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070 Working Papers = ワーキングペーパー
GGR Working Paper / Institute for Global Governance Research, Hitotsubashi University
Working Paper Series / Understanding Inflation Dynamics of the Japanese Economy
Working Paper Series / Real Estate Markets, Financial Crisis, and Economic Growth An Integrated Economic Approach
Working Paper Series / Mori Arinori Institute for Higher Education and Global Mobility
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Working Paper Series / Design of industry and financial network where sustained growth is enabled
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Working Paper / School of Business Administration, Hitotsubashi University Business School
TDB-CAREE Discussion Paper Series
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Discussion papers / Graduate School of Economics, Hitotsubashi University
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Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Discussion paper / Setting Options for Fair Distribution of Well-being among Different Generations, PIE
Discussion paper / Economic Analysis of Intergenerational Issues, PIE
Discussion paper / Asian Historical Statistics Project
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Edited by: 一橋大学社会科学高等研究院 = Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Published by: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Number of Access this item:
1,038
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2023-06-09
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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.
Creator Name
JINNAI, Ryo
JINNAI, Ryo
陣内, 了
陣内, 了
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
Physical Description
18 p.
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/27617
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