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Intermediary balance sheets
Adrian, Tobias; Boyarchenko, Nina - 2013
We document the cyclical properties of the balance sheets of different types of intermediaries. While the leverage of the bank sector is highly procyclical, the leverage of the nonbank financial sector is acyclical. We propose a theory of a two-agent financial intermediary sector within a...
Persistent link: https://www.econbiz.de/10010202648
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Adverse selection, risk sharing and business cycles
Veracierto, Marcelo - 2014
I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...
Persistent link: https://www.econbiz.de/10010424280
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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
-level investment is procyclical. We show that a heterogeneous-firm RBC model with quantitatively realistic countercyclically disperse … state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a …-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms …
Persistent link: https://www.econbiz.de/10003888063
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Firm-specific productivity risk over the business cycle : facts and aggregate implications
Bachmann, Ruediger; Bayer, Christian - 2009
-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment ; countercyclical risk ; aggregate shocks …
Persistent link: https://www.econbiz.de/10003898815
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Firm-specific productivity risk over the business cycle : facts and aggregate implications
Bachmann, Ruediger; Bayer, Christian - 2009
effect of time-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment …
Persistent link: https://www.econbiz.de/10003857672
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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
of firm-level investment is procyclical. We show that a heterogeneousfirm RBC model with quantitatively realistic … of the steady state investment rate distribution, produces investment dispersion that positively comoves with the cycle … ; cross-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks …
Persistent link: https://www.econbiz.de/10003857682
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Online Appendix of 'The Seeds of a Crisis : A Theory of Bank Liquidity and Risk-Taking Over the Business Cycle'
Naqvi, Hassan - 2011
Persistent link: https://www.econbiz.de/10013132823
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Disaster Risk and Business Cycles
Gourio, Francois - 2010
prices. An increase in the risk of disaster leads to a collapse of investment and a recession, with no current or future … business cycle dynamics, especially sharp downturns in investment and output such as the last quarter of 2008. This is … risk premia has an important effect on investment and output …
Persistent link: https://www.econbiz.de/10013146622
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The Impact of Uncertainty Shocks on the Investment of Small and Large Firms : Micro Evidence and Macro Implications
Kim, Junhyong - 2021
This paper investigates how cross-sectional micro-uncertainty influences the investment of small and large firms and … discusses the aggregate implications of the heterogeneity in their investment decisions. Empirically, we find that large firms … show less investment decline in times of heightened uncertainty. We provide empirical evidence for the underlying driver of …
Persistent link: https://www.econbiz.de/10013323777
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The Krusell-Smith algorithm : are self-fulfilling equilibria likely?
Cozzi, Marco - 2014
I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate uncertainty and incomplete markets is likely to be subject to multiple self-fulfilling equilibria. In a benchmark economy, the parameters representing the equilibrium aggregate...
Persistent link: https://www.econbiz.de/10010348847