Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Mariano Massimiliano Croce"'
Publikováno v:
International Finance Discussion Paper. :1-78
We develop a new small open economy model (SONOMA) in which domestic corporate debt and equities are affected by shocks to both external credit and equity markets. In a novel empirical analysis of several small-but-developed economies, we show that b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f8dba9b11adbfe1ee7ec42b32c7055a
https://doi.org/10.17016/ifdp.2022.1349
https://doi.org/10.17016/ifdp.2022.1349
Autor:
Mariano Massimiliano Croce
I connect interest rates, risk premia and welfare costs of long-run consumption uncertainty in a setting with Epstein and Zin (1989) preferences. I find that long-run uncertainty can create significant welfare costs even when risk aversion is moderat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::efda7cba23616dfdc31cf68c534f2c42
http://hdl.handle.net/11565/4036414
http://hdl.handle.net/11565/4036414
When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the consumption claim (Koijen et al. 2010;Lustig et al. 2013) increases and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01f176f94bf2f501df707c0aff9a73b1
http://hdl.handle.net/11565/4025825
http://hdl.handle.net/11565/4025825
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4df1209539974399fc16befab06f74e
https://doi.org/10.2139/ssrn.4015823
https://doi.org/10.2139/ssrn.4015823
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f69dbe7dccd9384de5c8f02f656e7615
https://doi.org/10.2139/ssrn.3743205
https://doi.org/10.2139/ssrn.3743205
Publikováno v:
The Journal of Finance. 73:2719-2756
We study a risk-sharing model featuring multiple countries with recursive prefer- ences defined over bundles of consumption goods whose supply is subject to both global and local short- and long-run shocks. First, we quantify the extent of con- tagio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9cf7ff4a4cf6584bae00f619b619ed2
https://doi.org/10.1111/jofi.12720
https://doi.org/10.1111/jofi.12720
Publikováno v:
The Review of Financial Studies. 31:2423-2467
We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth new
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8dd66adae6ba1a261e7e3c5448b946f7
https://doi.org/10.1093/rfs/hhy015
https://doi.org/10.1093/rfs/hhy015
Focusing on both micro and aggregate U.S. data, we show the existence of a significant link between aggregate uncertainty and reallocation of resources away from R&D-intensive capital. This link is important because a decrease in the aggregate share
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d9a4ea0e4964bd9e0f19110ec48db1d9
https://doi.org/10.3386/w26248
https://doi.org/10.3386/w26248
In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Results show that firms in leading industries pay an average annualized return 4% higher than that of firms in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c308327946678bf8a1e8f503b88aade
https://doi.org/10.3386/w25633
https://doi.org/10.3386/w25633
We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the sol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c8e65cddf7b3c85cb711bdb13cf85f17
http://hdl.handle.net/11565/4012544
http://hdl.handle.net/11565/4012544