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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

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

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

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

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

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

AIG in hindsight

McDonald, Robert; Paulson, Anna - 2014

The near-failure on September 16, 2008, of American International Group (AIG) was an iconic moment in the financial crisis. The decision to rescue AIG was controversial at the time and remains so. Large bets on real estate pushed AIG to the brink of bankruptcy. In one case, AIG used securities...

Persistent link: https://www.econbiz.de/10011460674

Financialisation and stagnation: A macroeconomic regime perspective

Hein, Eckhard - 2020

In this contribution we link the recently re-discovered tendencies towards stagnation with the features of financialisation, which have started to dominate developed capitalist economies in the early 1980s. We review the main macroeconomic channels of transmission of financialisation-namely, the...

Persistent link: https://www.econbiz.de/10012292734

Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model

Fadejeva, Ludmila; Feldkircher, Martin; Reininger, Thomas - 2015

We examine the international effects of adverse loan supply and aggregate demand shocks originating in the euro area … shocks in the euro area and in the U.S.A. Last, historical decompositions of deviations from trend growth show that for the … euro area developments, foreign shocks originating in the U.S.A., the UK and the CESEE and CIS regions feature most …

Persistent link: https://www.econbiz.de/10013370115

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

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