Long Term Asset Price Volatility and Macroeconomic Fluctuations
AbstractWe analyze a stochastic growth model with lags in the operation of new technologies. Stock values are impacted by news on technological innovations and some other external shocks affecting the economy. Episodes of technology adoption may generate long fluctuations in the aggregate value of stocks. We asses the quantitative importance of various macroeconomic variables in accounting for both the observed volatility of stock values and the less pronounced volatility of real macroeconomic aggregates. Our analysis singles out price markups and leverage as key determinants of asset price volatility, and confers a rather limited role to adjustment costs, taxes, and labor and financial frictions.
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Bibliographic InfoPaper provided by University of Miami, Department of Economics in its series Working Papers with number 2010-1.
Length: 45 pages
Date of creation: 02 Jul 2009
Date of revision:
Publication status: Published
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Web page: http://www.bus.miami.edu/faculty-and-research/academic-departments/economics/index.html
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Technological innovation; stock market; markups; leverage; taxes; labor and financial frictions.;
Other versions of this item:
- Miguel Angel Iraola & Manuel S. Santos, 2009. "Long-Term Asset Price Volatility and Macroeconomics Fluctations," Working Papers 0909, Centro de Investigacion Economica, ITAM.
- Manuel S. Santos & Miguel A. Iraola, 2010. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers 374, Society for Economic Dynamics.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Mariano Max Croce, 2010. "Tax Uncertainty, Leverage and Asset Prices," 2010 Meeting Papers 1084, Society for Economic Dynamics.
- Comin, Diego & Mestieri, Martí, 2014.
"Technology Diffusion: Measurement, Causes, and Consequences,"
Handbook of Economic Growth,
in: Handbook of Economic Growth, edition 1, volume 2, chapter 2, pages 565-622
- Diego Comin & Martí Mestieri, 2013. "Technology Diffusion: Measurement, Causes and Consequences," INET Research Notes 29, Institute for New Economic Thinking (INET).
- Diego A. Comin & Martí Mestieri, 2013. "Technology Diffusion: Measurement, Causes and Consequences," NBER Working Papers 19052, National Bureau of Economic Research, Inc.
- Comin, Diego & Mestieri, Marti, 2013. "Technology Diffusion:Measurement, Causes and Consequences," TSE Working Papers 13-420, Toulouse School of Economics (TSE).
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