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Time and the price impact of a trade: A structural approach
Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10010308551
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...
Persistent link: https://www.econbiz.de/10010335985
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The effects of the saving and banking glut on the U.S. economy
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2013
We use a quantitative equilibrium model with houses, collateralized debt and foreign borrowing to study the impact of global imbalances on the U.S. economy in the 2000s. Our results suggest that the dynamics of foreign capital flows account for between one fourth and one third of the increase in...
Persistent link: https://www.econbiz.de/10010352184
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Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
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External and public debt crises
Arellano, Cristina; Atkeson, Andrew; Wright, Mark - 2015
The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...
Persistent link: https://www.econbiz.de/10011460678
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Bond pricing and the macroeconomy
Duffee, Gregory R. - 2012
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10010397776
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Will the Euro Bring Economic Crisis to Europe?
Arestis, Philip; Sawyer, Malcolm - 2001
The initial introduction of the euro has, against many expectations, been accompanied by a decline in the value of the … euro (notably vis-à-vis the dollar and sterling). It has also been introduced at a time of high levels of unemployment … the euro, specifically from the policy and institutional arrangements within which the euro is embedded. It is the …
Persistent link: https://www.econbiz.de/10010263262
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Political Institutions and Growth Collapses
Panizza, Ugo; Gaviria, Alejandro; Stein, Ernesto H.; … - 2000
This paper tests whether Rodrik`s (1999) results that institutions for conflict management are associated with the ability to react to economic shocks are robust to different ways of defining the quality of such institutions. We measure the quality of conflict management institutions with two...
Persistent link: https://www.econbiz.de/10010327068
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The international monetary (non-)order and the global capital flows paradox”
Bibow, Jörg - 2008
This paper sets out to investigate the forces behind the so-called "global capital flows paradox" and related "dollar glut" observed in the era of advancing financial globalization. The supposed paradox is that the developing world has increasingly come to pursue policies that result in current...
Persistent link: https://www.econbiz.de/10010266438
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Shorting the bear: A test of anecdotal evidence of insider trading in early stages of the sub-prime market crisis
Coleman, Les; Schnytzer, Adi - 2011
This article uses trading data in the options market for shares in The Bear Sterns Companies (BSC) during the early stages of the US sub-prime crisis as a laboratory to examine the incidence of insider trading. We take the perspective of a regulator making use of hindsight to identify the most...
Persistent link: https://www.econbiz.de/10010336062