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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …
Persistent link: https://www.econbiz.de/10005662195
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …
Persistent link: https://www.econbiz.de/10005504526
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When Everyone Runs for the Exit
Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009
The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...
Persistent link: https://www.econbiz.de/10005082543
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Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?
Lettau, Martin - C.E.P.R. Discussion Papers - 1998
This paper evaluates models with idiosyncratic consumption risk using Hansen and Jagannathan’s (1991) volatility bounds …. It is shown that idiosyncratic risk does not change the volatility bounds at all when consumers have constant relative … volatility bounds using individual income data and assume that agents must consume their endowment. I find that the model does …
Persistent link: https://www.econbiz.de/10005067379
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
, and volatility risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
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Collateralisation bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
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The Dog that Did Not Bark: Insider Trading and Crashes
Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007
phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …
Persistent link: https://www.econbiz.de/10005666589
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Banking and the Macroeconomy in China: A Banking Crisis Deferred?
Le, Vo Phuong Mai; Matthews, Kent; Meenagh, David; … - C.E.P.R. Discussion Papers - 2013
The downturn in the world economy following the global banking crisis has left the Chinese economy relatively unscathed. This paper develops a model of the Chinese economy using a DSGE framework with a banking sector to shed light on this episode. It differs from other applications in the use of...
Persistent link: https://www.econbiz.de/10011084147
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Monetarism rides again? US monetary policy in a world of Quantitative Easing
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - C.E.P.R. Discussion Papers - 2014
This paper gives money a role in providing cheap collateral in a model of banking; this means that, besides the Taylor Rule, monetary policy can affect the risk-premium on bank lending to firms by varying the supply of M0 in open market operations, so that even when the zero bound prevails...
Persistent link: https://www.econbiz.de/10011084208
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Estimates of Personal Sector Wealth for South Africa
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2004
In common with many emerging market countries, South Africa’s government does not publish balance sheet wealth estimates on a market value basis, as produced in the US, UK, Japan, and elsewhere. Yet without information on the market values of liquid and illiquid personal sector wealth, it is...
Persistent link: https://www.econbiz.de/10005666639