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User profiles for author:"Francois Gourio"

Francois Gourio

Assistant Professor of Economics, Boston University
Verified email at bu.edu
Cited by 348

Disasters risk and business cycles

[PDF] from mit.edu
F Gourio - 2009 - nber.org
To construct a business cycle model consistent with the observed behavior of asset prices,
and study the effect of shocks to aggregate uncertainty, I introduce a small, time-varying risk
of economic disaster in a standard real business cycle model. The paper establishes two ...
Cited by 69 - Related articles - Library Search - All 27 versions

Investment spikes: New facts and a general equilibrium exploration

[PDF] from chicagobooth.edu
F Gourio… - 2007 - nber.org
Using plant-level data from Chile and the US we show that investment spikes are highly pro-
cyclical, so much so that changes in the number of establishments undergoing investment
spikes (the" extensive margin") account for the bulk of variation in aggregate investment. ...
Cited by 48 - Related articles - Library Search - BL Direct - All 30 versions

Disasters and recoveries

[PDF] from psu.edu
Full text - MIT Libraries
F Gourio - The American Economic Review, 2008 - JSTOR
Page 1. American Economic Review: Papers & Proceedings 2008, 98:2, 68-73 http://www. aeaweb.
org/articles.php?doi?10.1257/aer. 98.2.68 Disasters and Recoveries By Fran?ois Gourio* Twenty
years ago, ThomasA. Rietz (1988) showed that infrequent, large drops in con? ...
Cited by 47 - Related articles - BL Direct - All 29 versions

[PDF] Labor leverage, firms' heterogeneous sensitivities to the business cycle, and the cross-section of expected returns

[PDF] from bu.edu
F Gourio - Unpublished working paper, Boston University, 2007 - people.bu.edu
Abstract Corporate profits are volatile and highly procyclical in the aggregate, but there is
substantial heterogeneity across firms in the extent of this procyclicality: I document that firms
with lower productivity or higher book'to'market have more procyclical profits. A simple ...
Cited by 26 - Related articles - View as HTML - All 10 versions

Firm heterogeneity and the long-run effects of dividend tax reform

[PDF] from bu.edu
F Gourio… - 2009 - nber.org
To study the long-run effect of dividend taxation on aggregate capital accumulation, we build
a dynamic general equilibrium model in which there is a continuum of firms subject to
idiosyncratic productivity shocks. We find that a dividend tax cut raises aggregate ...
Cited by 20 - Related articles - Library Search - All 48 versions

Time-series predictability in the disaster model

[PDF] from bu.edu
F Gourio - Finance Research Letters, 2008 - Elsevier
This paper studies whether the Rietz–Barro “disaster” model, extended for a time-varying
probability of disaster, can match the empirical evidence on predictability of stock returns. It
is shown that when utility is CRRA, the model cannot replicate this evidence, regardless of ...
Cited by 18 - Related articles - All 10 versions

[PDF] Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns Job Market Paper

[PDF] from cmu.edu
F Gourio - 2005 - server1.tepper.cmu.edu
Abstract I use a putty-clay technology to explain several asset market facts. The key
mechanism is as follows: a one percent increase in revenues leads to a more-than-one
percent increase in profits, since labor costs don't move one-for-one. This amplification is ...
Cited by 15 - Related articles - View as HTML - All 26 versions

[PDF] Estimating firm-level risk

[PDF] from 128.197.153.21
F Gourio - Boston University, 2008 - 128.197.153.21
Abstract There has been much interest recently in models of firm heterogeneity with
idiosyncratic pro& ductivity shocks. However, there remains substantial disagreement on the
persistence of the shocks faced by firms, with estimates ranging from a unit root to a nearly ...
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[PDF] The marginal worker and the aggregate elasticity of labor supply

[PDF] from 128.197.153.21
F Gourio… - Manuscript, Boston University, 2006 - 128.197.153.21
Page 1. The Marginal Worker and the Aggregate Elasticity of Labor Supply" François
Gourio2 Pierre&Alexandre Noual3 April 2009 Abstract When labor supply is indivisible
and markets are complete, the aggregate Frisch elas& ...
Cited by 14 - Related articles - View as HTML - All 32 versions

