Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153958 
Autor:innen: 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
ECB Working Paper No. 1525
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity shocks are considerably larger in the model economy that generates a realistic equity premium. Liquidity constraints amplify business cycle volatility and have nonlinear effects on risk premia. Our empirical analysis suggests that the Great Recession was primarily caused by liquidity factors.
Schlagwörter: 
asset pricing
Bayesian estimation
Great Recession
JEL: 
E44
E51
E32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
769.61 kB





Publikationen in EconStor sind urheberrechtlich geschützt.