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international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and … Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Production Based Asset Pricing Models. Foreign …
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This study augments the neoclassical growth model with a mechanism that creates a novel transmission channel through which financial shocks propagate to the real economy. By affecting agents' ability to finance consumption expenditures, financial frictions create a demand for safe assets that...
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Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon --- yet some economic agents could be particularly concerned about severe tail risk, rather than just mean returns. Motivated by present value logic, and the literature's suggestion that required...
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We show the competing effects of a housing bubble on the real economy by developing a two-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their houses to obtain financing, so a housing bubble helps firms obtain credit to finance their investment and...
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This paper explores the dynamic relationship between firm debt and real outcomes using data from 24 European economies over the period of 2000-2018. Based on macro data, it shows that a rise in credit to firms is associated with an increase in employment growth in the short-term, but employment...
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