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A model of asset price spirals and aggregate demand amplification of a "Covid-19" shock
Caballero, Ricardo J.; Simsek, Alp - 2020
Persistent link: https://www.econbiz.de/10012230394
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The Impact of Uncertainty Shocks on the Cross-Section of Returns
Koh, Woo Hwa - 2017
(CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can … augmented with time-varying uncertainty accounts for both the value premium and the empirical failure of the CAPM. This study …
Persistent link: https://www.econbiz.de/10012965668
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
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On portfolio frictions, asset returns and volatility
Eyquem, Aurélien; Poilly, Céline; Belianska, Anna - In: European economic review : EER 160 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014461518
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Household consumption and dispersed information
Adams, Jonathan J.; Rojas, Eugenio - In: Journal of monetary economics 147 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015071546
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Discussion of "Microeconomic uncertainty, international trade, and aggregate fluctuations"
Lustig, Hanno - In: Journal of monetary economics 69 (2015), pp. 39-41
Persistent link: https://www.econbiz.de/10011326721
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International business cycles and risk sharing with uncertainty shocks and recursive preferences
Kollmann, Robert - 2016
Persistent link: https://www.econbiz.de/10011672367
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Uncertainty and unemployment
Schaal, Edouard - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 6, pp. 1675-1721
Persistent link: https://www.econbiz.de/10011791618
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Incorporating diagnostic expectations into the new Keynesian framework
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2023
Persistent link: https://www.econbiz.de/10014328771
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Incorporating diagnostic expectations into the new Keynesian framework
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2023
Persistent link: https://www.econbiz.de/10014328949