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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Ait-Sahalia, Yacine - 2010
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10013146261
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In...
Persistent link: https://www.econbiz.de/10013076911
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason; Campbell, John Y. - 2021
mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …
Persistent link: https://www.econbiz.de/10013225971
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Technological Revolutions and Stock Prices
Pastor, Lubos - 2014
We develop a general equilibrium model in which stock prices of innovative firms exhibit quot;bubblesquot; during technological revolutions. In the model, the average productivity of a new technology is uncertain and subject to learning. During technological revolutions, the nature of this...
Persistent link: https://www.econbiz.de/10012752458
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Rare Macroeconomic Disasters
Barro, Robert J. - 2011
relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and …
Persistent link: https://www.econbiz.de/10013121059
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Financial Development and the Instability of Open Economies
Aghion, Philippe; Banerjee, Abhijit V.; Bacchetta, Philippe - 2021
This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit...
Persistent link: https://www.econbiz.de/10013221113
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The Mother of All Sudden Stops : Capital Flows and Reversals in Europe, 1919-32
Accominotti, Olivier - 2013
explaining the surge and reversal in capital flows. In particular, the sharp increase in stock market volatility in the major …
Persistent link: https://www.econbiz.de/10013073942
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Dynamic Asset Allocation with Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …
Persistent link: https://www.econbiz.de/10012787129
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Uncertainty Shocks, Asset Supply and Pricing Over the Business Cycle
Bianchi, Francesco - 2014
This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...
Persistent link: https://www.econbiz.de/10013054525
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Origins of Stock Market Fluctuations
Greenwald, Daniel - 2014
Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...
Persistent link: https://www.econbiz.de/10013060683