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exposure to macroeconomic risk, consistent with sticky information models in which people are inattentive, but understand how …
Persistent link: https://www.econbiz.de/10011877783
This paper studies how managers plan under uncertainty. In a new survey panel on German manufacturing firms, we show that uncertainty reflects change: Planning incorporates higher subjective uncertainty about future sales growth when the firm has just experienced unusual growth, and more so if...
Persistent link: https://www.econbiz.de/10012668288
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014388605
degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …
Persistent link: https://www.econbiz.de/10012622575
Subjective expectations about future policy play an important role in individuals' welfare. We examine how workers' expectations about pension reform vary with proximity to reforms, information cost, and aggregate information acquisition. We construct a new pan-European dataset of reform...
Persistent link: https://www.econbiz.de/10012104108
Using a long-panel dataset of Japanese firms that contains firm-level sales forecasts, we provide evidence on firm-level uncertainty and imperfect information over their life cycle. We find that firms make non-negligible and positively correlated forecast errors. However, they make more precise...
Persistent link: https://www.econbiz.de/10012258487
This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment … quantitative heterogeneous firm model calibrated to match the survey evidence, firms' concern with tail risk makes fiscal policy …
Persistent link: https://www.econbiz.de/10015396790
We reassess the "scarringʺ hypothesis by Clark et al. (2001), which states that unemployment experienced in the past reduces a person's current life satisfaction even after the person has become reemployed. Our results suggest that the scar from past unemployment operates via worsened...
Persistent link: https://www.econbiz.de/10003790758
In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …
Persistent link: https://www.econbiz.de/10011507667