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
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978-92-899-3255-4
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 2150
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
General Financial Markets: General (includes Measurement and Data)
- Subject
-
Liquidity constraints
equity premium
Great Recession
- Event
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Geistige Schöpfung
- (who)
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Jaccard, Ivan
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
-
2018
- DOI
-
doi:10.2866/34839
- 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
- Jaccard, Ivan
- European Central Bank (ECB)
Time of origin
- 2018
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