TY  - UNPD
A1  - Segal, Gill
A1  - Shaliastovich, Ivan
T1  - Uncertainty, risk, and capital growth
N2  - We find that high macroeconomic uncertainty is associated with greater accumulation of physical capital, despite a reduction in investment and valuations. To reconcile this puzzling evidence, we show that uncertainty predicts lower depreciation and utilization of existing capital, which dominates the investment slowdown. Motivated by these dynamics, we develop a quantitative production-based model in which firms implement precautionary savings through reducing utilization rather than raising invest-ment. Through this novel intensive-margin mechanism, uncertainty shocks command a quarter of the equity premium in general equilibrium, while flexibility in utilization adjustments helps explain uncertainty risk exposures in the cross-section of industry returns.
T3  - SAFE working paper - 388 
KW  - Uncertainty
KW  - Production
KW  - Asset Pricing
KW  - Utilization
KW  - Depreciation
KW  - Equity Premium
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/70366
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-703664
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4465821
PB  - SAFE
CY  - Frankfurt am Main
ER  -