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To share or not to share? Uncovered losses in a derivatives clearinghouse

Raykov, Radoslav S. - 2016

This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms - variation margin haircutting and cash calls - and study the privately and socially optimal degree of loss sharing. For...

Persistent link: https://www.econbiz.de/10011564684

Dating systemic financial stress episodes in the EU countries

Duprey, Thibaut; Klaus, Benjamin; Peltonen, Tuomas - 2016

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...

Persistent link: https://www.econbiz.de/10011564691

Government corruption and foreign direct investment under the threat of expropriation

Hajzler, Christopher; Rosborough, Jonathan - 2016

Foreign investment is often constrained by two forms of political risk: expropriation and corruption. We examine the role of government corruption in foreign direct investment (FDI) when contracts are not fully transparent and investors face the threat of expropriation. Using a novel dataset on...

Persistent link: https://www.econbiz.de/10011564693

Should monetary policy lean against housing market booms?

Alpanda, Sami; Ueberfeldt, Alexander - 2016

Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt. This crisis regime is characterized by an...

Persistent link: https://www.econbiz.de/10011564699

Housing and tax-deferred retirement accounts

Ho, Anson T. Y.; Zhou, Jie - 2016

Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households' use of TDA and their housing decisions. The model generates life-cycle patterns of home...

Persistent link: https://www.econbiz.de/10011564704

Interpreting volatility shocks as preference shocks

Xu, Shaofeng - 2016

This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise...

Persistent link: https://www.econbiz.de/10011564725

The rise of non-regulated financial intermediaries in the housing sector and its macroeconomic implications

Desgagnés, Hélène - 2017

I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated...

Persistent link: https://www.econbiz.de/10012014444

Government spending multipliers under the zero lower bound: Evidence from Japan

Miyamoto, Wataru; Nguyen, Thuy Lan; Sergeyev, Dmitriy - 2017

consumption and investment during the ZLB period but crowd them out in the normal period. There is evidence that expected …

Persistent link: https://www.econbiz.de/10012014448

Home equity extraction and the boom-bust cycle in consumption and residential investment

Zhou, Xiaoqing - 2018

The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing …. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption. I … alternative explanation of the consumption boom-bust cycle. This cycle is caused by large fluctuations in the number of borrowers …

Persistent link: https://www.econbiz.de/10012014461

Adverse selection with heterogeneously informed agents

Davoodalhosseini, S. Mohammad R. - 2018

A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with. When the measure of informed buyers is low, there exists a unique and...

Persistent link: https://www.econbiz.de/10012014462

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