International Risk Cycles

[PDF] from bankofcanada.ca
F Gourio, M Siemer… - Journal of International Economics, 2011 - Elsevier
Abstract Recent work in international finance suggests that exchange rate puzzles can be
accounted for if (1) aggregate uncertainty is time-varying, and (2) countries have
heterogeneous exposures to a world aggregate shock. We embed these features in a ...
Cited by 13 - Related articles - Get it from MIT Libraries - Library Search - All 23 versions

Dynamic effects of permanent and temporary dividend tax policies on corporate investment and financial policies

[PDF] from bu.edu
F Gourio… - 2007 - papers.ssrn.com
Page 1. Dynamic Effects of Permanent and Temporary Dividend Tax Policies on
Corporate Investment and Financial Policies∗ François Gourio† and Jianjun Miao‡
October 2007 Abstract We develop a neoclassical partial equilibrium ...
Cited by 10 - Related articles - All 7 versions

Credit risk and disaster risk

[PDF] from uwo.ca
F Gourio - 2011 - nber.org
Corporate credit spreads are large, volatile, countercyclical, and significantly larger than
expected losses, but existing macroeconomic models with financial frictions fail to reproduce
these patterns, because they imply small and constant aggregate risk premia. Building on ...
Cited by 11 - Related articles - Library Search - All 36 versions

Customer capital

[PDF] from utexas.edu
F Gourio… - 2011 - nber.org
... CUSTOMER CAPITAL Francois Gourio Leena Rudanko ... They have not been peer- reviewed or
been subject to the review by the NBER Board of Directors that accompanies official NBER
publications. © 2011 by Francois Gourio and Leena Rudanko. All rights reserved. ...
Cited by 10 - Related articles - Library Search - All 25 versions

[PDF] Firms Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns

[PDF] from psu.edu
F Gourio - Boston University-Department of Economics-Working …, 2006 - econ.la.psu.edu
Abstract I propose and test a simple technology-based theory of firms' sensitivities to
aggregate shocks. I show that when the elasticity of substitution between capital and labor is
below unity, low profitability firms are more sensitive to aggregate shocks, ie to the ...
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[CITATION] Firm heterogeneity and the long-run effects of dividend tax reform, forthcoming in American Economic Journal: Macroeconomics

F Gourio… - 2008
Cited by 6 - Related articles

Putty-clay technology and stock market volatility

[PDF] from bu.edu
F Gourio - Journal of Monetary Economics, 2011 - Elsevier
Firms' first-order conditions imply that stock returns equal investment returns from the
production technology. Much applied work uses the adjustment cost technology, which
implies that the realized return is high when the investment-capital ratio is high. This paper ...
Cited by 6 - Related articles - Get it from MIT Libraries - All 6 versions

[PDF] Putty-Clay Technology and Stock Market Volatility

[PDF] from 128.197.153.21
F Gourio - Boston University-Department of Economics-Working …, 2007 - 128.197.153.21
Page 1. Putty-Clay Technology and Stock Market Volatility François Gourio∗ November 2005
Abstract I derive a production-based asset pricing formula to infer aggregate stock market returns
from macroeconomic time series when the technology is putty-clay. ...
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[CITATION] Putty-clay technology and stock market volatility, forthcoming

F Gourio - Journal of Monetary Economics, 2010
Cited by 4 - Related articles - Get it from MIT Libraries

[CITATION] Labor market flexibility and the Great Moderation

F Gourio - Unpublished manuscript, 2007
Cited by 4 - Related articles

[CITATION] Transitional dynamics of dividend tax and capital gains tax cuts

F Gourio… - Review of Economic Dynamics, 2010
Cited by 2 - Related articles - Get it from MIT Libraries

