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Identifier to cite or link to this item: https://hdl.handle.net/10086/27617

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Title
Liquidity Shocks and Asset Prices
Creator
Creator Name
GUERRON-QUINTANA, Pablo A. GUERRON-QUINTANA, Pablo A.
Affiliation
Affiliation Name
Federal Reserve Bank of Philadelphia
Creator Name
JINNAI, Ryo JINNAI, Ryo
陣内, 了 陣内, 了
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Key Word
liquidity
asset prices
endogenous growth
long-run risk
Abstract
In models of liquidity, stock market booms tend to follow adverse liquidity shocks. This result is clearly at odds with the data. We demonstrate that allowing for endogenous productivity corrects this puzzling price dynamics. Negative growth prospects decrease equity prices because of a long-run predictable component in dividend growth.
Publisher
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Issued Date
2015-12-01
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion paper series ; No. HIAS-E-17
Number of Pages
18
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/27617