کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5066333 1476771 2017 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Liquidity shocks, business cycles and asset prices
ترجمه فارسی عنوان
شوکهای نقدینگی، چرخه های تجاری و قیمت دارایی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

In the aftermath of the Great Recession, macro models that feature financing constraints have attracted increasing attention. Among these, Kiyotaki et al. (2012) is a prominent example. In this paper, we investigate whether the liquidity shocks and financial frictions proposed by Kiyotaki et al. (2012) can improve the asset pricing predictions of the frictionless RBC model. We study the quantitative business cycle and asset pricing properties in an economy in which agents feature recursive preferences, are subject to a liquidity constraint, and suffer liquidity shocks. We find that the model predicts highly nonlinear time variation and levels of risk premia, which are driven by endogenous fluctuations in equity prices. However, the model fails to account for a basic fact: Periods of scarce liquidity are associated with high asset prices and low expected returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 97, August 2017, Pages 108-130
نویسندگان
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