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Asset pricing and the propagation of macroeconomic shocks
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| Titel: | Asset pricing and the propagation of macroeconomic shocks/ Ivan Jaccard |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2150 (May 2018)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | 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. |
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| Umfang: | 1 Online-Ressource (circa 58 Seiten); Illustrationen |
| ISBN: |
9789289932554
9289932554 |
| DOI: | 10.2866/34839 |