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Financial development and the volatility of income
Pinheiro, Tiago; Rivadeneyra, Francisco; Teignier, Marc - 2013
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector. The financial sector can amplify or...
Persistent link: https://www.econbiz.de/10009692604
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...
Persistent link: https://www.econbiz.de/10014438498
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Explaining the cyclical volatility of consumer debt risk
Madeira, Carlos - 2016
Persistent link: https://www.econbiz.de/10011420469
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Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model
Cermak, Vavrinec - 2017
This study examines whether Bitcoin, a digital decentralized currency, can become a viable alternative to fiat currencies. Bitcoin currently does not fulfill the criteria of being a currency because it does not function as a medium of exchange, a unit of account, and a store of value. Bitcoin's...
Persistent link: https://www.econbiz.de/10012957332
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Macro Policy Responses to Natural Resource Windfalls and the Crash in Commodity Prices
van der Ploeg, Rick - 2017
Policy prescriptions for managing natural resource windfalls are based on the permanent income hypothesis: none of the windfall is invested at home and saving in an intergenerational SWF is dictated by smoothing consumption across different generations. Furthermore, with Dutch disease effects...
Persistent link: https://www.econbiz.de/10012960370
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Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility
Epaulard, Anne; Pommeret, Aude - 2021
This paper proposes a measure of the welfare cost of volatility derived from an endogenous growth model (AK) under uncertainty extended to the case of a recursive utility function which disentangles risk aversion from intertemporal elasticity of substitution. It encompasses a direct welfare cost...
Persistent link: https://www.econbiz.de/10013317977
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The Effect of Borrower-Specific Loan-to-Value Policies on Household Debt, Wealth Inequality and Consumption Volatility : An Agent-Basedanalysis
Tarne, Ruben; Bezemer, Dirk; Theobald, Thomas - 2021
This paper analyses the effects of borrower-specific credit constraints on macroeconomic outcomes in an agent …-based housing market model, calibrated using U.K. household survey data. We apply different Loan-to-Value (LTV) caps for different … household debt, wealth inequality and consumption volatility. The households’ consumption function, in the model, incorporates a …
Persistent link: https://www.econbiz.de/10013213931
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Volatility and Welfare in a Crypto Economy
Saleh, Fahad - 2019
Proof-of-Work (PoW) blockchains possess at least two undesirable characteristics: exceptional price volatility and welfare impairment. Exceptional price volatility arises because PoW implements a passive monetary policy that fails to modulate cryptocurrency demand shocks. Welfare impairment...
Persistent link: https://www.econbiz.de/10012898424
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Some Simple Bitcoin Economics
Schilling, Linda - 2019
In an endowment economy, we analyze coexistence and competition between traditional fiat money (Dollar) and cryptocurrency (Bitcoin). Agents can trade consumption goods in either currency or hold on to currency for speculative purposes. A central bank ensures a Dollar inflation target, while...
Persistent link: https://www.econbiz.de/10012899647
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Inflation Volatility in Small and Large Advanced Open Economies
Balatti, Mirco - 2020
Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares inflation volatility among advanced open economies with inflation targeting monetary policy frameworks. The results of the...
Persistent link: https://www.econbiz.de/10012827759