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Financial Distress, Bankruptcy Law and the Business Cycle
Sussman, Oren; Suarez, Javier - Department of Economics, Oxford University - 2004
This paper explores the business cycle implications of financial distress and bankruptcy law. We find that due to the presence of financial imperfections the effect of liquidations on the price of capital goods can generate endogenous fluctuations. We show that a law reform that...
Persistent link: https://www.econbiz.de/10011146262
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Asymmetric Business Cycles: Theory and Time-series Evidence.
Scott, A.; Acemoglu, D. - Department of Economics, Oxford University - 1995
Persistent link: https://www.econbiz.de/10005047710
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Wealth, Credit Conditions and Consumption: Evidence from South Africa
Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2011
There is widespread disagreement about the role of housing wealth in explaining consumption.  This paper exploits liquid and illiquid wealth time series from household balance sheet data for South Africa, previously constructed by the authors, to explain fluctuations in the ratios of...
Persistent link: https://www.econbiz.de/10009364585
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Credit shocks and cycles: a Bayesian calibration approach
Meeks, Roland - Department of Economics, Oxford University - 2006
This paper asks how well a general equilibrium agency cost model describes the dynamic relationship between credit variables and the business cycle. A Bayesian VAR is used to obtain probability intervals for empirical correlations. The agency cost model is found to predict the leading,...
Persistent link: https://www.econbiz.de/10010820335
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Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic
Bilbie, Florin O. - Department of Economics, Oxford University - 2005
This paper incorporates limited asset markets participation in dynamic general equilibrium and develops a simple analytical framework for monetary policy analysis. Aggregate dynamics and stability properties of an otherwise standard business cycle model depend nonlinearly on the degree of asset...
Persistent link: https://www.econbiz.de/10010820337
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Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models
Muellbauer, John; Duca, John - Department of Economics, Oxford University - 2012
After the global financial crisis, there is greater awareness of the need to understand the interactions between the financial sector and the real economy and hence the potential for financial instability.  Data from the financial flow of funds, previously relatively neglected, are now seen as...
Persistent link: https://www.econbiz.de/10011004428
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Credit, Housing Collateral and Consumption: Evidence from the UK, Japan and the US
Aron, Janine; Muellbauer, John; Murphy, Anthony - Department of Economics, Oxford University - 2010
The consumption behaviour of UK, US and Japanese households is examined and compared using a modern Ando-Modigliani style consumption function.  The models incorporate income growth expectations, income uncertainty, housing collateral and other credit effects.  These models therefore capture...
Persistent link: https://www.econbiz.de/10008464924
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A wavelet approach to multiple cointegration testing
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …
Persistent link: https://www.econbiz.de/10011004134
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A Test for the Null of Multiple Cointegrating Vectors
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables.  Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …
Persistent link: https://www.econbiz.de/10011004208
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Testing for a time-varying price-cost markup in the Euro area inflation process
Bowdler, Christopher; Jansen, Eilev S. - Department of Economics, Oxford University - 2004
Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests that this may not be true for the Euro area economy, which has...
Persistent link: https://www.econbiz.de/10010604884