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Uncertainty Aversion and Systemic Risk
Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015
investors to be less prone to run individual banks, but runs will be systemic. In addition, we show that bank runs are …
Persistent link: https://www.econbiz.de/10011213303
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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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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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Bubbles and Central Banks: Historical Perspectives
Brunnermeier, Markus K; Schnabel, Isabel - C.E.P.R. Discussion Papers - 2015
This paper reviews some of the most prominent asset price bubbles from the past 400 years and documents how central banks (or other institutions) reacted to those bubbles. The historical evidence suggests that the emergence of bubbles is often preceded or accompanied by an expansionary monetary...
Persistent link: https://www.econbiz.de/10011249380
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Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...
Persistent link: https://www.econbiz.de/10005016245
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Gross Capital Flows: Dynamics and Crises
Broner, Fernando A; Didier, Tatiana; Erce, Aitor; … - C.E.P.R. Discussion Papers - 2011
This paper analyzes the joint behavior of international capital flows by foreign and domestic agents--gross capital flows--over the business cycle and during financial crises. We show that gross capital flows are very large and volatile, especially relative to net capital flows. When foreigners...
Persistent link: https://www.econbiz.de/10009321838
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A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets
Acharya, Viral V; Skeie, David - C.E.P.R. Discussion Papers - 2011
Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank transactions, such … leveraged banks’ precautionary demand for liquidity. When adverse asset shocks materialize, a bank’s ability to roll over debt … is impaired because of agency problems associated with high leverage. In turn, a bank’s propensity to hoard liquidity is …
Persistent link: https://www.econbiz.de/10009385771
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Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis
Acharya, Viral V; Mora, Nada - C.E.P.R. Discussion Papers - 2011
hedge to fund drawn credit lines and other commitments. We shed new light on this issue by studying the behavior of bank …
Persistent link: https://www.econbiz.de/10009399713
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Asset Commonality, Debt Maturity and Systemic Risk
Allen, Franklin; Babus, Ana; Carletti, Elena - C.E.P.R. Discussion Papers - 2011
quality of individual banks is opaque but can be inferred by creditors from aggregate signals about bank solvency. When bank …. This information contagion is more likely under clustered asset structures. In contrast, when bank debt is long …
Persistent link: https://www.econbiz.de/10009205064
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Groupthink: Collective Delusions in Organizations and Markets
Bénabou, Roland - C.E.P.R. Discussion Papers - 2009
I develop a model of (individually rational) collective reality denial in groups, organizations and markets. Whether participants' tendencies toward wishful thinking reinforce or dampen each other is shown to hinge on a simple and novel mechanism. When an agent can expect to benefit from other's...
Persistent link: https://www.econbiz.de/10005666620