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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations

Wagner, Wolf; Peersman, G. - Tilburg University, Center for Economic Research - 2014

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

Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply : Evidence from the Spanish Dynamic Provisioning Experiments

Jiménez, G.; Ongena, S.; Peydro, J.L.; Saurina, J. - Tilburg University, Center for Economic Research - 2012

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

Should we be Afraid of Friedman's Rule?

Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 2000

Persistent link: https://www.econbiz.de/10011092640

Credit Booms and Lending Standards : Evidence from the Subprime Mortgage Market

Dell’Ariccia, G.; Igan, D.; Laeven, L. - Tilburg University, Center for Economic Research - 2009

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

The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy

Eijffinger, Sylvester; Mahieu, Ronald; Raes, Louis - Tilburg University, Center for Economic Research - 2010

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

Monetary Policy Rules, Adverse Selection and Long-Run Financial Risk

Eijffinger, Sylvester; Blommestein, H.J.; Qian, Z. - Tilburg University, Center for Economic Research - 2011

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

Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)

Eijffinger, Sylvester; Mahieu, Ronald; Raes, Louis - Tilburg University, Center for Economic Research - 2012

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

Inequality, Credit Market Imperfection, Segmentation and Economic Growth

Zhu, D. - Tilburg University, Center for Economic Research - 2001

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

Preferences, Consumption Smoothing and Risk Premia

Lettau, M.; Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1997

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

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

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