On Liquidity Shocks and Asset Prices
研究发现，在金融摩擦模型中，不利流动性冲击后往往出现股市繁荣，这与数据矛盾。引入内生生产率和增长后，这一反常现象消失，因为增长前景恶化导致股息增长长期低迷，股价下跌。
Abstract In models of financial frictions, stock market booms tend to follow adverse liquidity shocks. This finding is clearly at odds with the data. We demonstrate that this counterfactual result is specific to real business cycle models with exogenous growth. Once we allow for both endogenous productivity and growth, this puzzling price dynamic easily disappears. Intuitively, the gloomy economic‐growth outlook following an adverse liquidity shock generates a predictable and negative long‐run component in dividend growth, leading to the collapse of equity prices.