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Non Monotone Liquidity Under-Supply
Ana, Fostel; John, Geanakoplos - Econometric Society - 2004
We show that very little is needed to create liquidity under-supply in equilibrium: only the presence of credit constraints on demand. We show that the under-supply is a non-monotone function of the demand distortion that causes it, a result that may have interesting implications for emerging...
Persistent link: https://www.econbiz.de/10005063557
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General Properties of Rational Stock-Market Fluctuations
Mele, Antonio - Econometric Society - 2004
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly...
Persistent link: https://www.econbiz.de/10005342258
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Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis
Tas, Bedri Kamil Onur - Econometric Society - 2004
monetary policy actions because monetary policy actions reveal the private information that the Fed has about future inflation …
Persistent link: https://www.econbiz.de/10005130171
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Beta Risk and Regime Shift in Market Volatility
Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004
and estimate non-diversifiable security risk (beta) in the different market volatility regimes. We test the significance … of the premium of the beta risk associated with the different market regimes and find evidence of a relationship between … security return and beta risk when conditional on the up and down market movement. …
Persistent link: https://www.econbiz.de/10005130158
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Banks and Capital Inflows
Fontenla, Matias - Econometric Society - 2004
This paper examines the effects that capital inflows have on the financial system in a Diamond-Dybvig environment. Here, an adverse-selection problem arises where short-term capital has the incentive to enter the domestic banking system while long-term capital chooses to stay out. Then,...
Persistent link: https://www.econbiz.de/10005328911
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Can Financial Frictions Help Explain the Performance of the US Fed?
de-Blas-Pérez, Beatriz - Econometric Society - 2004
of output and inflation between the Pre- and the Post-Volcker periods. I use a limited participation model with credit … reporting substantially different interest rate rules before and after 1981:2, but fail to assign more weight to inflation … assign more weight to inflation and less to output stabilization after 1981:2. Money demand processes vary between sub …
Persistent link: https://www.econbiz.de/10005328958
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Banking Crises: Prediction, Policy Implementation and Responses
Irawati, Lina; Khalid, Ahmed M. - Econometric Society - 2004
The events of the 1990s, which led to the collapse of the banking sector in many countries around the world, have renewed the need to devise some preventive policies. However, the success of these preventive measures is contingent on the predictability of the crisis both in nature and extent....
Persistent link: https://www.econbiz.de/10005063648
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Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S
Cordoba, Juan-Carlos - Econometric Society - 2004
The large wealth and consumption inequality in the U.S. is usually attributed to two market frictions: debt constraints and incomplete markets. Recent literature has argued that debt constraints are the critical friction while market incompleteness plays only a secondary role. We evaluate the...
Persistent link: https://www.econbiz.de/10005699585
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Financial Intermediation, Moral Hazard, And Pareto Inferior Trade
Hansen, B.O.; Keiding, H. - Econometric Society - 2004
A simple two-country model of international trade under uncertainty is considered, where investors choose uncertain projects depending on interest rates, with high rates leading to risky projects. If investment is financed by bond markets, there can be asymmetric equilibria which can be Pareto...
Persistent link: https://www.econbiz.de/10005699607
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Evaluating the Magnitude of Financial Market Frictions: Evidence from Firm-Level Data
Levin, Andrew; Natalucci, Fabio - Econometric Society - 2004
. We then use the observed data on financial leverage, spreads, and market-based measures of default risk to solve for key … match the default probabilities implied by the model with market-based measures of default risk. Moreover, we quantify the …
Persistent link: https://www.econbiz.de/10005702619