We model a risk-averse firm owner who wants to maximize the intertemporal expected utility of firm’s dividends. The … optimal dynamic control problem is characterized by two stochastic state variables: the equity value, and profitability (ROA …) of the _rm. According to the empirical evidence, we let profitability follow a mean reverting process. The problem is …

require to carry maturity risk. During a boom, profitability is increasing and thus spreads are low, while during a recession … and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future … profitability of banks’ portfolios affect their ability to cover for any liquidity shortage and hence influence the premium they …

qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed …

the housing expenditure risk associated with each tenure mode, and (4) there is a probability that newcomer households …

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both …. Conversely, direct forecasts may dominate in the presence of dynamic model misspecification. Empirical analysis of the set of 170 … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …