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Housing and Debt Over the Life Cycle and Over the Business Cycle
Iacoviello, Matteo - 2015
borrowing limit, and housing investment, home-ownership, and household debt closely track aggregate productivity. In the late …
Persistent link: https://www.econbiz.de/10013038658
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Housing and Debt Over the Life Cycle and Over the Business Cycle
Iacoviello, Matteo - 2012
We study housing and debt in a quantitative general equilibrium model. In the cross-section, the model matches the wealth distribution, the age profiles of homeownership and mortgage debt, and the frequency of housing adjustment. In the time-series, the model matches the procyclicality and...
Persistent link: https://www.econbiz.de/10013113410
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Lumpy Investment, Fluctuations in Volatility, and Monetary Policy
Fang, Min - 2020
experience an increase in the variance of their productivity shocks) than during normal times? In this paper, I argue that …
Persistent link: https://www.econbiz.de/10012840814
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Housing and debt over the life cycle and over the business cycle
Iacoviello, Matteo; Pavan, Marina - 2009
maximum borrowing limit, and housing investment, homeownership, and household debt closely track aggregate productivity. In …
Persistent link: https://www.econbiz.de/10003906135
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Is the Effect of Dividend Policy on the Volatility of Stock Prices Stable : An Empirical Study on European Countries?
Aktürk, Esen; Karan, Mehmet Baha; Pirgaip, Burak - 2022
We scrutinize the impact of dividend policy on stock price volatility by considering the seminal paper of Baskin (1989). In this context, we examine the relationship between volatility and three dividend policy indicators, dividend yield, dividend payout, and stock repurchases, for 1,221 firms...
Persistent link: https://www.econbiz.de/10013298815
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Housing and debt over the life cycle and over the business cycle
Iacoviello, Matteo; Pavan, Marina - 2009
maximum borrowing limit, and housing investment, homeownership, and household debt closely track aggregate productivity. In …
Persistent link: https://www.econbiz.de/10010280939
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The Impact of Volatility Targeting
Harvey, Campbell R. - 2018
Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. We show that this result only holds for “risk assets”, such as equity and credit, and link this to the so-called leverage effect for those assets. In...
Persistent link: https://www.econbiz.de/10012919762
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Volatility and Growth : Credit Constraints and Productivity-Enhancing Investment
Aghion, Philippe; Banerjee, Abhijit V.; Angeletos, … - 2015
We examine how credit constraints affect the cyclical behavior of productivity-enhancing investment and thereby … a long-term productivity-enhancing one. Because it takes longer to complete, long-term investment has a relatively less …
Persistent link: https://www.econbiz.de/10014028049
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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Productivity, energy prices, and the great moderation: A new link
Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008
We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a … negatively affected productivity. This spillover has since disappeared. Second, we show that within the framework of a dynamic … stochastic general equilibrium model, the disappearance of this energy-productivity spillover generates the significantly lower …
Persistent link: https://www.econbiz.de/10010292361