched to survey data.

Persistent link: https://www.econbiz.de/10005069253

The Baby Boom: Predictability in House Prices and Interest Rates

Martin, Robert F. - Society for Economic Dynamics - SED - 2006

This paper explores the baby boom's impact on U.S. house prices and interest rates in the post-war 20th century and beyond. Using a simple Lucas asset pricing model, I quantitatively account for the increase in real house prices, the path of real interest rates, and the timing of low-frequency...

Persistent link: https://www.econbiz.de/10005069321

Welfare Costs, Long Run Consumption Risk, and a Production Economy.

Croce, Mariano M. - Society for Economic Dynamics - SED - 2006

The main goal of this paper is to measure the welfare costs of business cycles in a production economy in which the representative agent has low risk aversion and - at the same time - the equity premium and the co-movements of aggregate quantities and market returns are comparable to what...

Persistent link: https://www.econbiz.de/10005069327

Business Cycles under Generalized Disappointment Aversion

Campanale, Claudio; Castro, Rui; Clementi, Gian Luca - Society for Economic Dynamics - SED - 2006

Standard business cycle models with state-additive preferences, while broadly consistent with the behavior of real macroeconomic aggregates, are unable to generate asymmetries between expansions and recessions, and are also inconsistent with the behavior of asset prices. In this paper we exploit...

Persistent link: https://www.econbiz.de/10005069351

Two Trees: Asset Price Dynamics Induced by Market Clearing

Cochrane, John H.; Longstaff, Francis - Society for Economic Dynamics - SED - 2004

If stocks go up, investors may want to rebalance. But investors cannot all rebalance. Expected returns mustrise (or other moments must change) so that the average investor is happy to hold the total market portfolio despite its greater allocation to stocks. In this way, of market clearing can...

Persistent link: https://www.econbiz.de/10005069540

Does the US government hedge against government expenditure risk?

Yeltekin, Sevin; Lustig, Hanno; Sleet, Chris - Society for Economic Dynamics - SED - 2004

Standard theory prescribes that the government hedge against shocks to its expenditures by generating total debt portfolio returns with a negative beta on government expenditure innovations. This paper asseses how well the government manages its debt portfolio against the benchmark government...

Persistent link: https://www.econbiz.de/10005069563

The Price Impact and Survival of Irrational Traders

Kogan, Leonid; Ross, Stephen - Society for Economic Dynamics - SED - 2004

Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price influence have been assumed to be the same. Often partial equilibrium analysis has been relied upon to...

Persistent link: https://www.econbiz.de/10005069578

Asset Prices and Asset Correlations in Illiquid Markets

Caldarera, Alessio; Brunetti, Celso - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10005090846