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Asset fire sales and purchases and the international transmission of financial shocks

Jotikasthira, Chotibhak; Lundblad, Christian T; … - C.E.P.R. Discussion Papers - 2009

We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate...

Persistent link: https://www.econbiz.de/10008458295

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10005504428

Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the €/US$ Rate

Bofinger, Peter; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The study analyses the characteristics of professional exchange rate forecasts for the €/US$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according...

Persistent link: https://www.econbiz.de/10005666725

A DSGE model of banks and financial intermediation with default risk

Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011

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

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

Valuation in Over-the-Counter Markets

Duffie, Darrell; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2006

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

Persistent link: https://www.econbiz.de/10005661894

Stories of the Twentieth Century for the Twenty-First

Gourinchas, Pierre-Olivier; Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2011

A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century’s first global...

Persistent link: https://www.econbiz.de/10009201122

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

International Debt Deleveraging

Fornaro, Luca - C.E.P.R. Discussion Papers - 2015

an episode of international deleveraging, world consumption demand is depressed and the world interest rate is low …

Persistent link: https://www.econbiz.de/10011196040

Technology Shocks: Novel Implications for International Business Cycles

Raffo, Andrea - C.E.P.R. Discussion Papers - 2010

Understanding the joint dynamics of international prices and quantities remains a central issue in international business cycles. International relative prices appreciate when domestic consumption and output increase more than their foreign counterparts. In addition, both trade flows and trade...

Persistent link: https://www.econbiz.de/10008611010

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