TY  - UNPD
A1  - Curatola, Giuliano Antonio
A1  - Donadelli, Michael
A1  - Grüning, Patrick
A1  - Meinerding, Christoph
T1  - Investment-specific shocks, business cycles, and asset prices
T2  - SAFE working paper series ; No. 129
N2  - We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we provide economic and empirical justification, acts as a substitute for shocks to the marginal efficiency of investments in explaining the equity premium and the stock return volatility differential between the consumption and the investment sector. Moreover, adding moderate wage rigidities allows the model to reproduce the empirically observed positive co-movement between consumption and investment growth.
T3  - SAFE working paper - 129 
KW  - General Equilibrium Asset Pricing
KW  - Production Economy
KW  - Long-Run Risk
KW  - Investment-Specific Shocks
KW  - Nominal Rigidities
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/39582
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-395822
UR  - http://ssrn.com/abstract=2747383
IS  - This version: March 14, 2016
PB  - SAFE
CY  - Frankfurt am Main
ER  -