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Stock market cycles and supply side dynamics
De Grauwe, Paul; Gerba, Eddie - 2015
The agent-based (behavioural) model is extended to include a financial friction on the supply side. Firms finance capital purchases using external financing, but need to pay for it in advance. In addition, firm financing constraint and net worth are determined by stock market prices, which can...
Persistent link: https://www.econbiz.de/10011283037
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Stock market cycles and supply side dynamics : two worlds, one vision?
De Grauwe, Paul; Gerba, Eddie - 2015
The paper compares two state-of-art but very dinstinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include a financial friction on the supply side.The result in both models is that production, supply of credit...
Persistent link: https://www.econbiz.de/10011374197
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Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
R.T. Ferreira, Thiago - 2020
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...
Persistent link: https://www.econbiz.de/10014115594
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The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market
Lihn, Stephen H.T. - 2009
This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals …
Persistent link: https://www.econbiz.de/10013159227
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The Impact of Uncertainty Shocks on the Cross-Section of Returns
Koh, Woo Hwa - 2017
Historically, value stocks earn higher average returns than growth stocks; however, the capital asset pricing model (CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can explain the puzzle. Intuitively, the value of growth...
Persistent link: https://www.econbiz.de/10012965668
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Stock market cycles and supply side dynamics
de Grauwe, Paul; Gerba, Eddie - 2015
The agent-based (behavioural) model is extended to include a financial friction on the supply side. Firms finance capital purchases using external financing, but need to pay for it in advance. In addition, firm financing constraint and net worth are determined by stock market prices, which can...
Persistent link: https://www.econbiz.de/10011288358
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Stock Market Cycles and Supply Side Dynamics: Two Worlds, One Vision?
De Grauwe, Paul; Gerba, Eddie - 2015
The paper compares two state-of-art but very dinstinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include a financial friction on the supply side.The result in both models is that production, supply of credit...
Persistent link: https://www.econbiz.de/10011388233
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Stock Market Cycles and Supply Side Dynamics : Two Worlds, One Vision?
De Grauwe, Paul - 2016
This paper compares two state-of-the-art but very distinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include financial frictions on the supply side. The result in both frameworks is that production, supply...
Persistent link: https://www.econbiz.de/10012980422
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Stock Market Cycles and Supply Side Dynamics : Two Worlds, One Vision?
De Grauwe, Paul - 2015
The paper compares two state-of-art but very distinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include a financial friction on the supply side. The result in both models is that production, supply of credit...
Persistent link: https://www.econbiz.de/10013011645
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Stock Market Cycles and Supply Side Dynamics : Two Worlds, One Vision?
De Grauwe, Paul - 2015
The paper compares two state-of-art but very distinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include financial frictions on the supply side. The result in both frameworks is that production, supply of...
Persistent link: https://www.econbiz.de/10013014244