Asset Pricing and the Propagation of Macroeconomic Shocks
研究了习惯形成和金融摩擦如何影响宏观经济冲击的传导，模型能匹配资产定价特征，短期抵押品冲击引发持久衰退、股市崩盘和避险效应。
This paper considers the implications of habit formation and financial frictions for the propagation of macroeconomic shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of the economy's stock of pledgeable collateral generates a persistent recession, a stock market crash, and a flight-to-safety effect. This novel mechanism creates a tight link between the asset pricing implications of macroeconomic models and their ability to propagate and amplify the effects of macroeconomic shocks.