Persistent Crises and Levered Asset Prices Kuehn, Lars-Alexander; Schreindorfer, David; Schulz, Florian
The Review of financial studies,
06/2023, Letnik:
36, Številka:
6
Journal Article
Recenzirano
Abstract
This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by ...incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while crises endure. We structurally estimate the model and show that it replicates the firm-level implied volatility curve and its cross-sectional relation with observable proxies of default risk.
This paper develops measures of the occupational homogeneity of employers as indicators of outsourcing. Findings are threefold. First, wages are strongly related to occupational homogeneity, ...particularly for workers in low-wage occupations. Second, by some measures, workers—particularly those in higher-wage occupations—saw their employing establishments become more occupationally homogeneous during 2004–19. Third, changes in the occupational homogeneity of workplaces contributed to growing wage inequality among workers over the first part of this period. The growing sorting and segregation of workers by occupation into different employers is an important part of wage inequality.
This paper reviews the various macroeconomic stabilization programs implemented during the Macri government between 2015 and 2019. After an initial success, each program was discontinued because of a ...distinct form of fiscal dominance: as pensions are indexed with a lag and represent a large portion of spending, quick disinflations jeopardize fiscal consolidation. Thus, lack of progress on the fiscal front was the fundamental reason why the objective of macroeconomic stability remained elusive.