[PDF] Transitional Dynamics of Dividend Tax Reform

[PDF] from 128.197.153.21
F Gourio… - Boston University-Department of Economics- …, 2008 - 128.197.153.21
Page 1. Transitional Dynamics of Dividend Tax Reform ∗ François Gourio † and Jianjun
Miao ‡ November 2008 Abstract We develop a dynamic general equilibrium model to
study the impact of the 2003 dividend and capital gains tax cuts. ...
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[CITATION] Credit Risk and Disaster Risk, work in progress

F Gourio - Boston University, 2010
Cited by 2 - Related articles

[PDF] Disasters, Recoveries, and Predictability

[PDF] from bu.edu
F Gourio - 2008 - people.bu.edu
Page 1. Disasters, Recoveries, and Predictability François Gourio* April 2008 Abstract I review
the disaster explanation of the equity premium puzzle, discussed in Barro (2006) and Rietz
(1988). In the data, disasters are often followed by recoveries. ...
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[CITATION] Disaster Risk and Business Cycles.” forthcoming

F Gourio - American Economic Review, 2010
Cited by 2 - Related articles - Get it from MIT Libraries

Is there a majority to support a capital tax cut?

[PDF] from bu.edu
Full text - MIT Libraries
F Gourio - Journal of Economic Dynamics and Control, 2009 - Elsevier
Cited by 1 - Related articles - All 9 versions

Transitional dynamics of dividend and capital gains tax cuts

[PDF] from psu.edu
Full text - MIT Libraries
F Gourio… - Review of Economic Dynamics, 2011 - Elsevier
Cited by 1 - Related articles - Library Search - All 15 versions

Stochastic Volatility, Bond Yields, and the Q Theory of Investment

[PDF] from sfs.org
F Gourio… - 2011 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1787435 Stochastic Volatility, Bond
Yields, and the Q Theory of Investment ∗ François Gourio † and Michael Michaux ‡ [Paper is
Preliminary and Incomplete] Current version: March 2011 Abstract ...
Cited by 2 - Related articles - All 6 versions

Time-Varying Risk of Disaster, Time-Varying Risk Premia, and Macroeconomic Dynamics

[PDF] from nyu.edu
F Gourio - 2009 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1362331 Time'Varying
Risk of Disaster, Time'Varying Risk Premia, and Macroeconomic Dynamics François
Gourio* March 2009 Preliminary and Incomplete Abstract ...
Cited by 1 - Related articles - All 10 versions

[PDF] The Marginal Worker and The Aggregate Elasticity of Labor Supply Preliminary and Incomplete

[PDF] from repec.org
F Gourio… - 2006 - repec.org
Page 1. The Marginal Worker and The Aggregate Elasticity of Labor Supply
Preliminary and Incomplete François Gourio and Pierre-Alexandre Noual∗ February
2006 Abstract This paper attempts to reconcile the high apparent ...
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[PDF] Financing Investment with Long-Term Debt and Uncertainty Shocks

[PDF] from utahwfc.org
F Gourio… - 2012 - utahwfc.org
Page 1. Financing Investment with Long-Term Debt and Uncertainty Shocks ∗ François
Gourio † , Michael Michaux ‡ February 1, 2012 Abstract We extend the quantitative
corporate finance framework of Hennessy and Whited (2005) ...
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[PDF] Marginal vs. Average Bundle and the Intertemporal Elasticity of Substitution

[PDF] from bu.edu
F Gourio - 2004 - bu.edu
Page 1. Marginal vs. Average Bundle and the Intertemporal Elasticity of Substitution
François Gourio∗ December 2004 - Preliminary and Incomplete Abstract Saving
an extra dollar means foregoing consumption today - but the ...
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[PDF] Technical Appendix to" Transitional Dynamics of Dividend and Capital Gains Tax Cuts"

[PDF] from nber.org
F Gourio… - Technical Appendices, 2010 - nber.org
Page 1. Technical Appendix for “Transitional Dynamics of Dividend and Capital Gains
Tax Cuts” François Gourio∗ and Jianjun Miao† June 24, 2010 In this appendix, we
present the details of the extended model with debt in our paper ...
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[CITATION] Asset Pricing with a Putty-Clay Technology

