Similar Search Results

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

. Our model is well-suited to study the contagion-like eects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10010884503

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10011171758

Human capital and international portfolio choice

Julliard, Christian - London School of Economics (LSE) - 2004

income risk, in the form of both uninsurable shocks and a common aggregate component, small differences in the correlation …

Persistent link: https://www.econbiz.de/10010928808

Currency Portfolios and Nominal Exchange Rates in a Dual Currency Search Economy.

Craig, B.; Waller, C.J. - London School of Economics (LSE) - 1999

We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

Persistent link: https://www.econbiz.de/10005776281

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Persistent link: https://www.econbiz.de/10011170088

Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

Shiryaev, Albert N.; Zhitlukhin, Mikhail N.; Ziemba, Bill; … - London School of Economics (LSE) - 2014

We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market. The crash in the Nikkei which started on the...

Persistent link: https://www.econbiz.de/10011126712

Financial contagion through capital connections: a model of the origin and spread of bank panics

Dasgupta, Amil - London School of Economics (LSE) - 2002

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and … failure of a financial institution. We show that contagion is possible in the unique equilibrium of the economy and … of contagion risk. Our results suggest that when the probability of bank failure is low, maximal levels of interbank …

Persistent link: https://www.econbiz.de/10010884582

Equilibrium analysis, banking, contagion and financial fragility

Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003

for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

Persistent link: https://www.econbiz.de/10010884714

Systemic sovereign risk: macroeconomic implications in the euro area

Bahaj, Saleem A. - London School of Economics (LSE) - 2014

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...

Persistent link: https://www.econbiz.de/10011126365

The international diversification puzzle is not worse than you think

Julliard, Christian - London School of Economics (LSE) - 2002

This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how,...

Persistent link: https://www.econbiz.de/10010746135