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Barro, Robert J. - 2020

Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and understanding asset pricing. We estimate a model with RE and LRR using long-term consumption data for 42 economies, identify these two types of risks simultaneously from the...

Persistent link: https://www.econbiz.de/10012854524

Investment in productivity and the long-run effect of financial crises in output

Ridder, Maarten de - 2016

This paper analyzes the channels through which financial crises exert long-term negative effects on output. Recent models suggest that a shortfall in productivity-enhancing investments temporarily slows technological progress, creating a gap between pre-crisis trend and actual GDP. This...

Persistent link: https://www.econbiz.de/10011573282

Credit-Less Recoveries : The Role of Investment-Savings Imbalances

Malliaropulos, Dimitris; Balfoussia, Hiona - 2022

This paper argues that the investment–savings imbalances of households and companies play an important role in … determining the probability that an economy experiences a credit-less recovery, following a recession. The investment–savings gap …-less recoveries are indeed associated with both low and declining financing needs of the private sector, as proxied by the investment …

Persistent link: https://www.econbiz.de/10014078951

Financial Crises, Investment Slumps, and Slow Recoveries

Cerra, Valerie; Hakamada, Mai; Lama, Ruy - 2022

particular focus on the role played by financial frictions and investment dynamics. The paper provides two main contributions …. First, we empirically document that lower investment during financial crises is the key factor leading to permanent loss of …

Persistent link: https://www.econbiz.de/10013306789

House Prices, Money, Credit and the Macroeconomy.

Goodhart, Charles; Hofmann, Boris - 2008

This paper assesses the linkages between money, credit, house prices and economic activity in industrialised countries over the last three decades. The analysis is based on a fixed-effects panel VAR estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The...

Persistent link: https://www.econbiz.de/10011604934

Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?

Horvath, Jaroslav - 2019

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

Persistent link: https://www.econbiz.de/10012902819

Understanding the Macro-Financial Effects of Household Debt : A Global Perspective

Alter, Adrian - 2018

We confirm the negative relationship between household debt and future GDP growth documented in Mian, Sufi, and Verner (2017) for a wider set of countries over the period 1950-2016. Three mutually reinforcing mechanisms help explain this relationship. First, debt overhang impairs household...

Persistent link: https://www.econbiz.de/10012918565

Frontiers of Macrofinancial Linkages

Claessens, Stijn - 2018

The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...

Persistent link: https://www.econbiz.de/10012929483

House Prices, Money, Credit and the Macroeconomy

Goodhart, Charles; Hofmann, Boris - 2021

Persistent link: https://www.econbiz.de/10013316547

International credit markets and global business cycles

Pintus, Patrick A.; Wen, Yi; Xin, Xiaochuan - 2018 - This version: May 14, 2018

asset prices, GDP, consumption, investment and employment). When firms around the world benefit from unexpectedly low debt …

Persistent link: https://www.econbiz.de/10011911509

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