 | Assistant Professor of Economics, Boston University Verified email at bu.edu Cited by 348 |
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 ...
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. ...
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? ...
F Gourio - Unpublished working paper, Boston University, 2007 - people.bu.edu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 ...
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 ...
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 ...
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 ...
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 ...
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& ...
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 ...
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 ...
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 ...
... 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. ...
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 ...
[CITATION] Firm heterogeneity and the long-run effects of dividend tax reform, forthcoming in American Economic Journal: Macroeconomics
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 ...
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. ...
[CITATION] Putty-clay technology and stock market volatility, forthcoming
F Gourio - Journal of Monetary Economics, 2010
[CITATION] Labor market flexibility and the Great Moderation
F Gourio - Unpublished manuscript, 2007
[CITATION] Transitional dynamics of dividend tax and capital gains tax cuts
F Gourio… - Review of Economic Dynamics, 2010
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. ...
[CITATION] Credit Risk and Disaster Risk, work in progress
F Gourio - Boston University, 2010
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. ...
[CITATION] Disaster Risk and Business Cycles.” forthcoming
F Gourio - American Economic Review, 2010
F Gourio - Journal of Economic Dynamics and Control, 2009 - Elsevier
F Gourio… - Review of Economic Dynamics, 2011 - Elsevier
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 ...
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 ...
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 ...
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) ...
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 ...
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 ...
[CITATION] Asset Pricing with a Putty-Clay Technology
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 ...
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 ...
[CITATION] Stochastic Volatility, Credit Spreads, and the Q Theory of Investment
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. ...
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 ...
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 ...
[CITATION] Second-Year Paper: Comparison of Open-Economy Ramsey and Blanchard Models
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 ...
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, ...
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. ...
DP8201 Credit Risk and Disaster Risk. Author(s): François
Gourio. Publication Date: January 2011. ...
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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