returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the … shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic …

investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit … spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question … financial shocks. By influencing the effective supply of credit, both types of shocks exert a powerful effect on investment and …

investment. Uncertainty increases real option values making firms more cautious when investing or disinvesting. This is confirmed … both numerically for a model with a rich mix of adjustment costs, time-varying uncertainty, and aggregation over investment … year investment response to demand shocks. This implies the responsiveness of firms to any given policy stimulus may be …

one type of capital good to save and invest in, fixed capital investment dynamics are tightly linked to consumption … dynamics, which are similar across lumpy and frictionless investment models. With capital goods heterogeneity, households … capital adjustment frictions. We quantify our arguments by introducing inventories into a two-sector lumpy investment model …

The ifo Investment Survey asks firms in the German manufacturing sector about the importance of sales, technological … factors, finance, return expectations, and macroeconomic policy for their investment activity in a given year. We show that … these subjective investment determinants 1) capture economically what their labels suggest, and 2) have strong explanatory …

We show that supply-side financial shocks have a large impact on firms' investment. We develop a new methodology to … of aggregate loan and investment fluctuations …

change in US saving is absorbed by increased domestic investment (contrary to Feldstein & Horioka). Almost half of the fiscal … deficits and increases in investment in other countries in the world. We cannot reject that the shock is uniformly transmitted …

We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

investment-specific technology shocks in generating fluctuations in hours. Using a neoclassical stochastic growth model, we show …