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High discounts and low fundamental surplus : an equivalence result for unemployment fluctuations

Mitra, Indrajit; Seo, Taeuk; Xu, Yu - 2021

Ljungqvist and Sargent (2017) (LS) show that unemployment fluctuations can be understood in terms of a quantity they call the "fundamental surplus." However, their analysis ignores risk premia, a force that Hall (2017) shows is important in understanding unemployment fluctuations. We show how...

Persistent link: https://www.econbiz.de/10012649569

Search Intensity and Asset Prices

Luo, Ding; Tong, Jincheng - 2022

Job search decisions of unemployed workers are forward-looking and respond to expected returns from the search process …. When expected returns (or discount rates) are high, the discounted benefits from the search process are low. Thus … unemployed workers search less intensively for jobs. We build a Diamond-Mortensen-Pissarides (DMP) search model with variable …

Persistent link: https://www.econbiz.de/10014235643

Fiscal Policy Shocks and Stock Prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2021

This paper uses structural vector autoregressive models (SVARs) to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1979, an expansionary spending or revenue shock was associated with higher stock prices. After 1980, the response of stock prices to...

Persistent link: https://www.econbiz.de/10013220869

News-driven business cycles in SVARs

Bunk, Patrick - 2011

Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its...

Persistent link: https://www.econbiz.de/10010281600

Stock price cycles and business cycles

Adam, Klaus; Merkel, Sebastian - 2019

We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence....

Persistent link: https://www.econbiz.de/10012098187

Heterogeneous-Agent Asset Pricing

Paron, James D. - 2021

This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all...

Persistent link: https://www.econbiz.de/10013237723

Firm Leverage and Boom-Bust Cycles

Sever, Can - 2023

This paper explores the dynamic relationship between firm debt and real outcomes using data from 24 European economies over the period of 2000-2018. Based on macro data, it shows that a rise in credit to firms is associated with an increase in employment growth in the short-term, but employment...

Persistent link: https://www.econbiz.de/10014353733

The Effect of Political Uncertainty on Financial Flexibility and Firm Value

Gregory, Richard Paul - 2020

[enter Abstract Body]Constructing a simple general equilibrium model, I examine the effect of local and international political uncertainty on financial flexibility and firm value. The model predicts that political uncertainty will have a negative effect on both. I then empirically examine the...

Persistent link: https://www.econbiz.de/10012835801

Labor Force Telework Flexibility and Asset Prices : Evidence from the COVID-19 Pandemic

Favilukis, Jack Y - 2020

We show that labor force telework flexibility (LFTF) is a first-order effect in accounting for the variations of asset prices and firm policies during the COVID-19 pandemic. Specifically, firms in high LFTF industries significantly outperform firms in low LFTF industries in stock returns. The...

Persistent link: https://www.econbiz.de/10012823122

Expectation driven business cycles with limited enforcement

Walentin, Karl - 2009

We explore the implications of shocks to expected future productivity in a setting with limited enforcement of financial contracts. As in Lorenzoni andWalentin (2007) optimal financial contracts under limited enforcement imply that to obtain external finance firms have to post collateral in...

Persistent link: https://www.econbiz.de/10010320759