Uncertainty Shocks, Asset Supply, and Pricing over the Business Cycle
2,720 views · Published 7 May 2013 · 34:03 · Indexed 6 November 2026
Channel: The University of Chicago · 2013 · Education
Cosmin Ilut, Assistant Professor of Economics at Duke University, presents on a DSGE model with endogenous financial asset supply and ambiguity averse investors. An increase in uncertainty about financial conditions leads firms to substitute away from debt and reduce shareholder payout in bad times when measured risk premia are high. Regime shifts in volatility generate large low-frequency movements in asset prices due to uncertainty premia that are disconnected from the business cycle. This lecture is a part of the Workshop on Ambiguity and Robustness in Macroeconomics and Finance. ➡ Subscribe: http://bit.ly/UCHICAGOytSubscribe About #UChicago: Since its founding in 1890, the University of Chicago has been a destination for rigorous inquiry and field-defining research. This transformative academic experience empowers students and scholars to challenge conventional thinking in pursuit of original ideas. #UChicago on the Web: Home: http://bit.ly/UCHICAGO-homepage News: http://bit.ly/UCHICAGO-news Facebook: http://bit.ly/UCHICAGO-FB Twitter: http://bit.ly/UCHICAGO-TW Instagram: http://bit.ly/UCHICAGO-IG University of Chicago on YouTube: https://www.youtube.com/uchicago *** ACCESSIBILITY: If you experience any technical difficulties with this video or would like to make an accessibility-related request, please email [email protected].
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