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FTPL and the Maturity Structure of Government Debt in the New Keynesian Model
Liemen, Max Ole; Posch, Olaf - 2022
In this paper, we revisit the fiscal theory of the price level (FTPL) within the New Keynesian (NK) model. We show in … which cases the average maturity of government debt matters for the transmission of policy shocks. The central task of this … paper is to shed light on the theoretical predictions of the maturity structure on macro dynamics with an emphasis on model …
Persistent link: https://www.econbiz.de/10014080233
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The Impact of Fintech Startups on Financial Institutions' Performance and Default Risk
Haddad, Christian; Hornuf, Lars - 2021
We examine the impact of fintech start-ups on the performance and default risk of traditional financial institutions. We find a positive relationship between fintech start-up formations and incumbent institutions’ performance for the period 2005–2018 and a large sample of financial...
Persistent link: https://www.econbiz.de/10013229697
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Business Tax Policy Under Default Risk
Comincioli, Nicola - 2019
In this article we use a stochastic model with one representative firm to study business tax policy under default risk. We will show that, for a given tax rate, the government has an incentive to reduce (increase) financial instability and default costs if its objective function is welfare (tax...
Persistent link: https://www.econbiz.de/10012866382
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A Welfare Analysis on Start-Up Decisions Under Default Risk
Comincioli, Nicola; Panteghini, Paolo M.; Vergalli, Sergio - 2021
This short article studies the tax effects on a start-up investment decision under uncertainty. Since the representative firm can decide both when to invest and how much to borrow, the distortive effects are twofold. We thus show that the deadweight loss (namely, the ratio between the welfare...
Persistent link: https://www.econbiz.de/10013310768
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The Trading Response of Individual Investors to Local Bankruptcies
Laudenbach, Christine - 2020
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are spatially highly concentrated, immediate and not persistent. They seem to...
Persistent link: https://www.econbiz.de/10012837679
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Consumer Debt and Default : A Macro Perspective
Exler, Florian - 2020
In this survey, we review the quantitative macroeconomic literature analyzing consumer debt and default. We start by providing an overview of consumer bankruptcy law in the US and document the relevant institutional changes over time. We proceed with a comprehensive empirical section, describing...
Persistent link: https://www.econbiz.de/10012841141
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Furlough and Household Financial Distress During the Covid-19 Pandemic
Görtz, Christoph; McGowan, Danny; Yeromonahos, Mallory - 2021
We study how furlough affects household financial distress during the COVID-19 pandemic. Furlough increases the probability of late housing and bill payments by 30% and 9%, respectively. The effects exist for individuals who rent their home, but not mortgagees who can mitigate financial distress...
Persistent link: https://www.econbiz.de/10013212266
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10010270543
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The Loan Puzzle. A Study of Loans to Different Groups in the USA
Cafiso, Gianluca - 2020
We study loans from banking and non-banking lenders to different groups of borrowers in order to unveil significant differences on how those respond to a shock and evaluate possible alternative explanations for such differences. The objective is to gain insights useful to explain the loan...
Persistent link: https://www.econbiz.de/10012838236
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The Contribution of Loans to Economic Activity
Cafiso, Gianluca - 2020
We study the contribution of loans, granted to different borrower groups, to economic activity in the USA over the period 1971q1-2018q4. Significant economic recessions occurred along the period considered, we center our discussion around the recent Global Financial Crisis. Results are delivered...
Persistent link: https://www.econbiz.de/10012823053