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Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent’s nowcast …

Persistent link: https://www.econbiz.de/10012129784

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

Persistent link: https://www.econbiz.de/10012704696

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

Persistent link: https://www.econbiz.de/10012878659

Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles

Görtz, Christoph - 2019

Persistent link: https://www.econbiz.de/10012858207

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - In: Journal of economic dynamics & control 137 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013464503

Sector specific news shocks in aggregate and sectoral fluctuations

Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013

Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...

Persistent link: https://www.econbiz.de/10009753003

An empirical analysis of business cycles in a New Keynesian model with inventories

Förster, Marcel - 2014 - This version: 13 February 2014

This paper introduces inventories in an otherwise standard dynamic stochastic general equilibrium model. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. Based on U.S. data we estimate the parameters of our model...

Persistent link: https://www.econbiz.de/10010243418

The Great Moderation : inventories, shocks or monetary policy?

Förster, Marcel - 2013

This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...

Persistent link: https://www.econbiz.de/10010208560

News shocks under financial frictions

Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020

We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in various credit spread indicators considered in the...

Persistent link: https://www.econbiz.de/10012373126

Is there news in inventories?

Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2020

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic aggregates. We show that the standard theoretical...

Persistent link: https://www.econbiz.de/10012213178

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