ASSET PRICING AND THE PROPAGATION OF MACROECONOMIC SHOCKS

• 成果类型: Article
• 署名作者: Jaccard, Ivan
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvx015
• 发表日期: 2018
• 页码: 436-486
• 关键词: risk-free rate; equity premium; interest-rates; long-run; cyclical movements; habit formation; BUSINESS; prices; MODEL; consumption

摘要

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.