Download or read book Idiosyncratic Investment Risk and Business Cycles written by Jonathan E. Goldberg and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Integration Entrepreneurial Risk and Global Dynamics written by George-Marios Angeletos and published by DIANE Publishing. This book was released on 2011-04 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? This paper investigates this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk -- a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. This friction provides a simple resolution to the empirical puzzle that capital often fails to flow from the rich or slow-growing countries to the poor or fast-growing ones, and a distinct set of policy lessons regarding the intertemporal costs and benefits of capital-account liberalization. Illus. A print on demand report.
Download or read book Idiosyncratic Production Risk Growth and the Business Cycle written by George-Marios Angeletos and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a neoclassical growth economy with idiosyncratic production risk and incomplete markets. The general equilibrium is characterized in closed form. Uninsurable production shocks introduce a risk premium on private equity and typically result in a lower steady-state level of capital than under complete markets. In the presence of such risks, the anticipation of low investment and high interest rates in the future feeds back into a high risk premium and low investment in the present. The endogenous countercyclicality of the risk premium generates a macroeconomic complementarity between future and current investment, which slows down convergence and amplifies the magnitude and persistence of the business cycle. These results - in sharp contrast with Aiyagari (1994) and Krusell and Smith (1998) - highlight that idiosyncratic production or capital-income risk can have significant adverse effects on capital accumulation and aggregate volatility. Keywords: Entrepreneurial Risk, Investment, Growth, Fluctuations, Precautionary Savings, Capital income.
Download or read book Idiosyncratic Production Risk Growth and the Business Cycle written by George-Marios Angeletos and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a neoclassical growth economy with idiosyncratic production risk and incomplete markets. Each agent is an entrepreneur operating her own neoclassical technology with her own capital stock. The general equilibrium is characterized in closed form. Idiosyncratic production shocks introduce a risk premium on private equity and reduce the demand for investment. The steady state is characterized by a lower capital stock due to entrepreneurial risk and a lower interest rate due to precautionary savings as compared to complete markets. The private equity premium is endogenously countercyclical: the anticipation of low savings and high interest rates in the future feed back to high risk premia and low investment in the present. Countercyclicality in risk taking slows down convergence to the steady state and amplifies the magnitude and persistence of the business cycle. These results, which contrast sharply with those obtained in Bewley models, highlight the macroeconomic significance of missing markets in production and investment risk.
Download or read book Business Cycles written by Sumru G. Altug and published by World Scientific. This book was released on 2010 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides an overview of the modern theory and empirics of business cycles. The book examines the notion of a business cycle and discusses alternative approaches to modelling. It also discusses what lies ahead for modern business cycle theory.
Download or read book Risk and Business Cycles written by Tyler Cowen and published by Routledge. This book was released on 2002-09-26 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book the author argues the case for the revival of an important role for monetary causes in business cycle theory, which challenges the current trend towards favouring purely real theories.
Download or read book Household Portfolios written by Luigi Guiso and published by MIT Press. This book was released on 2002 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical and empirical analysis of the structure of household portfolios.
Download or read book UNINSURED IDIOSYNCRATIC INVESTMENT RISK written by George-Marios Angeletos and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper augments the neoclassical growth model to study the macroeconomic effects of idiosyncratic investment risk. The general equilibrium is solved in closed form under standard assumptions for preferences and technologies. A simple condition is identified for incomplete markets to result in both a lower interest rate and a lower capital stock in the steady state: the elasticity of intertemporal substitution must be higher than the income share of capital. For plausible calibrations of the model, the reduction in the steady-state levels of aggregate savings and income relative to complete markets is quantitatively significant. Finally, cyclical variation in private investment risks is shown to amplify the transitional dynamics.
Download or read book Does the Business Cycle Explain Changes and Trends in Idiosyncratic Stock Risk written by Jarrod Bruno and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Uninsured Idiosyncratic Investment Risk and Aggregate Saving written by Marios Angeletos and published by . This book was released on 2005 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper augments the neoclassical growth model to study the macroeconomic effects of idiosyncratic investment risk. The general equilibrium is solved in closed form under standard assumptions for preferences and technologies. A simple condition is identified for incomplete markets to result in both a lower interest rate and a lower capital stock in the steady state: the elasticity of intertemporal substitution must be higher than the income share of capital. For plausible calibrations of the model, the reduction in the steady-state levels of aggregate savings and income relative to complete markets is quantitatively significant. Finally, cyclical variation in private investment risks is shown to amplify the transitional dynamics. Keywords: incomplete markets, heterogeneity, private equity, entrepreneurial risk, precautionary savings, amplification. JEL Classifications: D52, E13, E32, G11, O16, O41.
