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Macroeconomic Implications of Financial Imperfections : A Survey

Claessens, Stijn - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012942918

Asset Prices and Macroeconomic Outcomes : A Survey

Claessens, Stijn - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012942935

Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion

Komarek, Lubos - 2016

We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as Germany, France and central European...

Persistent link: https://www.econbiz.de/10012986255

The Term Structure of Announcement Effects

Fleming, Michael J. - 2014

We analyse high-frequency responses of the US yield curve to macroeconomic announcements, exploiting the high signal-to-noise ratios of these events. Surprises in the announcements evoke relatively weak reactions from the short maturities and the strong ones from the intermediate maturities....

Persistent link: https://www.econbiz.de/10012710593

Macro Factors in the Term Structure of Credit Spreads

Amato, Jeffery D. - 2013

We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and Brated corporate bonds in a doubly-stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables - indicators of real activity, inflation and...

Persistent link: https://www.econbiz.de/10012712009

Why So Low for So Long? A Long-Term View of Real Interest Rates

Borio, Claudio E. V. - 2017

real interest rates are driven by variations in desired saving and investment. But based on data stretching back to 1870 … for 19 countries, our systematic analysis casts doubt on this view. The link between real interest rates and saving-investment … countries that dominate global monetary and financial conditions rather than common movements in global saving and investment …

Persistent link: https://www.econbiz.de/10012941033

The Internationalization of Domestic Banks and the Credit Channel : An Empirical Assessment

Morales, Paola - 2019

This paper analyses the extent to which the strength of the credit channel is affected by the expansion of domestic banks abroad, widely considered the most important structural change of Colombia banking system in recent years. Using loan-level quarterly data for the period between 2007 and...

Persistent link: https://www.econbiz.de/10012864777

Is China or India More Financially Open?

Ma, Guonan - 2014

Measures of de facto capital account openness for China and India raise the question whether the Chinn-Ito measure of de jure capital account openness is useful and whether the Lane-Milesi-Ferretti measure of de facto openness ranks the two countries correctly. We examine eight dimensions of de...

Persistent link: https://www.econbiz.de/10013063964

Towards an operational framework for financial stability: "fuzzy" measurement and its consequences

Borio, Claudio E. V.; Drehmann, Mathias - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

Over the last decade or so, addressing financial instability has become a policy priority. Despite the efforts made, policymakers are still a long way from developing a satisfactory operational framework. A major challenge complicating this task is the "fuzziness" with which financial...

Persistent link: https://www.econbiz.de/10009138482

Credit frictions and optimal monetary policy

Cúrdia, Vasco; Woodford, Michael - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

We extend the basic (representative-household) New Keynesian [NK] model ofthe monetary transmission mechanism to allow for a spread between the interestrate available to savers and borrowers, that can vary for either exogenous orendogenous reasons. We nd that the mere existence of a positive...

Persistent link: https://www.econbiz.de/10009138501

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