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Courts and Banks: Effects of Judicial Enforcement on Credit Markets

Bianco, Magda; Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 2002

The cost of enforcing contracts is a key determinant of market performance. We document this point with reference to the credit market in a model of opportunistic debtors and inefficient courts. According to the model, improvements in judicial efficiency should reduce credit rationing and...

Persistent link: https://www.econbiz.de/10005123567

Information Sharing, Lending and Defaults: Cross-Country Evidence

Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 1999

Theory predicts that information sharing among lenders attenuates adverse selection and moral hazard, and can therefore increase lending and reduce default rates. To test these predictions, we construct a new international data set on private credit bureaus and public credit registers. We find...

Persistent link: https://www.econbiz.de/10005497918

Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States

Bayoumi, Tamim; Goldstein, Morris; Woglom, Geoffrey - C.E.P.R. Discussion Papers - 1995

The degree to which credit markets discipline sovereign borrowers is investigated by estimating the supply curve for debt faced by US states. The results generally support an optimistic view of the market discipline hypothesis, with credit markets providing incentives for sovereign borrowers to...

Persistent link: https://www.econbiz.de/10005498146

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium

Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010

Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...

Persistent link: https://www.econbiz.de/10008550320

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10008468646

Are Differences in Firm Size Transitory or Permanent?

Geroski, Paul A; Samiei, Hossein; Urga, Giovanni - C.E.P.R. Discussion Papers - 1997

Cross-section or short-panel econometric techniques typically used to examine Gibrat’s Law of Proportionate Effect suggest that some degree of mean reversion exists, but may exaggerate the apparent randomness of corporate growth. We argue that a more natural way to explore the long-run...

Persistent link: https://www.econbiz.de/10005136482

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005136642

Efficiency in the Peseta Forward Exchange Rate Market

Ayuso, Juan; Dolado, Juan J.; Sosvilla-Rivero, Simón - C.E.P.R. Discussion Papers - 1992

This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is …

Persistent link: https://www.econbiz.de/10005497906

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2002

We develop a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to fluctuations...

Persistent link: https://www.econbiz.de/10005504785

Unemployment, Real Wages and Union Membership

Schmidt, Christoph M; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1993

This paper investigates economic determinants and effects of aggregate union membership in the Federal Republic of Germany. We establish that in the long run, high union membership levels coincide not only with a large labour force, but also with a high level of real wages, a small dispersion of...

Persistent link: https://www.econbiz.de/10005656160