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Credit Constraints, Capital Portfolios, and Measured Productivity
Duncan, Alfred; Mulay, Anup - 2022
We draw a straight line connecting financial shocks, capital investment decisions by firms, and change in measured … TFP. We propose a model that shows the mechanism of an adverse shock to credit access causing firms to change the balance …
Persistent link: https://www.econbiz.de/10014238987
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The Real Explanation of Nominal Bond-Stock Puzzles
Chernov, Mikhail; Lochstoer, Lars A.; Song, Dongho - 2021
We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve,...
Persistent link: https://www.econbiz.de/10013218634
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Optimal investment under ambiguous technology shocks
Asano, Takao; Osaki, Yusuke - In: European journal of operational research : EJOR 293 (2021) 1, pp. 304-311
Persistent link: https://www.econbiz.de/10012502482
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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 …
Persistent link: https://www.econbiz.de/10009786095
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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 …
Persistent link: https://www.econbiz.de/10010482490
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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The portfolio balance channel of quantitative easing in a DSGE model with financial frictions
Nelson, Genevieve - 2021
Investors who arbitrage between long term government debt and corporate debt expand the Portfolio Balance Channel in that the effects of QE spill over to the overall cost of corporate borrowing. I find that overall the Federal Reserve's second round of Large-Scale Asset Purchases (LSAPII) boosts...
Persistent link: https://www.econbiz.de/10012548226
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The optimal amount of attention to capital income risk
Yin, Penghui - 2018
This paper studies attention allocation behavior of rationally inattentive consumers who have CRRA preferences, face uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to capital income risk, we solve for the optimal...
Persistent link: https://www.econbiz.de/10011951668
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Optimal Investment in Learning-Curve Technologies
Della Seta, Marco - 2013
We study optimal investment in technologies characterized by the learning curve. There are two investment patterns … scale. If the curve is steep, firms invest earlier and on a smaller scale. We further demonstrate that learning investment … differs greatly from investment in technologies without learning effects. Learning investments generate substantial initial …
Persistent link: https://www.econbiz.de/10013093669
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Leapfrogging under a sequential investment strategy
Yim, Hyung-rok - In: The journal of applied business research 34 (2018) 3, pp. 437-445
Persistent link: https://www.econbiz.de/10011889698