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Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
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Measuring market expectations
Baumeister, Christiane - 2021
applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock …
Persistent link: https://www.econbiz.de/10012622575
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10009786095
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Unemployment and debt dynamics in a highly indebted small open economy
Heer, Burkhard; Schubert, Stefan Franz - 2011
The paper analyzes the dynamic effects of a total factor productivity shock and an interest rate risk premium shock in … bargaining are introduced. We find that a negative total factor productivity shock primarily has effects on the economy … significantly reduces the initial response of the unemployment rate. In case of a temporary productivity shock, sticky wages imply …
Persistent link: https://www.econbiz.de/10009153857
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
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Consumption dynamics and welfare under non-Gaussian earnings risk
Guvenen, Fatih; Ozkan, Serdar; Madera, Rocio - 2024
Recent empirical studies document that the distribution of earnings changes displays substantial deviations from lognormality: in particular, earnings changes are negatively skewed with extremely high kurtosis (long and thick tails), and these non-Gaussian features vary substantially both over...
Persistent link: https://www.econbiz.de/10014543845
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Risk pooling, leverage, and the business cycle
Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana - 2019 - This version: 10th July 2019
This paper investigates the interdependence between the risk-pooling activity of the financial sector and: output, consumption, risk-free rate, and Sharpe ratio in a dynamic general equilibrium model of a productive economy. Due to their exposure to idiosyncratic shocks and market segmentation,...
Persistent link: https://www.econbiz.de/10012040094
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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...
Persistent link: https://www.econbiz.de/10003888063
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Firm-specific productivity risk over the business cycle : facts and aggregate implications
Bachmann, Ruediger; Bayer, Christian - 2009
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty...
Persistent link: https://www.econbiz.de/10003898815
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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies …
Persistent link: https://www.econbiz.de/10009514773