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Investment Shocks and Prices: International Evidence

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5
Author
Qiang Yang
Category
Financial
Date Posted
2022/06/20
Date Retrieved
2022/06/21
Date Revised
2022/06/21
Date Written
2022/04/01
Description
It is debated if investment specific technology shocks (IST) have a positive or a negative price of risk. I show that in most markets IST shocks price of risk is time varying: negative in expansions and positive in recessions. A time-varying risk price can explain the mixed evidence in the US and is consistent with a model of incomplete markets and early resolution of uncertainty.
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JEL Classifications
G12
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4141728
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