t his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in iran from 2002:03 to 2015:06. for this purpose, we have exploited sigma-point kalman filter (spkf) to extract the bubble component of assets prices in the aforementioned markets. then, in order to analyze the price bubbles spillover amon...

This paper develops models of endogenous credit cycles. The basic model has two types of profitable investment projects: the Good and the Bad. Unlike the Good, the Bad contributes little to improve the net worth of other borrowers. Furthermore, it is relatively difficult to finance externally due to the agency problem. In a recession, a low net worth prevents the agents from financing the Bad, ...

The corporate finance literature suggests that a financially constrained firm invests less than an identical unconstrained firm. This does not imply that financial frictions cause firms to invest less than in a frictionless economy. When firms compete for investment funds, an increase in financial frictions can lead individual firms to increase their investment levels. A greater than the fricti...

For single–period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood–ratio–domina...

We extend back to 1890 the volatility implied by options index (VIX), available only since 1986, using the frequency of words on the front-page of the Wall Street Journal. News implied volatility (NVIX) captures well the disaster concerns of the average investor over this longer history. NVIX is particularly high during stock market crashes, times of policy-related uncertainty, world wars and f...

This paper develops a theory of investment and maturity choices and studies its implications for the macroeconomy. The novel ingredient is an explicit secondary market with trading frictions which leads to a liquidity spread which increases with maturity and generates an upward sloping yield curve. As a result, trading frictions induce firms to borrow and invest at shorter horizons than in a fr...

Intangible capital has arguably become an important component of corporate value. However, it is still an open question whether uncertainty associated with investment in intangible capital is higher or lower than physical capital. We estimate the value of intangible capital in a dynamic stochastic general equilibrium model that features capital adjustment costs, investment-speci c technological...

I analyze annual returns of the S&P 500 from 1993 – 1998. Future returns of the market are predicted using current dividend yield levels, past risk free returns and a standard deviation variable over the preceding five years. Evidence from the article suggests that future returns can be predicted when combing dividend yields with recent volatility in the market. This article suggests that recen...

This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a panel GMM estimator we find that both the expected and unexpected components of monetary changes are signi...

This paper studies the equity premium implications of a canonical New Keynesian model with investment. We find that the presence of a time-varying marginal cost dampens the expansionary impact of a positive technology shock. With a given fraction of firms standing ready to satisfy demand at predetermined prices, the variations in the marginal utility of consumption attributed to technology shoc...