نتایج جستجو برای: cyclicality
تعداد نتایج: 378 فیلتر نتایج به سال:
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in equilibrium, the size of market p...
Based on firm‐level payroll data from around 2000 member firms of the British Engineering Employers' Federation we examine the behavior of real hourly earnings over the 1927‐1937 cycle that contained the Great Depression. The pay statistics are based on adult male blue‐collar workers within engineering and metal working firms. They allow us to distinguish between pieceworkers and timeworkers an...
We model 1927–1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk analysis. First, a static an...
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