Search Results - "Croce, Mariano M."

Risks for the Long Run and the Real Exchange Rate by Colacito, Riccardo, Croce, Mariano M.

“…We propose an equilibrium model that can explain a wide range of international finance puzzles, including the high correlation of international stock markets,…”
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Investor Information, Long-Run Risk, and the Term Structure of Equity by Croce, Mariano M., Lettau, Martin, Ludvigson, Sydney C.

“…We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks…”
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International Asset Pricing with Recursive Preferences by COLACITO, RICCARDO, CROCE, MARIANO M.

“…Focusing on data from the United States and the United Kingdom, we document that both the anomaly identified by Backus and Smith, which concerns the low…”
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Currency Risk Factors in a Recursive Multicountry Economy by COLACITO, RIC, CROCE, MARIANO M., GAVAZZONI, FEDERICO, READY, ROBERT

“…Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We…”
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The Leading Premium by Croce, Mariano M, Marchuk, Tatyana, Schlag, Christian

“…Abstract In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United…”
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When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion by Arteaga-Garavito, Maria Jose, Croce, Mariano M., Farroni, Paolo, Wolfskeil, Isabella

“…We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross…”
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Growth risks, asset prices, and welfare by Croce, Mariano M.

“…I connect interest rates, risk premia and welfare costs of long-run consumption uncertainty in a setting with Epstein and Zin (1989) preferences. I find that…”
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Concealed carry by Andrews, Spencer, Colacito, Riccardo, Croce, Mariano M., Gavazzoni, Federico

“…The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long…”
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Volatility Risk Pass-Through by Colacito, Riccardo, Croce, Mariano M, Liu, Yang, Shaliastovich, Ivan

“…Abstract We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates,…”
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The market price of fiscal uncertainty by Croce, Mariano M., Nguyen, Thien T., Schmid, Lukas

“…Recent fiscal interventions have raised concerns about US public debt, future distortionary tax pressure, and long-run growth potential. We explore the…”
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International Robust Disagreement by Colacito, Riccardo, Croce, Mariano M.

“…We characterize the equilibrium of a two-country, two-good economy in which agents have opposite preference bias toward one of the two consumption goods and…”
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The Short and Long Run Benefits of Financial Integration by Colacito, Riccardo, Croce, Mariano M.

“…We propose a general equilibrium model that is able to simultaneously explain: 1. the volatility of exchange rate and stochastic discount factors, 2. the…”
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Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital by Ai, Hengjie, Croce, Mariano Massimiliano, Li, Kai

“…We model investment options as intangible capital in a production economy in which younger vintages of assets in place have lower exposure to aggregate…”
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Long-run productivity risk: A new hope for production-based asset pricing? by Massimiliano Croce, Mariano

“…The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant…”
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Persistent government debt and aggregate risk distribution by Croce, M., Nguyen, Thien T., Raymond, S.

“…When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the…”
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Fiscal Policies and Asset Prices by Croce, M. Max, Kung, Howard, Nguyen, Thien T., Schmid, Lukas

“…The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing…”
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Government debt and the returns to innovation by Croce, M.M., Nguyen, Thien T., Raymond, S., Schmid, L.

“…Elevated levels of government debt raise concerns about their effects on long-term growth prospects. Using the cross-section of US stock returns, we show that…”
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Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics by Colacito, R, Croce, Mariano M, Liu, Zhao

“…We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty…”
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