Arbeitspapier
Asset pricing and the propagation of macroeconomic shocks
This paper considers the implications of habit formation and financial frictions for the propagation of macroeconomic shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of the economy's stock of pledgeable collateral generates a persistent recession, a stock market crash, and a flight-to-safety effect. This novel mechanism creates a tight link between the asset pricing implications of macroeconomic models and their ability to propagate and amplify the effects of macroeconomic shocks.
- ISBN
-
978-92-899-3255-4
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2150
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
General Financial Markets: General (includes Measurement and Data)
- Thema
-
Liquidity constraints
equity premium
Great Recession
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jaccard, Ivan
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- DOI
-
doi:10.2866/34839
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jaccard, Ivan
- European Central Bank (ECB)
Entstanden
- 2018
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