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The risk premium channel and long-term growth
Gespeichert in:
Personen und Körperschaften: | , |
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Titel: | The risk premium channel and long-term growth/ Malte D. Schumacher, Dawid Żochowski |
Format: | E-Book |
Sprache: | Englisch |
veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2017]
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Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2114 (December 2017)
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Schlagwörter: | |
Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
Zusammenfassung: | 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. |
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Umfang: | 1 Online-Ressource (circa 68 Seiten); Illustrationen |
ISBN: |
9789289930307
9289930306 |
DOI: | 10.2866/615599 |