Narrow search
Showing 1 - 10 of 15,686
Cover Image
Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2015
the unconditional cross-sectional moments of household consumption growth and the moments of the risk free rate, equity … premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price …-dividend ratio are pro-cyclical while the market return has countercyclical mean and variance. Finally, household consumption risk …
Persistent link: https://www.econbiz.de/10013034190
Cover Image
Consumption, savings, and insurance with incomplete markets
Harenberg, Daniel - 2012
Persistent link: https://www.econbiz.de/10009557905
Cover Image
Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959
Cover Image
Monetary Policy through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...
Persistent link: https://www.econbiz.de/10012956564
Cover Image
Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2019
We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 60 to 85...
Persistent link: https://www.econbiz.de/10012903810
Cover Image
Nominal Rigidities and Asset Pricing
Weber, Michael - 2017
cycle. The premium is not driven by other firm and industry characteristics. Differential exposure to systematic risk fully …
Persistent link: https://www.econbiz.de/10012972908
Cover Image
Are Sticky Prices Costly? Evidence from the Stock Market
Gorodnichenko, Yuriy - 2017
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...
Persistent link: https://www.econbiz.de/10012974569
Cover Image
Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2020
We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 55 to 85...
Persistent link: https://www.econbiz.de/10012853432
Cover Image
Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2018
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10012931110
Cover Image
Monetary policy through production networks : evidence from the stock market
Ozdagli, Ali; Weber, Michael - 2017 - This version: October, 2017
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10011770624