Asset prices and business cycles with liquidity shocks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F21%3A00549031" target="_blank" >RIV/67985998:_____/21:00549031 - isvavai.cz</a>
Result on the web
<a href="https://www.cerge-ei.cz/pdf/wp/Wp711.pdf" target="_blank" >https://www.cerge-ei.cz/pdf/wp/Wp711.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Asset prices and business cycles with liquidity shocks
Original language description
We develop a production based asset pricing model with financially constrained firms to explain the observed high equity premium and low risk-free rate volatility. Investment opportunities are scarce and firms face productivity and liquidity shocks. A negative liquidity shock forces firms to liquidate a fraction of their assets. We calibrate the model to U.S. data and find that it generates an equity premium and a level and volatility of risk-free rate comparable to those observed in the data. The model also fits key aspects of the behavior of aggregate quantities, in particular, the volatility of aggregate consumption and investment.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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