Similar Search Results

Incentive and Welfare Effects of Idiosyncratic Return Risk

Courbage, Christophe - 2020

We provide a microeconomic analysis of the incentive and welfare effects of idiosyncratic return risk. While most of the existing literature has focused on risky returns as an aggregate shock, we allow for correlation between returns and the agent's non-financial endowment. Using a simple...

Persistent link: https://www.econbiz.de/10012852575

Capital Gains

Shell, Karl - 2008

Capital gains play an important, positive role in the inter-temporal allocation of resources, but they can also be a source of economic instability. We analyze a simple overlapping-generations economy with capital goods and irreversible investment. For each vector of initial capital/labor...

Persistent link: https://www.econbiz.de/10012726843

What do unions do to pension performance?

Even, William E.; Macpherson, David A. - 2010

estimate the effects of unions on risk adjusted returns and find that the union effect on performance varies in ways that are … consistent with our priors. In particular, unions have the largest negative effect among multi-employer defined contribution … plans and the negative effect of unions can be eliminated by a switch to participant direction. Also, we find that unions …

Persistent link: https://www.econbiz.de/10009153570

Darwinian returns to scale

Baqaee, David; Farhi, Emmanuel - 2021

Persistent link: https://www.econbiz.de/10012420462

Intertemporal allocation with incomplete markets

Kuhle, Wolfgang - 2010

Persistent link: https://www.econbiz.de/10008856789

Cyclical asset returns in the consumption and investment goods sector

Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10009786095

Cyclical asset returns in the consumption and investment goods sector : conference paper

Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10010482490

Predicting Simultaneous Severe Recessions Using Yield Spreads as Leading Indicators

Christiansen, Charlotte - 2012

Severe simultaneous recessions are defined to occur when at least half of the countries under investigation (Australia, Canada, Germany, Japan, United Kingdom, and United States) are in recession simultaneously. I pose two new research questions that extend upon stylized facts for US recessions....

Persistent link: https://www.econbiz.de/10013114667

Equity Returns and Business Cycles in Small Open Economies

Jahan-Parvar, Mohammad R. - 2013

This is the first paper in the DSGE literature to match key business cycle moments and long-run equity returns in a small open economy with production. These results are achieved by introducing four modifications to a standard real business cycle model: (1) borrowing and lending costs are...

Persistent link: https://www.econbiz.de/10013092427

Business-cycle consumption risk and asset prices

Bandi, Federico M. - 2020

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...

Persistent link: https://www.econbiz.de/10012856904

1
2
3
4
5
6
7
8
9
10
Next
Last