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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

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

Finance and Efficiency: Do Bank Branching Regulations Matter?

Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007

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

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

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

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

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

The Dog that Did Not Bark: Insider Trading and Crashes

Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007

This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric...

Persistent link: https://www.econbiz.de/10005666589

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

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

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our …

Persistent link: https://www.econbiz.de/10011083240