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作者：Aguiar, Mark
作者单位：Princeton University
摘要：This is a comment on Capital mobility and international sharing of cyclical risk. The comment focuses on the authors' choice of portfolio adjustment costs in explaining limited international risk sharing. The comment raises two main issues. One is that investors hold large gross positions that vary significantly in value over the business cycle. The second is that it is difficult to identify portfolio adjustment costs from trade costs within the authors' environment. (c) 2012 Elsevier B.V. All...
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作者：Ortigueira, Salvador; Siassi, Nawid
作者单位：Universidad Carlos III de Madrid
摘要：While it is recognized that the family is a risk-sharing institution, little is known about the quantitative effects of this source of insurance on savings and labor supply. In this paper, we present a model where workers (females and males) are subject to idiosyncratic employment risk and where capital markets are incomplete. A household is formed by a female and a male, who decide on consumption, savings and labor supplies. In a calibrated version of our model we find that intra-household ri...
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作者：Lin, Xiaoji; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor rationality, the relation must be explained by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessari...
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作者：Ilzetzki, Ethan; Mendoza, Enrique G.; Vegh, Carlos A.
作者单位：University of London; London School Economics & Political Science; University of Pennsylvania; National Bureau of Economic Research; University System of Maryland; University of Maryland College Park
摘要：Contributing to the debate on the macroeconomic effects of fiscal stimuli, we show that the impact of government expenditure shocks depends crucially on key country characteristics, such as the level of development, exchange rate regime, openness to trade, and public indebtedness. Based on a novel quarterly dataset of government expenditure in 44 countries, we find that (i) the output effect of an increase in government consumption is larger in industrial than in developing countries; (ii) the...
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作者：Conesa, Juan C.; Dominguez, Begona
作者单位：State University of New York (SUNY) System; Stony Brook University; University of Queensland
摘要：The standard analysis of optimal fiscal policy aggregates different types of assets into a unique capital good and all types of capital taxes into a unique capital tax. This paper considers a disaggregated framework: an economy with corporate and dividend taxes, where firms invest in both tangible and intangible assets (which can be expensed or sweat). In our setup, firms can always respond to changes in the timing of taxation. We find that the optimal long-run policy features zero corporate t...
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作者：Jeske, Karsten; Krueger, Dirk; Mitman, Kurt
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：What are the macroeconomic and distributional effects of government bailout guarantees for Government Sponsored Enterprises (e.g., Fannie Mae)? A model with heterogeneous, infinitely lived households and competitive housing and mortgage markets is constructed to evaluate this question. Households can default on their mortgages via foreclosure. The bailout guarantee is a tax-financed mortgage interest rate subsidy. Eliminating this subsidy leads to a large decline in mortgage origination and in...
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作者：Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
作者单位：Columbia University; National Bureau of Economic Research; European Central Bank
摘要：The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (uncertainty), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of id...
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作者：Kumar, Praveen; Langberg, Nisan
作者单位：University of Houston System; University of Houston
摘要：A model of endogenous investment booms and busts with rational agents is presented where outside investors are uncertain about both industry (aggregate) and firm-specific capital productivity, and insiders manipulate information through strategic productivity disclosures. For intermediate and high levels of agency conflict, there are aggregate investment distortions along the equilibrium path, investment dynamics are history-dependent, and depict patterns of persistent investment booms or inve...
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作者：Benhabib, Jess; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology
摘要：Self-fulfilling equilibria and indeterminacy can easily arise in a simple financial accelerator model with reasonable parameter calibrations and without increasing returns in production. A key feature for generating indeterminacy in our model is the countercyclical markup due to the procyclical loan-to-output ratio. We illustrate, via simulations, that our financial accelerator model can generate rich business cycle dynamics, including hump-shaped output in response to demand shocks as well as...
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作者：Ang, Andrew; Longstaff, Francis A.
作者单位：Columbia University; University of California System; University of California Los Angeles
摘要：We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major Eurozone countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is much less systemic risk among U.S. sovereigns than among Eurozone sovereigns. We find that both U.S. and Eurozone systemic sovereign risk are strongly related to financial market variables. These results provide strong sup...
