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Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?

Miller, Marcus; Stiglitz, Joseph E - C.E.P.R. Discussion Papers - 2009

An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to ‘overshoot’ equilibrium when an asset bubble bursts - threatening widespread insolvency and what Richard Koo calls a ‘balance sheet recession’....

Persistent link: https://www.econbiz.de/10008528524

A Quantitative Exploration of the Opportunistic Approach to Disinflation

Aksoy, Yunus; Orphanides, Athanasios; Small, David; … - C.E.P.R. Discussion Papers - 2003

long-run objective, the central bank should not move immediately to fight inflation, but rather wait for exogenous … waiting for such circumstances the central bank should counteract any incipient increases in inflation. This approach has come …

Persistent link: https://www.econbiz.de/10005123544

Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates

Svensson, Lars E O - C.E.P.R. Discussion Papers - 1992

exchange rates between realignments because exchange rate bands, contrary to the textbook result, give central banks some …

Persistent link: https://www.econbiz.de/10005123566

Courts and Banks: Effects of Judicial Enforcement on Credit Markets

Bianco, Magda; Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 2002

The cost of enforcing contracts is a key determinant of market performance. We document this point with reference to the credit market in a model of opportunistic debtors and inefficient courts. According to the model, improvements in judicial efficiency should reduce credit rationing and...

Persistent link: https://www.econbiz.de/10005123567

Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?

Hodrick, Robert J; Vassalou, Maria - C.E.P.R. Discussion Papers - 2001

This Paper examines characterizations of the dynamics for first and second moments of the one-month interest rate, the 12-month excess bond return and exchange rates. The countries considered are the US, Germany, Japan and the UK. Our tests are based on the implications of multi-country versions...

Persistent link: https://www.econbiz.de/10005123846

Banks' Loan Portfolio and the Monetary Transmission Mechanism

Den Haan, Wouter; Sumner, Steven; Yamashiro, Guy - C.E.P.R. Discussion Papers - 2004

This Paper compares the responses of bank loan components to a monetary tightening with the responses to negative output shocks. Real estate and consumer loans sharply decrease during a monetary tightening but not after a negative output shock. In contrast, C&I loans (and commercial paper)...

Persistent link: https://www.econbiz.de/10005136784

Government Risk Premiums in the Bond Market: EMU and Canada

Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - C.E.P.R. Discussion Papers - 2007

This paper focuses on risk premiums paid by central governments in Europe and sub-national governments in Germany … that risk premiums incurred by central governments of EU member states respond positively to central government debts and … Spanish sub-central governments paid fixed interest rate premiums over their national governments which became smaller after …

Persistent link: https://www.econbiz.de/10005067641

Testing Uncovered Interest Parity: A Continuous-Time Approach

Diez de los Rios, Antonio; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate...

Persistent link: https://www.econbiz.de/10005067657

Monetary Policy and the Fisher Effect

Söderlind, Paul - C.E.P.R. Discussion Papers - 1997

how central bank preferences (and thereby monetary policy) affect the relation between nominal interest rates, inflation …

Persistent link: https://www.econbiz.de/10005497757

The Econometric Analysis of Risk Terms

Pagan, Adrian; Ullah, Aman - C.E.P.R. Discussion Papers - 1986

This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the...

Persistent link: https://www.econbiz.de/10005498189