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Pricing Assets in an Economy with Two Types of People

Farmer, Roger E. A. - 2016

This paper constructs a general equilibrium model with two types of people where asset price fluctuations are caused by random shocks to the price level that reallocate consumption across generations. In this model, asset prices are volatile, and price-earnings ratios are persistent, even though...

Persistent link: https://www.econbiz.de/10012992653

Business Cycle Fluctuations and the Life Cycle : How Important is On-the-Job Skill Accumulation?

Hansen, Gary D. - 2010

We study the effects of on-the-job skill accumulation on average hours worked by age and the volatility of hours over … volatility of hours over the life cycle depends on the value of the intertemporal elasticity of labor supply. When individuals … accumulate skills by on-the-job training, there are only weak effects on both the steady-state labor supply and its volatility …

Persistent link: https://www.econbiz.de/10012759693

Investment Spikes : New Facts and a General Equilibrium Exploration

Gourio, François - 2007

Using plant-level data from Chile and the U.S. we show that investment spikes are highly pro-cyclical, so much so that changes in the number of establishments undergoing investment spikes (the quot;extensive marginquot;) account for the bulk of variation in aggregate investment. The number of...

Persistent link: https://www.econbiz.de/10012776807

Dm-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Andersen, Torben - 2008

This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …

Persistent link: https://www.econbiz.de/10012774970

A Procedure for Predicting Recessions with Leading Indicators : Econometric Issues and Recent Experience

Stock, James H.; Watson, Mark W. - 2021

This paper examines the forecasting performance of various leading economic indicators and composite indexes since 1988. in particular during the onset of the 1990 recession. The primary focus is on an experimental recession index (tile "XRI"). a composite index which provides probabilistic...

Persistent link: https://www.econbiz.de/10013222917

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

Dumas, Bernard - 2000

Previous work by Dumas and Solnik (1993) has shown that a CAPM which incorporates foreign-exchange risk premia (a so-called 'international CAPM') is better capable empirically of explaining the structure of worldwide rates of return than does the classic CAPM. In the specification of that test,...

Persistent link: https://www.econbiz.de/10012788525

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

The Labor Market and Macro Volatility : A Nonstationary General-Equilibrium Analysis

Hall, Robert E. - 2021

replicating the observed levels of volatility of unemployment and other key variables. I take variations in productivity growth … market are essential for understanding the volatility of unemployment. These models include simple equilibrium wage … stickiness, where the sticky wage is an equilibrium selection rule. A second model based on modern bargaining theory delivers a …

Persistent link: https://www.econbiz.de/10013224895

Efficient "Myopic" Asset Pricing in General Equilibrium : a Potential Pitfall in Excess Volatility Tests

Buiter, Willem H. - 2010

Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the …-stationarity (including bubbles) and finite samples. Standard excess volatility tests are joint tests of market efficiency and risk neutrality …

Persistent link: https://www.econbiz.de/10012762911

Improper Churn : Social Costs and Macroeconomic Consequences

Caballero, Ricardo J.; Hammour, Mohamad L. - 2021

This paper assembles elements that are essential in forming an integral picture of the way a churning' economy functions and of the disruptions caused by transactional difficulties in labor and financial markets. We couch our analysis in a stochastic equilibrium model anchored with US evidence...

Persistent link: https://www.econbiz.de/10013228977