Now showing items 1-5 of 5

    • Cost of borrowing shocks and fiscal adjustment 

      de Groot, Oliver; Holm-Hadulla, F.; Leiner-Killinger, N. (2015-12) - Journal article
      Do capital markets impose fiscal discipline? To answer this question, we estimate the fiscal response to a change in the interest rate paid by 14 European governments over four decades in a panel VAR, using sign restrictions ...
    • A financial accelerator through coordination failure 

      de Groot, Oliver (University of St Andrews, 2019-01-31) - Working or discussion paper
      This paper studies the effect of liquidity crises in short-term debt markets in a dynamic general equilibrium framework. Creditors (retail banks) receive imperfect signals regarding the profitability of borrowers (wholesale ...
    • Solving asset pricing models with stochastic volatility 

      de Groot, Oliver (2015-03) - Journal article
      This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the ...
    • Uncertainty shocks in a model of effective demand : comment 

      de Groot, Oliver; Richter, Alexander W.; Throckmorton, Nathaniel A. (2018-08-02) - Journal article
      Basu and Bundick, 2017 showed an intertemporal preference volatility shock has meaningful effects on real activity in a New Keynesian model with Epstein and Zin, 1991 preferences. We show that when the distributional weights ...
    • Valuation risk revalued 

      de Groot, Oliver; Richter, Alexander W.; Throckmorton, Nathaniel A. (University of St Andrews, 2018-12-17) - Working or discussion paper
      This paper shows the recent success of valuation risk (time-preference shocks in Epstein- Zin utility) in resolving asset pricing puzzles rests sensitively on an undesirable asymptote that occurs because the preference ...