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Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …
Persistent link: https://www.econbiz.de/10013080499
We study the impact of a government spending shock on the distribution of income and wealth between cohorts in a …-of-thumb consumers. We demonstrate that an unexpected increase in government spending increases income inequality and decreases wealth …
Persistent link: https://www.econbiz.de/10012991940
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158
. The pooling and tranching of credit assets relaxes both the funding and the risk constraints financial entities face … allowing them to increase balance sheet holdings. This increase in asset demand depresses the compensation for undertaking risk … in the economy, confirming our empirical results. Crucially, we show that declines in the compensation for risk taking in …
Persistent link: https://www.econbiz.de/10013026686
The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital...
Persistent link: https://www.econbiz.de/10012962123
We consider optimal monetary policy in a model that integrates credit frictions in the standard New Keynesian model with sticky prices and wages as well as adjustment costs of capital. Different from traditional models with credit frictions such as Carlstrom and Fuerst (1998), the model is able...
Persistent link: https://www.econbiz.de/10012993022
Using an intertemporal model of saving and capital accumulation with two types of agents (workers and capitalists) we demonstrate that it is impossible for any binding minimum wage to increase the after-tax incomes of workers if the production function is Cobb-Douglas with constant returns to...
Persistent link: https://www.econbiz.de/10012988396
We analyse optimal saving of risk-averse households when labour income stochastically jumps between two states. The … generalized Keynes-Ramsey rule includes a precautionary savings term. A phase diagram analysis illustrates consumption and wealth …
Persistent link: https://www.econbiz.de/10013144214
We analyze optimal taxation of labor and capital income in a life-cycle framework with idiosyncratic income risk. We … independent of the social welfare function and determined by the degree of income risk and risk aversion. The optimal linear … provide a novel decomposition of labor income tax formulas into a redistribution and an insurance component. The latter is …
Persistent link: https://www.econbiz.de/10013020515