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Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent’s nowcast …

Persistent link: https://www.econbiz.de/10012129784

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

Persistent link: https://www.econbiz.de/10012704696

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

Persistent link: https://www.econbiz.de/10012878659

Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles

Görtz, Christoph - 2019

Persistent link: https://www.econbiz.de/10012858207

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - In: Journal of economic dynamics & control 137 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013464503

A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia

Chen, Andrew Y. - 2017

A simple general equilibrium production economy matches moments of the value premium and equity premium. Value firms have low productivity, but will eventually produce high cash flows. The present value of these temporally distant cash flows is especially sensitive to equity premium movements....

Persistent link: https://www.econbiz.de/10012969553

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; … - 2021

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative...

Persistent link: https://www.econbiz.de/10013240163

Uncertainty and the Employment Dynamics of Small and Large Businesses

Ghosal, Vivek - 2015

We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based … stock price index, and fuel prices. Our results indicate that greater uncertainty has a negative impact on growth of … non-existent or weaker. Our results suggest that to truly understand the effects of uncertainty on employment dynamics, we …

Persistent link: https://www.econbiz.de/10013031613

Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?

Bali, Turan G. - 2020

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

Persistent link: https://www.econbiz.de/10012856755

The Great Moderation: Inventories, shocks or monetary policy?

Förster, Marcel - 2013

This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...

Persistent link: https://www.econbiz.de/10010333480

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