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A contribution to the theory of financial fragility and crisis

Bhaduri, Amit - 2010

The paper examines three aspects of a financial crisis of domestic origin. The first section studies the evolution of a debt-financed consumption boom supported by rising asset prices, leading to a credit crunch and fluctuations in the real economy, and, ultimately, to debt deflation. The next...

Persistent link: https://www.econbiz.de/10003974885

Theory and Empirics of an Affine Term Structure Model Applied to European Data

Jakas, Vicente - 2011

The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

Persistent link: https://www.econbiz.de/10013133488

Business-Cycle Macroeconomics in an Asset Pricing Financial Economy

Tse, Wai Man - 2020

-monetarist-Keynesian Quantity Theory of Money. Whereas the classics and Keynesian differ on equilibrium versus disequilibrium, it justifies the … explain the pronounced difference between risky and risk-free rates, i.e., the equity-premium and the risk-free rate puzzles …. It shows that consumers save at contraction and peak and stop saving at expansion and trough. Market risk premium and …

Persistent link: https://www.econbiz.de/10012839941

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10012953959

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2017

We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...

Persistent link: https://www.econbiz.de/10012956564

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2019

Persistent link: https://www.econbiz.de/10012903810

Nominal Rigidities and Asset Pricing

Weber, Michael - 2017

cycle. The premium is not driven by other firm and industry characteristics. Differential exposure to systematic risk fully …

Persistent link: https://www.econbiz.de/10012972908

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

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2020

Persistent link: https://www.econbiz.de/10012853432

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2018

Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...

Persistent link: https://www.econbiz.de/10012931110