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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464503
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A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia
Chen, Andrew Y. - 2017
A simple general equilibrium production economy matches moments of the value premium and equity premium. Value firms have low productivity, but will eventually produce high cash flows. The present value of these temporally distant cash flows is especially sensitive to equity premium movements....
Persistent link: https://www.econbiz.de/10012969553
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Bayesian estimation of a DSGE model with inventories
Foerster, Marcel - 2011
This paper introduces inventories in an otherwise standard Dynamic Stochastic General Equilibrium Model (DSGE) of the business cycle. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. The paper's main contribution is...
Persistent link: https://www.econbiz.de/10010281471
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An empirical analysis of business cycles in a New Keynesian model with inventories
Förster, Marcel - 2014 - This version: 13 February 2014
This paper introduces inventories in an otherwise standard dynamic stochastic general equilibrium model. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. Based on U.S. data we estimate the parameters of our model...
Persistent link: https://www.econbiz.de/10010243418
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The Great Moderation : inventories, shocks or monetary policy?
Förster, Marcel - 2013
This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...
Persistent link: https://www.econbiz.de/10010208560
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Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?
Bali, Turan G. - 2016
We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity … portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta … decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find …
Persistent link: https://www.econbiz.de/10012986401
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Which financial frictions? : parsing the evidence from the financial crisis of 2007-09
Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10009411381
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Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
Adrian, Tobias - 2012
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10013113163
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The Impact of US Financial Uncertainty Shocks on Emerging Market Economies : An International Credit Channel
Choi, Sangyup - 2016
I document that US financial uncertainty shocks, measured by an unexpected increase in VIX, have a substantial impact … propagation mechanism of US financial uncertainty shocks to EMEs. I augment a boom-bust cycle model of EMEs by Schneider and … EMEs - to satisfy their Value-at-Risk constraints - in response to uncertainty shocks, borrowing costs increase and …
Persistent link: https://www.econbiz.de/10012980162
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Revisiting the matching function
Kohlbrecher, Britta; Merkl, Christian; Nordmeier, Daniela - 2016
There is strong empirical evidence for Cobb-Douglas matching functions. We show in this paper that this widely found relation between matches on the one hand and unemployment and vacancies on the other hand can be the result of different underlying mechanisms. Obviously, it can be generated by...
Persistent link: https://www.econbiz.de/10011482505