Auflistung LIF-SAFE Working Papers nach Schlagwort "long-run risk"
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International Endogenous Growth, Macro Anomalies, and Asset Prices
(2016-07-20)"This paper studies a two-country production economy with complete and frictionless financial markets and international trade in which competition in R&D leads to endogenous new firm creation and economic growth. Current ... -
Investment-Specific Shocks, Business Cycles, and Asset Prices
(2016-03-14)We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ... -
The Dynamics of Crises and the Equity Premium
(2015-05-18)It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...