Showing 1 - 10 of 234,282
Persistent link: https://www.econbiz.de/10011755640
volatility is associated with a rise in discount rates and a decline in consumption. To study the impact of volatility we provide … a framework in which cashflow, discount-rate, and volatility risks determine risk premia. We show that volatility plays … positive risk premium and help explain the cross-section of expected returns. Our evidence shows that volatility is important …
Persistent link: https://www.econbiz.de/10012825227
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor …
Persistent link: https://www.econbiz.de/10012856904
Many consumption-based models succeed in matching long lists of asset price moments. We propose an alternative, full … negligible. This result is robust to the prior, including priors that assume long-run risks in consumption and highly persistent …
Persistent link: https://www.econbiz.de/10012903645
-varying consumption volatility. Production makes this channel visible, and external habit preferences amplify it. An estimated model … first two moments of excess equity returns, the risk-free rate, and the second moments of consumption, output, and …Many theories of asset prices assume time-varying uncertainty in order to generate time-varying risk premia. This paper …
Persistent link: https://www.econbiz.de/10013048255
marginal propensity to consume which leads to countercyclical consumption volatility and risk premiums. This "prudential … mean and volatility of the risk-free rate, and the second moments of output, consumption, and investment …Time-varying risk premiums are a natural consequence of prudent savings behavior. Prudence prescribes a countercyclical …
Persistent link: https://www.econbiz.de/10012938635
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty...
Persistent link: https://www.econbiz.de/10013154684
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...
Persistent link: https://www.econbiz.de/10013155672
We identify a 'risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims's procedure, while … incorporating sign restrictions to simultaneously identify monetary policy, technology and demand shocks. The VAR-identifed risk … news shock is estimated to account for around 2%-12% of business cycle fluctuations depending on which risk proxy we use …
Persistent link: https://www.econbiz.de/10013061670
-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment ; countercyclical risk ; aggregate shocks …
Persistent link: https://www.econbiz.de/10003898815