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Essays on asset pricing with contagion, endogenous growth, and long-run risk
Grüning, Patrick - 2015
Persistent link: https://www.econbiz.de/10010530710
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News shocks and asset price volatility in general equilibrium
Matsumoto, Akito; Cova, Pietro; Pisani, Massimiliano; … - 2011
Persistent link: https://www.econbiz.de/10009533805
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Essays in theoretical and empirical macroeconomics
Güntner, Jochen - 2012
Persistent link: https://www.econbiz.de/10009690508
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Asset price bubbles : the implications for monetary, regulatory, and international policies
Hunter, William Curt (ed.); Kaufman, George G. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001692173
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On the measurement of the international propagation of shocks: is the transmission stable?
Rigobón, Roberto - In: Journal of international economics 61 (2003) 2, pp. 261-283
Persistent link: https://www.econbiz.de/10001815790
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On the measurement of the international propagation of shocks
Rigobón, Roberto - 1999
Persistent link: https://www.econbiz.de/10001418703
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News Shocks and Asset Price Volatility in General Equilibrium
Matsumoto, Akito - 2011
This paper studies equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1998) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. This paper shows that...
Persistent link: https://www.econbiz.de/10013121553
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Asset Pricing in the Frequency Domain : Theory and Empirics
Dew-Becker, Ian - 2013
a given shock can be represented as a weighted integral over that spectral decomposition. The weight assigned to each …
Persistent link: https://www.econbiz.de/10013076563
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Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices
Ohnsorge, Franziska - 2014
sovereign-sovereign, bank-bank, and bank-sovereign correlations than nonsafehavens. In a simple shock propagation model, we … illustrate how these higher correlations may turn safe havens into shock propagators. While we discuss safe havens as a group, we …
Persistent link: https://www.econbiz.de/10013053036
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Asset Pricing in the Frequency Domain : Theory and Empirics
Dew-Becker, Ian L. - 2015
We quantify investors' preferences over the dynamics of shocks by deriving frequency - specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The frequency-specific risk prices are derived analytically for leading models. The decomposition helps...
Persistent link: https://www.econbiz.de/10013017762