This paper begins with a puzzle. Over the past three decades, trading in asset markets has become progressively more short-term oriented ("faster"), with traders attempting to exploit intraday price trends. Yet, over this time, asset prices have continued to move in a sequence of alternating...

This paper proposes an equilibrium model to explain the positive and sizable term premia observed in the data. We introduce a slow mean-reverting process of consumption growth and a segmented asset market mechanism with heterogeneous trading technology to otherwise a standard heterogeneous agent...

This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the work by Schmitt-Grohe and Uribe to third order, we derive propositions for how rare disasters, stochastic volatility, and GARCH affect any risk premia...

This article proposes a general equilibrium model to explain the positive and sizable term premia implied by the data. The authors introduce a slow mean-reverting process of consumption growth and a segmented asset-market mechanism with heterogeneous trading technologies into an otherwise...

We show that taking into account the optimal response of agents subject to financial frictions reproduces two empirical facts on the response to interest rate shocks: the decrease in the stock of money on impact and the gradual decrease in the real stock of money. Financial frictions are...

It was not until the outbreak of the global financial crisis in 2007 when people turned to Hyman Minsky's financial-instability hypothesis. Owing to the critique that financial markets are not taken into consideration in economic analyses, recent macroeconomic literature has started...

We demonstrate that financial cycles (identified as common fluctuations in credit and asset prices, proxying balance-sheet leverage) strongly differ across countries, e.g., in duration. This is contradictory to a similar duration assumption inherent in prevalent proxies of financial cycles, such...

This paper introduces financial cycle indexes and uses them in an early warning exercise. The indexes are based on the traditional theory of business cycles. Juglar cycles are deduced from a number of financial indicators, categorized as leading and lagging indicators, and aggregated into...

The volatility of aggregate economic activity in the United States decreased markedly in the mid eighties. The decrease was diffused among several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks and more effective policy, and a diverse...