Narrow search
Showing 1 - 10 of 13,366
Cover Image
Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk
Harenberg, Daniel - 2018
the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson …
Persistent link: https://www.econbiz.de/10011900994
Cover Image
Are Sticky Prices Costly? Evidence from the Stock Market
Gorodnichenko, Yuriy - 2017
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...
Persistent link: https://www.econbiz.de/10012974569
Cover Image
What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?
Bekaert, Geert - 2015
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental … Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas … the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner …
Persistent link: https://www.econbiz.de/10013020862
Cover Image
Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
Cover Image
Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
Cover Image
Fragile beliefs and the price of uncertainty
Hansen, Lars Peter; Sargent, Thomas J. - In: Quantitative economics : QE ; journal of the … 1 (2010) 1, pp. 129-162
history-dependent component to prices of risk. …
Persistent link: https://www.econbiz.de/10011719071
Cover Image
Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
Cover Image
Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk
Rooj, Debasis - 2011
In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...
Persistent link: https://www.econbiz.de/10013121340
Cover Image
Technological synergies, heterogeneous firms, and idiosyncratic volatility
Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2024
This paper shows the importance of technological synergies among heterogeneous firms for aggregate fluctuations. First, we document six novel empirical facts using microdata that suggest the existence of important technological synergies between trading firms, the presence of positive...
Persistent link: https://www.econbiz.de/10014496498
Cover Image
The time-varying volatility of earnings and aggregate precautionary savings
Pozzi, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009720736