| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11950 |
| DP11950 Uncertainty shocks, asset supply and pricing over the business cycle | |
| Francesco Bianchi; Cosmin Ilut; Martin Schneider | |
| 发表日期 | 2017-04-02 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits lowers stock prices and leads firms to substitute away from debt as well as reduce shareholder payout. This mechanism parsimoniously accounts for postwar comovement in investment, stock prices, leverage and payout, at both business cycle and medium term cycle frequencies. Ambiguity aversion permits a Markov-Switching VAR representation of the model, while preserving the effect of uncertainty shocks on the time variation in the equity premium. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Asset pricing Business cycle Dsge Markov-switching |
| URL | https://cepr.org/publications/dp11950 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540762 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Cosmin Ilut,Martin Schneider. DP11950 Uncertainty shocks, asset supply and pricing over the business cycle. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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