Arbeitspapier
Uncertainty, risk, and capital growth
We find that high macroeconomic uncertainty is associated with greater accumulation of physical capital, despite a reduction in investment and valuations. To reconcile this puzzling evidence, we show that uncertainty predicts lower depreciation and utilization of existing capital, which dominates the investment slowdown. Motivated by these dynamics, we develop a quantitative production-based model in which firms implement precautionary savings through reducing utilization rather than raising investment. Through this novel intensive-margin mechanism, uncertainty shocks command a quarter of the equity premium in general equilibrium, while flexibility in utilization adjustments helps explain uncertainty risk exposures in the cross-section of industry returns.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 388
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Business Fluctuations; Cycles
Criteria for Decision-Making under Risk and Uncertainty
General Equilibrium and Disequilibrium: General
- Thema
-
Uncertainty
Production
Asset Pricing
Utilization
Depreciation
Equity Premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Segal, Gill
Shaliastovich, Ivan
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Institute for Financial Research SAFE
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- DOI
-
doi:10.2139/ssrn.4465821
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Segal, Gill
- Shaliastovich, Ivan
- Leibniz Institute for Financial Research SAFE
Entstanden
- 2023
Ähnliche Objekte (12)
Uncertainty, risk, and capital growth
Uncertainty shocks, capital flows, and international risk spillovers
The firm under uncertainty: capital structure and background risk
Demographic Uncertainty and Generational Consumption Risk with Endogenous Human Capital
Growth expectations, capital flows and international risk sharing
Stranded assets: How policy uncertainty affects capital, growth, and the environment
Long-run growth uncertainty
Risk, Uncertainty, and Expected Returns
Risk, uncertainty and monetary policy
Macro uncertainty and unemployment risk
Risk, uncertainty and monetary policy
Risk aversion under preference uncertainty
Uncertainty, risk, and capital growth
Uncertainty shocks, capital flows, and international risk spillovers
The firm under uncertainty: capital structure and background risk
Demographic Uncertainty and Generational Consumption Risk with Endogenous Human Capital
Growth expectations, capital flows and international risk sharing
Stranded assets: How policy uncertainty affects capital, growth, and the environment
Long-run growth uncertainty
Risk, Uncertainty, and Expected Returns
Risk, uncertainty and monetary policy
Macro uncertainty and unemployment risk
Risk, uncertainty and monetary policy
Risk aversion under preference uncertainty
Uncertainty, risk, and capital growth
Uncertainty shocks, capital flows, and international risk spillovers
The firm under uncertainty: capital structure and background risk
Demographic Uncertainty and Generational Consumption Risk with Endogenous Human Capital
Growth expectations, capital flows and international risk sharing
Stranded assets: How policy uncertainty affects capital, growth, and the environment
Long-run growth uncertainty
Risk, Uncertainty, and Expected Returns
Risk, uncertainty and monetary policy
Macro uncertainty and unemployment risk
Risk, uncertainty and monetary policy