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Assets bubbles, unemploymen, and financial market frictions

Hashimoto, Ken'ichi; Im, Ryonghun; Kunieda, Takuma; … - 2020

A tractable model with infinitely lived agents is constructed for the examination of bubbles and unemployment. It is … demonstrated that the presence of bubbles stimulates capital accumulation and reduces unemployment. The presence of bubbles also … changes the effects of government policies that target unemployment and welfare conditions in the labor market. The main …

Persistent link: https://www.econbiz.de/10012254416

Countercyclical Fluctuations in Uncertainty are Endogenous

Bernstein, Joshua; Plante, Michael; Richter, Alexander W.; … - 2021

This paper uses a battery of calibrated and estimated structural models to determine the causal drivers of the negative correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while aggregate uncertainty endogenously responds to...

Persistent link: https://www.econbiz.de/10013219154

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...

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

Equity Market Reaction to Pay Dispersion and Shareholders’ Prosocial Preferences

Pan, Yihui - 2020

Do equity investors care about pay dispersion and income inequality? We address this question by examining equity markets' reaction and investors' portfolio rebalancing in response to the first-time disclosure by U.S. public companies of the ratio of CEO to median worker pay in 2018. We find...

Persistent link: https://www.econbiz.de/10012843823

Mean volatility regressions

Lin, Lu; Li, Feng; Zhu, Lixing; Härdle, Wolfgang - 2010

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

Persistent link: https://www.econbiz.de/10008772580

Income Inequality and Asset Prices Under Redistributive Taxation

Pastor, Lubos - 2017

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more...

Persistent link: https://www.econbiz.de/10012970829