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Global financial crises : lessons from recent events
Bisignano, Joseph (ed.); Hunter, William Curt (contributor);  … - 2000
Persistent link: https://www.econbiz.de/10001466230
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Using stock returns to identify government spending shocks
Fisher, Jonas D. M.; Peters, Ryan - Federal Reserve Bank of Chicago - 2009
This paper explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors....
Persistent link: https://www.econbiz.de/10005078417
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Bank capital and stock returns during the financial crisis
Demirguc-Kunt, Asli; Detragiache, Enrica - Federal Reserve Bank of Chicago - 2011
Persistent link: https://www.econbiz.de/10010723812
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Consequences of going private buyouts for public debt and preferred stock: 1974-1985
Marais, Laurentius; Schipper, Katherine; Smith, Abbie - Federal Reserve Bank of Chicago - 1989
Persistent link: https://www.econbiz.de/10010724116
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Asset market linkages in crisis periods
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - Federal Reserve Bank of Chicago - 2001
Persistent link: https://www.econbiz.de/10010724588
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Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies
Elijah Brewer, III; William E. Jackson, III - Federal Reserve Bank of Chicago - 2002
Contagion usually refers to the spillover of the effects of shocks from one or more firms to other firms. Most studies of contagion limit their analysis to how shock affect firms in the same industry, or "intra-industry" contagion. The purpose of this paper is to explore and document the likely...
Persistent link: https://www.econbiz.de/10005419883
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The pitfalls in inferring risk from financial market data
Bliss, Robert R. - Federal Reserve Bank of Chicago - 2000
This paper examines two qualitative rules of thumb, frequently invoked in discussions of bank regulatory policy. The first, that equity holders prefer more risk to less, derives from a result in option pricing theory, that an option's value increases monotonically with the riskiness of the...
Persistent link: https://www.econbiz.de/10005419915
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Testing the stability of implied probability density functions
Bliss, Robert R.; Panigirtzoglou, Nikolaos - Federal Reserve Bank of Chicago - 1999
Implied probability density functions (PDFs) estimated from cross-sections of observed options prices are gaining increasing attention amongst academics and practitioners. However, to date little attention has been paid to the robustness of these estimates or to the confidence users can place in...
Persistent link: https://www.econbiz.de/10005419930
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When is inter-transaction time informative?
Furfine, Craig - Federal Reserve Bank of Chicago - 2003
We investigate the information content of inter-transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude … of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general …
Persistent link: https://www.econbiz.de/10005419964