International College of Economics and Finance

ICEF/LFE Research Seminar by Jos Van Bommel (University of Luxembourg)

On Thursday, November 9 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF and LFE held the Research Seminar in Finance.
Speaker: Jos Van Bommel (University of Luxembourg)
Theme: "Time to Build, Liquidity Risk Sharing and Endogenous Business Cycles"

Abstract: We show that in an overlapping generations economy in which production is subject to gestation lags and agents share liquidity risk through a market mechanism, equilibrium aggregate investment and asset prices are inherently cyclical. In a stationary economy we find an infinity of cyclical equilibria of different amplitude and one non-cyclical equilibrium. In a startable equilibrium, the unique equilibrium is highly cyclical. The first and consecutive odd generations invest most of their wealth in new long lived technologies. The second and consecutive even generations flock to seasoned claims that are sold by liquidity challenged members of preceding cohorts. 


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