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Credit, Financial Stability, and the Macroeconomy
Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015
Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...
Persistent link: https://www.econbiz.de/10011213304
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Lending relationships and credit rationing: the impact of securitization
Carbó Valverde, Santiago; Degryse, Hans; … - C.E.P.R. Discussion Papers - 2012
Banks have been heavily involved in securitization. We study whether the involvedness of a firm’s main bank into … different types of securitization activity -- asset backed securities (ABS) and covered bonds -- influences credit supply before … and during the 2007-8 financial crisis. Both types of securitization allow the bank to generate liquidity. To the extent …
Persistent link: https://www.econbiz.de/10011084511
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Uncertainty Aversion and Systemic Risk
Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015
We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This...
Persistent link: https://www.econbiz.de/10011213303
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Rare Events, Financial Crises, and the Cross-Section of Asset Returns
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015
Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for...
Persistent link: https://www.econbiz.de/10011213314
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When Credit Bites Back: Leverage, Business Cycles, and Crises
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2011
This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...
Persistent link: https://www.econbiz.de/10009365001
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A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
Acharya, Viral V; Drechsler, Itamar; Schnabl, Philipp - C.E.P.R. Discussion Papers - 2011
We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it...
Persistent link: https://www.econbiz.de/10009365002
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From Value at Risk to Stress Testing: The Extreme Value Approach
Longin, François - C.E.P.R. Discussion Papers - 1999
This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory...
Persistent link: https://www.econbiz.de/10005662233
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Towards a Lender of First Resort
Cohen, Daniel; Portes, Richard - C.E.P.R. Discussion Papers - 2004
If interest rates (country spreads) rise, debt can rapidly be subject to a snowball effect, which then becomes self-fulfilling with regard to the fundamentals themselves. This is a market imperfection, because we cannot be confident that the unaided market will choose the ‘good equilibrium’...
Persistent link: https://www.econbiz.de/10005662255
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Capital Flow Bonanzas: An Encompassing View of the Past and Present
Reinhart, Carmen M.; Reinhart, Vincent - C.E.P.R. Discussion Papers - 2008
earlier studies, global factors, such as commodity prices, international interest rates, and growth in the world’s largest …
Persistent link: https://www.econbiz.de/10005666522
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The Social Cost of Foreign Exchange Reserves
Rodrik, Dani - C.E.P.R. Discussion Papers - 2006
There has been a very rapid rise since the early 1990s in foreign reserves held by developing countries. These reserves have climbed to almost 30% of developing countries' GDP and 8 months of imports. Assuming reasonable spreads between the yield on reserve assets and the cost of foreign...
Persistent link: https://www.econbiz.de/10005666668