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Which financial frictions? : parsing the evidence from the financial crisis of 2007-09
Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10009411381
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Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
Adrian, Tobias - 2012
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10013113163
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Why does the yield-curve slope predict recessions?
Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018
Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...
Persistent link: https://www.econbiz.de/10011924714
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Disaster Risk and Business Cycles
Gourio, Francois - 2010
-varying risk of economic disaster. Both asset prices and macroeconomic aggregates respond to this time-varying risk. The model is … prices. An increase in the risk of disaster leads to a collapse of investment and a recession, with no current or future … risky securities increase. To assess the empirical validity of the model, I infer the probability of disaster from observed …
Persistent link: https://www.econbiz.de/10013146622
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What Drives the Value Premium? : The Role of Asset Risk and Leverage
Choi, Jaewon - 2014
This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth...
Persistent link: https://www.econbiz.de/10013071094
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Monetary policy, inflation outlook, and recession probabilities
Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022
Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...
Persistent link: https://www.econbiz.de/10013279282
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Back to the 1980s or Not? : The Drivers of Inflation and Real Risks in Treasury Bonds
Pflueger, Carolin E. - National Bureau of Economic Research - 2023
I use nominal and real bond risks as new moments to discipline a New Keynesian asset pricing model, where supply shocks, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that nominal bond risks--as measured by their stock...
Persistent link: https://www.econbiz.de/10014226118
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R - 2021
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012705247
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Recent Developments in Financial Risk and the Real Economy
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
This paper reviews recent developments in macro and finance on the relationship between financial risk and the real economy. We focus on three specific topics: the term structure of uncertainty, time variation - and specifically the long-term decline - in the variance risk premium, and time...
Persistent link: https://www.econbiz.de/10014437009
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Consumption Fluctuations and Expected Returns
Atanasov, Victoria - 2019
This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is...
Persistent link: https://www.econbiz.de/10012900308