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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

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

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

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

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

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

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

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

Chain Reactions, Trade Credit and the Business Cycle

Cardoso-Lecourtois, Miguel - Econometric Society - 2004

Firms in poor countries often tend to rely on alternative sources of financing different than banks. We show that borrowing constraints lead to financial arrangements between firms that can amplify the effect of liquidity or productivity shocks in the economy. In particular, we focus on the...

Persistent link: https://www.econbiz.de/10005702640

Banks, Liquidity Crises and Economic Growth

Gaytan, Alejandro; Ranciere, Romain - Econometric Society - 2004

in a liquid storage technology or in a partially illiquid Cobb Douglas technology. By pooling liquidity risk, banks play …

Persistent link: https://www.econbiz.de/10005702659