Narrow search
Showing 1 - 10 of 6,074
Cover Image
On the structural interpretation of the Smets-Wouters "risk premium" shock
Fisher, Jonas D. M. - 2014
This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.
Persistent link: https://www.econbiz.de/10010418208
Cover Image
Estimation Uncertainty and the Equity Premium
Yan, Hong - 2009
This paper studies a dynamic equilibrium model of asset prices in a partially observable exchange economy. It shows that the precautionary savings motive in response to estimation uncertainty can dominate the risk aversion effect, resulting in the reduction of the equity premium over short...
Persistent link: https://www.econbiz.de/10013157015
Cover Image
The Sensitivity of Risk Premiums to the Elasticity of Inter-Temporal Substitution
Wu, Zhiting - 2021
utility. My additional finding is that intertemporal substitution elasticity is more sensitive to asset prices given the …
Persistent link: https://www.econbiz.de/10013247585
Cover Image
Endogenous Crisis and the Economic Paradigm
Sy, Wilson N. - 2012
This paper proposes that the global financial and economic crisis has a single cause underlying all other causes. The single cause is attributed to the economic paradigm which drives individual behaviour, business, government and education. We define the economic paradigm and explain its power...
Persistent link: https://www.econbiz.de/10013109184
Cover Image
Consumption, Government Failure, and Asset Prices
de Oliveira Souza, Thiago - 2019
The equity premium-risk-free rate level and predictability puzzles in standard power utility consumption-based asset pricing models disappear once we remove the government-imposed component from the consumption expenditure series. I calibrate this component based on the growth rates of two...
Persistent link: https://www.econbiz.de/10012899070
Cover Image
Subjective Return Expectations
Wang, Renxuan - 2021
I document that the return expectations of Wall Street analysts are contrarian and countercyclical, contrasting with existing evidence that return expectations among Main Street investors (CFOs, retail investors) appear exclusively extrapolative and positively correlated. I demonstrate that an...
Persistent link: https://www.econbiz.de/10013234256
Cover Image
Pollution Abatement Investment under Financial Frictions and Policy Uncertainty
Fang, Min; Hsu, Po-Hsuan; Tsou, Chi-Yang - 2023
This paper examines how financial frictions and policy uncertainty jointly influence firms' investments in pollution abatement. Our data analyses suggest that financially constrained firms are less likely to invest in pollution abatement and are more likely to release toxic pollutants, with this...
Persistent link: https://www.econbiz.de/10014355864
Cover Image
Why Labor Income Shares Seem to Be Constant?
Zuleta, Hernando - 2010
shares are equal to the elasticity of output with respect to factors have had important implications for economic theory …. However, there are various theoretical reasons why the elasticity of output with respect to reproducible factors should be … to the elasticity of output with respect to factors then the labor income share must be negatively correlated with the …
Persistent link: https://www.econbiz.de/10013148910
Cover Image
Bond Premium Cyclicality and Liquidity Traps
Caramp, Nicolas - 2020
Safe asset shortages can expose the economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. Self-fulfilling liquidity traps are associated with a counter-cyclical bond premium. Small issuances of government debt crowd out private debt and...
Persistent link: https://www.econbiz.de/10012842573
Cover Image
Bond premium cyclicality and liquidity traps
Caramp, Nicolas; Singh, Sanjay R. - 2020
Safe asset shortages can expose the economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. Selfful filling liquidity traps are associated with a counter-cyclical bond premium. Small issuances of government debt crowd out private debt and...
Persistent link: https://www.econbiz.de/10012154516