Download or read book Macroeconomic Risk and Idiosyncratic Risk Taking written by Zhiyao Chen and published by . This book was released on 2018 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad states higher than the actual probability and prefer an early resolution of macroeconomic uncertainty. Second, sudden switches to bad states and large shocks in the bad states induce the countercyclical and "synchronized'' idiosyncratic risk. Third, combined with high market risk premium in the bad states, the clustered risk-taking generates the countercyclical idiosyncratic volatility discount on equity returns.
Download or read book Environmental and Energy Policy and the Economy written by Matthew J. Kotchen and published by University of Chicago Press. This book was released on 2022-01-24 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents six new papers on environmental and energy economics and policy in the United States. Rebecca Davis, J. Scott Holladay, and Charles Sims analyze recent trends in and forecasts of coal-fired power plant retirements with and without new climate policy. Severin Borenstein and James Bushnell examine the efficiency of pricing for electricity, natural gas, and gasoline. James Archsmith, Erich Muehlegger, and David Rapson provide a prospective analysis of future pathways for electric vehicle adoption. Kenneth Gillingham considers the consequences of such pathways for the design of fuel vehicle economy standards. Frank Wolak investigates the long-term resource adequacy in wholesale electricity markets with significant intermittent renewables. Finally, Barbara Annicchiarico, Stefano Carattini, Carolyn Fischer, and Garth Heutel review the state of research on the interactions between business cycles and environmental policy.
Download or read book Investment Idiosyncratic Risk and Ownership written by Vasia Panousi and published by . This book was released on 2011 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Premium Shocks Can Create Inefficient Recessions written by Sebastian Di Tella and published by . This book was released on 2020 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We develop an equilibrium theory of business cycles driven by spikes in risk premiums that depress business demand for capital and labor. Aggregate shocks increase firms' uninsurable idiosyncratic risk and raise risk premiums. We show that risk shocks can create quantitatively realistic recessions, with contractions in employment, consumption, and investment. Business cycles are inefficient--output and employment fall too much during recessions, compared to the constrained-efficient allocation, and consumption should rise. Optimal policy involves stimulating employment and consumption during recessions
Download or read book Risk Premium Shocks Can Create Inefficient Recessions written by Sebastian Di Tella and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an equilibrium theory of business cycles driven by spikes in risk premiums that depress business demand for capital and labor. Aggregate shocks increase firms' uninsurable idiosyncratic risk and raise risk premiums. We show that risk shocks can create quantitatively realistic recessions, with contractions in employment, consumption, and investment. Business cycles are inefficient--output and employment fall too much during recessions, compared to the constrained-efficient allocation, and consumption should rise. Optimal policy involves stimulating employment and consumption during recessions.
Download or read book Labor Markets and Business Cycles written by Robert Shimer and published by Princeton University Press. This book was released on 2010-04-12 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: Labor Markets and Business Cycles integrates search and matching theory with the neoclassical growth model to better understand labor market outcomes. Robert Shimer shows analytically and quantitatively that rigid wages are important for explaining the volatile behavior of the unemployment rate in business cycles. The book focuses on the labor wedge that arises when the marginal rate of substitution between consumption and leisure does not equal the marginal product of labor. According to competitive models of the labor market, the labor wedge should be constant and equal to the labor income tax rate. But in U.S. data, the wedge is strongly countercyclical, making it seem as if recessions are periods when workers are dissuaded from working and firms are dissuaded from hiring because of an increase in the labor income tax rate. When job searches are time consuming and wages are flexible, search frictions--the cost of a job search--act like labor adjustment costs, further exacerbating inconsistencies between the competitive model and data. The book shows that wage rigidities can reconcile the search model with the data, providing a quantitatively more accurate depiction of labor markets, consumption, and investment dynamics. Developing detailed search and matching models, Labor Markets and Business Cycles will be the main reference for those interested in the intersection of labor market dynamics and business cycle research.
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
