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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
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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
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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
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The nonlinear multidimensional relationship between stock returns and the macroeconomy
Chen, Pian; Smith, Aaron D. - In: Applied economics 45 (2013) 34/36, pp. 4985-4999
Persistent link: https://www.econbiz.de/10010225854
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758
Persistent link: https://www.econbiz.de/10012160151
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Pro-cyclical effect of sovereign rating changes on stock returns : a fact or factoid?
Riaz, Yasir; Shehzad, Choudhry Tanveer; Umar, Zaghum - In: Applied economics 51 (2019) 15, pp. 1588-1601
Persistent link: https://www.econbiz.de/10012196579
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The impact of ESG news on the volatility of the Portuguese stock market : does it change during recessions?
Zanatto, Cássio; Catalão-Lopes, Margarida; Pina, … - In: Business strategy and the environment 32 (2023) 8, pp. 5821-5832
Persistent link: https://www.econbiz.de/10014466821
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Moments of cross-sectional stock market returns and the German business cycle
Döpke, Jörg; Müller, Karsten; Tegtmeier, Lars - In: Economic notes 52 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014289695
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High discounts and high unemployment
Hall, Robert Ernest - 2014
Persistent link: https://www.econbiz.de/10010253995