منابع مشابه
Finance and Macroeconomics
Three of the papers examine the relationship between financial asset valuations and macroeconomic fundamentals. Hall tries to account for corporate equity valuations using fundamentals such as taxes, risk, and depreciation with mixed results. Bernanke and Kuttner also examine the fundamental determinants of equity prices, but they focus only on monetary policy surprises, which appear to have a ...
متن کاملCommon scaling behavior in finance and macroeconomics
In order to test whether scaling exists in finance at the world level, we test whether the average growth rates and volatility of market capitalization (MC) depend on the level of MC. We analyze the MC for 54 worldwide stock indices and 48 worldwide bond indices. We find that (i) the average growth rate 〈r〉 of the MC and (ii) the standard deviation σ(r) of growth rates r decrease both with MC a...
متن کاملUsc Fbe Dept. Macroeconomics & International Finance Workshop
In the data country portfolios are heavily biased toward domestic assets. Standard onegood international macro models predict that, due to the presence of non-diversifiable labor income risk, country portfolios should be heavily biased toward foreign assets; this discrepancy constitutes the international diversification puzzle (Baxter and Jermann, 1997). We show that a simple extension of one-g...
متن کاملCournot Fire Sales
In standardWalrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is sufficiently scarce, Cour...
متن کاملFire Sales and Endogenous Volatility
After the collapse of the housing bubble in 2007, severe fire sales of assets in the financial sector are accompanied by a rise in the volatility of asset returns in the non-financial firms. To account for their co-movements, I develop a model that highlights the interaction between the financial health of the banking sector and the volatility of asset returns. The novel feature of the model is...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2011
ISSN: 0895-3309
DOI: 10.1257/jep.25.1.29