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A Critique of the Literature on the US Financial Debt Crisis

Stein, Jerome L. - CESifo - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10008534053

Application of Stochastic Optimal Control to Financial Market Debt Crises

Stein, Jerome L. - CESifo - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10005094473

Long-run Determinants of Sovereign Yields

Afonso, António; Rault, Christophe - CESifo - 2010

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10008498994

Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

Babalos, Vassilis; Caporale, Guglielmo Maria; … - CESifo - 2013

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences …. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently … with previous studies, no significant differences in performance and risk are found between female and male managed funds …

Persistent link: https://www.econbiz.de/10010667412

Credit Risk in General Equilibrium

Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - CESifo - 2014

This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general...

Persistent link: https://www.econbiz.de/10010877793

The Political Economy of Financial Systems: Evidence from Suffrage Reforms in the Last Two Centuries

Degryse, Hans; Lambert, Thomas; Schwienbacher, Armin - CESifo - 2013

Initially, voting rights were limited to wealthy elites providing political support for stock markets. The franchise expansion induces the median voter to provide political support for banking development as this new electorate has lower financial holdings and benefits less from the uncertainty...

Persistent link: https://www.econbiz.de/10010877814

Holes in the Dike: The Global Savings Glut, U.S. House Prices and the Long Shadow of Banking Deregulation

Hoffmann, Mathias; Stewen, Iryna - CESifo - 2015

We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2012. To obtain an ex ante measure of financial liberalization, we focus on the history...

Persistent link: https://www.econbiz.de/10011272618

Determinants of Country Beta Risk in Poland

Wdowinski, Piotr - CESifo - 2004

economic performance of the Polish economy. Hence, we build monetary and real factors models. As explanatory variables of risk … Shiller (1990), we test for relative one-period-ahead predictive performance of monetary and real factors models of capital …

Persistent link: https://www.econbiz.de/10005249463

Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System

Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2011

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...

Persistent link: https://www.econbiz.de/10009221548

Financial Frictions and Inflation Differentials in a Monetary Union

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2010

This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation differentials can be explained by cross-country differences concerning the characteristics of financial markets. Our results suggest that empirically plausible degrees of...

Persistent link: https://www.econbiz.de/10008727289