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Micro shocks and aggregate risk

by Boyan Jovanovic - Quarterly Journal of Economics , 1987
"... The paper presents a "micro " shock explanation of aggregate risk. Shocks are independent over agents, and equilibria are always unique. It is shown that any amount of aggregate risk can be generated by games in which shocks to players are independent. Explicit examples are given, some of ..."
Abstract - Cited by 7 (0 self) - Add to MetaCart
The paper presents a "micro " shock explanation of aggregate risk. Shocks are independent over agents, and equilibria are always unique. It is shown that any amount of aggregate risk can be generated by games in which shocks to players are independent. Explicit examples are given, some

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

Rediscounting under aggregate risk

by Scott Freeman - Journal of Monetary Economics , 1999
"... This paper compares three institutions that offer an elastic currency- open market operations, a discount window, a private, banknote-issuing clearinghouse- in an economy with financial markets otherwise hampered by a lack of liquidity. When this economy is subject to aggregate financial shocks, the ..."
Abstract - Cited by 14 (2 self) - Add to MetaCart
This paper compares three institutions that offer an elastic currency- open market operations, a discount window, a private, banknote-issuing clearinghouse- in an economy with financial markets otherwise hampered by a lack of liquidity. When this economy is subject to aggregate financial shocks

Public debt and aggregate risk ⋆

by Audrey Desbonnet A, Sumudu Kankanamge B, We Thank Yann Algan, Fabrice Collard, Wouter J. Den Haan
"... This paper assesses the long-run optimal level of public debt in a non Ricardian framework with aggregate fluctuations. Households are subject to aggregate and idiosyncratic risk, face borrowing constraints and the incompleteness of markets prevents them from perfectly insuring against risk. We find ..."
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This paper assesses the long-run optimal level of public debt in a non Ricardian framework with aggregate fluctuations. Households are subject to aggregate and idiosyncratic risk, face borrowing constraints and the incompleteness of markets prevents them from perfectly insuring against risk. We

Public debt and aggregate risk

by Audrey Desbonnet, Sumudu Kankanamge
"... This paper assesses the optimal level of public debt in a new framework where aggregate fluctuations are taken into account. We find that the optimal level of public debt is higher when fluctuations at the macro level are considered when compared to an economy that leaves them aside. To show that we ..."
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This paper assesses the optimal level of public debt in a new framework where aggregate fluctuations are taken into account. We find that the optimal level of public debt is higher when fluctuations at the macro level are considered when compared to an economy that leaves them aside. To show

Income and Wealth Heterogeneity in the Macroeconomy,

by Per Krusell , Anthony A Smith Jr , Mark Huggett , Robert Lucas , Víctor Ríos-Rull , Tom Sargent , José Scheinkman , Chris Telmer , Stan Zin - Journal of Political Economy , 1998
"... How do movements in the distribution of income and wealth affect the macroeconomy? We analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity. Our main finding is that, in the stationary st ..."
Abstract - Cited by 678 (11 self) - Add to MetaCart
How do movements in the distribution of income and wealth affect the macroeconomy? We analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity. Our main finding is that, in the stationary

Aggregate Risk and the Choice between Cash and Lines of Credit*

by Viral V. Acharya, Heitor Almeida, Murillo Campello
"... We argue that a firm’s aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get credit l ..."
Abstract - Cited by 23 (1 self) - Add to MetaCart
We argue that a firm’s aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get credit

CESifo Conference Centre, Munich Sharing Aggregate Risks under Moral Hazard

by Gabrielle Demange, Gabrielle Demange , 2006
"... www.cesifo.de Sharing aggregate risks under moral hazard ..."
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www.cesifo.de Sharing aggregate risks under moral hazard

Power provisioning for a warehousesized computer,”

by Xiaobo Fan , Wolf-Dietrich Weber Luiz , André Barroso - ACM SIGARCH Computer Architecture News, , 2007
"... ABSTRACT Large-scale Internet services require a computing infrastructure that can be appropriately described as a warehouse-sized computing system. The cost of building datacenter facilities capable of delivering a given power capacity to such a computer can rival the recurring energy consumption ..."
Abstract - Cited by 450 (2 self) - Add to MetaCart
consumption tends to vary significantly with the actual computing activity. Effective power provisioning strategies are needed to determine how much computing equipment can be safely and efficiently hosted within a given power budget. In this paper we present the aggregate power usage characteristics of large

Temperature, Aggregate Risk, and Expected Returns

by Ravi Bansal, Marcelo Ochoa , 2010
"... Inthispaperweshowthat temperatureisanaggregate riskfactor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp information about th ..."
Abstract - Cited by 3 (1 self) - Add to MetaCart
the cross-country risk premium; countries closer to the Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences in temperature betas mirror exposures to aggregate growth rate risk, which we show is negatively impacted by temperature
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