Showing 1 - 10 of 76
We develop a multi-period model of strategic trading in an asset market where traders are uncertain about market liquidity. In our model, informed traders strategically trade against competitive market makers to exploit their short-lived private information. Unlike market makers, informed...
Persistent link: https://www.econbiz.de/10005666969
assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …
Persistent link: https://www.econbiz.de/10009293986
degree of risk and productivity, we analyse the Nash equilibrium contracts arising from a banks-borrowers game in the context …
Persistent link: https://www.econbiz.de/10005666565
may enter bankruptcy with probability one. A major cause for this default is that risk premia of a competitive banking …
Persistent link: https://www.econbiz.de/10005789004
We investigate the question of whether sophistication in risk management fosters banking stability. We compare a simple … default risk of entrepreneurs individually. Both banking systems compete for deposits, loans, and bank equity. While a … equity and finances more entrepreneurs. Expected repayments in a simple system are always higher and its default risk is …
Persistent link: https://www.econbiz.de/10005789172
This paper uses a VAR to investigate four possible explanations of the extended slump in Japanese economic activity over the 1990s: the absence of bold and consistent fiscal stimulus; the limited room for expansionary monetary policy due to a liquidity trap; overinvestment and debt overhang; and...
Persistent link: https://www.econbiz.de/10005791688
: excessive risk-taking of banks, credit restrictions banks impose on firms with low equity, and credit restrictions due to high …
Persistent link: https://www.econbiz.de/10005791895
companies: the financing of high-risk projects requires the involvement of banks. Banks therefore retain a central function and …
Persistent link: https://www.econbiz.de/10005792364
, government solvency may not be a pressing issue at this stage. Globally, risk-free rates at all maturities and all imaginable … credit risk spreads are extraordinarily and unsustainably low. Continuation of the pattern of recent years - a steady …
Persistent link: https://www.econbiz.de/10005123636
We examine empirically the role of lending relationships in determining the collateral requirements, costs and availability of external funding. The data originates from a recently concluded survey of small- and medium-sized German firms. In our descriptive analysis, we explore the borrowing...
Persistent link: https://www.econbiz.de/10005123791