| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20081 |
| 来源ID | Working Paper 20081 |
| Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle | |
| Francesco Bianchi; Cosmin L. Ilut; Martin Schneider | |
| 发表日期 | 2014-05-01 |
| 出版年 | 2014 |
| 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 | Microeconomics ; Economics of Information ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w20081 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577755 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Cosmin L. Ilut,Martin Schneider. Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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