F Gourio - 2004
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[CITATION] Code and data files for" Transitional Dynamics of Dividend and Capital Gains Tax Cuts"

F Gourio… - Computer Codes, 2010 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to view
it first. In case of further problems read the IDEAS help page. Note that these files are not on the
IDEAS site. Please be patient as the files may be large. ... Software component provided ...
Cached - All 3 versions

Stochastic Volatility, Bond Yields, and the Q Theory of Investment

M Michaux… - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1786082 Stochastic Volatility,
Bond Yields, and the Q Theory of Investment ∗ Preliminary and incomplete, comments welcome.
1 François Gourio ‡ and Michael Michaux § May 10, 2011 Abstract ...
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[CITATION] Stochastic Volatility, Credit Spreads, and the Q Theory of Investment

F Gourio… - 2010
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[PDF] A Cross' Sectional Test of the Disaster Model

[PDF] from 128.197.153.21
F Gourio - 128.197.153.21
Page 1. A Cross'Sectional Test of the Disaster Model François Gourio* First Version: January
2008 This Version: June 2008 Abstract A possible explanation of the equity premium puzzle is
that there is a small probability of a large drop in aggregate consumption ' a rdisasters. ...
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Disasters and Recoveries: A Note on the Barro-Rietz Explanation of the Equity Premium Puzzle

F Gourio - Boston University-Department of Economics-Working …, 2007 - ideas.repec.org
In a recent article, Barro (2006) revives the Rietz explanation of the equity premium. Rietz
(1988) showed that infrequent, large drops in consumption make the theoretical equity
premium large. Barro shows empirically that in the XXth century, disasters are frequent ...
Cached - All 3 versions

[PDF] Estimating Firm% Level Risk Preliminary

[PDF] from nber.org
F Gourio - 2008 - nber.org
Page 1. Estimating Firm%Level Risk Preliminary François Gourio* July 2008 Abstract
Most models incorporating firm heterogeneity assume that idiosyncratic productivity
follows an AR(1) process. However, there remains substantial ...
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[CITATION] Second-Year Paper: Comparison of Open-Economy Ramsey and Blanchard Models

F Gourio - 2002
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[PDF] Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns Job Market Paper

[PDF] from repec.org
F Gourio - 2004 - repec.org
Page 1. Operating Leverage, Stock Market Cyclicality, and the Cross-Section of
Returns Job Market Paper François Gourio∗ December, 2004 Abstract I use a
putty-clay technology to explain several asset market facts. The key ...
Related articles - View as HTML - All 5 versions

Putty-clay technology and asset pricing

F Gourio - 2005 - gradworks.umi.com
Abstract: Thank you for your interest in this graduate work published by ProQuest's UMI
Dissertation Publishing group. This graduate work is no longer available through this web
page. If you are interested in this or other dissertations and theses published by ProQuest, ...
Cached - Library Search

[PDF] Is there a majority to support a capital tax rate cut?

[PDF] from psu.edu
F Gourio - 2004 - Citeseer
Page 1. Is there a majority to support a capital tax rate cut? François Gourio∗ Preliminary and
incomplete. September 2004. Abstract I study capital taxation in a simple Ramsey model where
agents differing in wealth and human capital interact through complete markets. ...
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DP8201 Credit Risk and Disaster Risk

F Gourio - 2011 - cepr.org
DP8201 Credit Risk and Disaster Risk. Author(s): François
Gourio. Publication Date: January 2011. ...
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[PDF] Credit Risk and Disaster Risk# preliminary and incomplete

[PDF] from wisc.edu
F Gourio - 2010 - mywebspace.wisc.edu
Page 1. Credit Risk and Disaster Risk # preliminary and incomplete # François Gourio*
June 2010 Abstract Motivated by the countercyclicality of credit spreads, this paper
develops a simple general equi' librium business cycle ...
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