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Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles
Görtz, Christoph - 2019
measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent's nowcast …
Persistent link: https://www.econbiz.de/10012858207
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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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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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Sector specific news shocks in aggregate and sectoral fluctuations
Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...
Persistent link: https://www.econbiz.de/10009753003
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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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Habit, Production, and the Cross-Section of Stock Returns
Chen, Andrew Y. - 2014
Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with...
Persistent link: https://www.econbiz.de/10013042999
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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