Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

• 成果类型: Article
• 署名作者: Bianchi, Francesco; Ilut, Cosmin L.; Schneider, Martin
• 署名单位: Duke University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Stanford University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx035
• 发表日期: 2018
• 页码: 810-854
• 关键词: recursive multiple-priors; us monetary-policy; macroeconomic fluctuations; nominal rigidities; regime switches; equity finance; payout policy; RISK; ambiguity; prices

摘要

This article estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits lowers stock prices and leads firms to substitute away from debt as well as reduce shareholder payout. This mechanism parsimoniously accounts for the postwar comovement in investment, stock prices, leverage, and payout, at both business cycle and medium term cycle frequencies. Ambiguity aversion permits aMarkov-switching VAR representation of the model, while preserving the effect of uncertainty shocks on the time variation in the equity premium.