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Vertical Relations under Credit Constraints
Nocke, Volker; Thanassoulis, John - C.E.P.R. Discussion Papers - 2010
We model the impact credit constraints and market risk have on the vertical relationships between firms in the supply chain. Firms which might face credit constraints in future investments become endogenously risk averse when accumulating pledgable income. In the short run, the optimal supply...
Persistent link: https://www.econbiz.de/10008468694
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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the...
Persistent link: https://www.econbiz.de/10009385759
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What Central Bankers Need to Know about Forecasting Oil Prices
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2012
Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than … benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that … quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most …
Persistent link: https://www.econbiz.de/10011083683
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Inflation Forecast Uncertainty
Söderlind, Paul - C.E.P.R. Discussion Papers - 2000
We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and asset pricing. We find that inflation uncertainty...
Persistent link: https://www.econbiz.de/10005789160
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Forecasting Economic Aggregates by Disaggregates
Hendry, David F; Hubrich, Kirstin - C.E.P.R. Discussion Papers - 2006
We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in...
Persistent link: https://www.econbiz.de/10005123796
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Is Economic Recovery a Myth? Robust Estimation of Impulse Responses
Teulings, Coen N; Zubanov, Nick - C.E.P.R. Discussion Papers - 2010
There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to...
Persistent link: https://www.econbiz.de/10008530359
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Liquidity shocks, roll-over risk and debt maturity
Segura, Anatoli; Suarez, Javier - C.E.P.R. Discussion Papers - 2011
We develop an infinite horizon model of an economy in which banks finance long term assets by placing non-tradable debt among savers. Banks choose the overall principal, interest rate, and maturity of their debt taking into account two opposite forces: (i) investors' preference for short...
Persistent link: https://www.econbiz.de/10008921772
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Bank Capital and Dividend Externalities
Acharya, Viral V; Le, Hanh; Shin, Hyun Song - C.E.P.R. Discussion Papers - 2014
In spite of mounting losses banks continued to pay dividends during the crisis. We present a model that addresses this behavior. By paying out dividends, a bank transfers value to its shareholders away from creditors, among whom are other banks. This way, one bank's dividend payout policy...
Persistent link: https://www.econbiz.de/10011084101
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Time to ship during financial crises
Berman, Nicolas; de Sousa, José; Martin, Philippe; … - C.E.P.R. Discussion Papers - 2012
We show that the negative impact of financial crises on trade is magnified for destinations with longer time-to-ship. A simple model where exporters react to an increase in the probability of default of importers by increasing their export price and decreasing their export volumes to...
Persistent link: https://www.econbiz.de/10011084207
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Bank Capital and Dividend Externalities
Acharya, Viral V; Le, Hanh; Shin, Hyun Song - C.E.P.R. Discussion Papers - 2013
While losses were accumulating during the 2007-09 financial crisis, many banks continued to maintain a relatively smooth dividend policy. We present a model that explains this behavior in a setting where there are financial externalities across banks. In particular, by paying out dividends, a...
Persistent link: https://www.econbiz.de/10011084390