Narrow search
Showing 1 - 10 of 688
Cover Image
Theoretical Notes on Bubbles and the Current Crisis
Martin, Alberto; Ventura, Jaume - C.E.P.R. Discussion Papers - 2010
We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. We embed this view in a standard model of the financial accelerator and explore its empirical and policy implications. In particular, we show how the...
Persistent link: https://www.econbiz.de/10008684673
Cover Image
Modelling and Forecasting UK Mortgage Arrears and Possessions
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in …
Persistent link: https://www.econbiz.de/10008611018
Cover Image
Predicting recoveries and the importance of using enough information
Cai, Xiaoming; Den Haan, Wouter - C.E.P.R. Discussion Papers - 2009
Several papers that make forecasts about the long-term impact of the current financial crisis rely on models in which there is only one type of financial crisis. These models tend to predict that the current crisis will have long lasting negative effects on economic growth. This paper points out...
Persistent link: https://www.econbiz.de/10008477182
Cover Image
Leverage as a Predictor for Real Activity and Volatility
Kollmann, Robert; Zeugner, Stefan - C.E.P.R. Discussion Papers - 2011
This paper explores the link between the leverage of the US financial sector, of households and of non-financial businesses, and real activity. We document that leverage is negatively correlated with the future growth of real activity, and positively linked to the conditional volatility of...
Persistent link: https://www.econbiz.de/10008915810
Cover Image
Collateralisation bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014
about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher …
Persistent link: https://www.econbiz.de/10011084220
Cover Image
The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation
Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005
This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...
Persistent link: https://www.econbiz.de/10005791499
Cover Image
Comparing behavioural and rational expectations for the US post-war economy
Liu, Chunping; Minford, Patrick - C.E.P.R. Discussion Papers - 2012
The banking crisis has caused a resurgence of interest in behavioural models of expectations in macroeconomics. Here we evaluate behavioural and rational expectations econometrically in a New Keynesian framework, using US post-war data and the method of indirect inference. We find that after...
Persistent link: https://www.econbiz.de/10011083283
Cover Image
Perturbation Methods for Markov-Switching DSGE Models
Foerster, Andrew; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2013
of any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in …
Persistent link: https://www.econbiz.de/10011083963
Cover Image
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 … also suggests that a purely passive “cleaning up the mess” stance toward the buildup of bubbles is, in many cases, costly …
Persistent link: https://www.econbiz.de/10011249380
Cover Image
Understanding Bubbly Episodes
Carvalho, Vasco M; Martin, Alberto; Ventura, Jaume - C.E.P.R. Discussion Papers - 2012
: rational bubbles and financial frictions. We explain why each of these building blocks is crucial to understand recent events …
Persistent link: https://www.econbiz.de/10011084068