Arbeitspapier
The risk premium channel and long-term growth
We study a quantitative DSGE model linking a state of the art asset pricing framework à la Kung and Schmid (2015) with a constraint on leverage as in Gertler and Kiyotaki (2010). We show that a mere increase in the probability of firms being financially constrained leads to an increase in risk premia. Even for a small adverse shock to productivity a drop in asset valuation restrains firms from outside financing and by that induces a persistent low growth environment. In our framework a constraint on leverage induces countercyclical risk premia in equity markets even when it does not bind.
- ISBN
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978-92-899-3030-7
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 2114
- Classification
-
Wirtschaft
General Equilibrium and Disequilibrium: Financial Markets
Financial Crises
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
risk premia
financial accelerator
asset pricing
endogenous growth
- Event
-
Geistige Schöpfung
- (who)
-
Schumacher, Malte Daniel
Żochowski, Dawid
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2017
- DOI
-
doi:10.2866/615599
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schumacher, Malte Daniel
- Żochowski, Dawid
- European Central Bank (ECB)
Time of origin
- 2017
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