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Keywords: E21
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Journal Articles
Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2022) 11 (1): 79–116.
Published: 21 February 2022
.... Johnson Licensed re-use rights only Debt dynamics Uncertainty shocks Credit spreads Real effects of finance E21 E32 G12 G32 This paper addresses two important questions concerning the role of corporate debt in the macroeconomy. The first question is how well we understand...
Includes: Supplementary data
Journal Articles
In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (3): 329–381.
Published: 02 August 2021
... Time-varying beliefs Time-varying preferences Excess volatility G10 G12 E21 E30 E44 C11 C15 In this paper, we examine the ability of long-run risks and habit to explain the time series of the price-dividend ratio. We estimate a model in which the log price-dividend ratio...
