Showing 1 - 10 of 34
Abstract: Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks...
Persistent link: https://www.econbiz.de/10011091756
Abstract: We analyze the impact of the countercyclical capital buffers held by banks on the supply of credit to firms … suggest that countercyclical capital buffers help smooth credit supply cycles and in bad times have positive effects on firm … credit availability, assets, employment and survival. Our findings therefore hold important implications for theory and …
Persistent link: https://www.econbiz.de/10011091652
Persistent link: https://www.econbiz.de/10011092640
faster credit growth. We also find that the entry of new lenders contributed to the decline in lending standards. The results … on asymmetric information, and shed light on the relationship between credit booms and financial instability. …
Persistent link: https://www.econbiz.de/10011092670
We study the bond yield conundrum in a macro-finance framework. Building upon a exible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role of...
Persistent link: https://www.econbiz.de/10011090282
This paper constructs a macro-finance model with two types of borrowers: entrepreneurs who engage in productive activities and gamblers who play in lotteries. It links a central bank's interest rate policy to expected cash ows of both types of borrowers. Via this link we study how the...
Persistent link: https://www.econbiz.de/10011090362
Abstract: Central banks in fluence financial markets' expectations of its future policy. By providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks affect financial markets' forecasts. In bad times monetary policy...
Persistent link: https://www.econbiz.de/10011090377
credit markets.Two regimes of the credit markets aiming at overcoming the moral hazard problems are analyzed.The formal one …
Persistent link: https://www.econbiz.de/10011090401
Risk premia in the consumption capital asset pricing model depend on preferences and dividend. We develop a decomposition which allows a separate treatment of both components. We show that preferences alone determine the risk-return tradeoff measured by the Sharpe-ratio. In general, the...
Persistent link: https://www.econbiz.de/10011090587
Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity...
Persistent link: https://www.econbiz.de/10011090768