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Money, credit and banking
Berentsen, Aleksander; Camera, Gabriele; Waller, … - 2005
In monetary models in which agents are subject to trading shocks there is typically an ex-post inefficiency in that some agents are holding idle balances while others are cash constrained. This inefficiency creates a role for financial intermediaries, such as banks, who accept nominal deposits...
Persistent link: https://www.econbiz.de/10010277060
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The effects of monetary policy : a meta-analysis
De Grauwe, Paul; Costa Storti, Cláudia - 2004
In this paper we perform a meta-analysis of the effects of monetary policies on output and prices. We use a sample of published papers on the effects of monetary policies in different countries. There is a large variation in the estimated effects of monetary policies on output and prices. We...
Persistent link: https://www.econbiz.de/10010261220
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Optimal stabilization policy with flexible prices
Berentsen, Aleksander; Waller, Christopher Jude - 2005
We construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. Our main result is that if the central bank pursues a long-run price path, thereby controlling inflation expectations, it can...
Persistent link: https://www.econbiz.de/10010261399
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Optimal taxation and constrained inefficiency in an infinite-horizon economy with incomplete markets
Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - 2011
We study the dynamic Ramsey problem of finding optimal public debt and linear taxes on capital and labor income within a tractable infinite horizon model with incomplete markets. With zero public expenditure and debt, it is optimal to tax the risky labor income and subsidize capital, while a...
Persistent link: https://www.econbiz.de/10010277403
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An Equilibrium Theory of Nominal Exchange Rates
Hagedorn, Marcus - 2021
This paper proposes an equilibrium theory of nominal exchange rates, which offers a new perspective on various issues in open economy macroeconomics. The nominal exchange rate and portfolio choices are jointly determined in equilibrium, thus providing a new approach to overcoming the...
Persistent link: https://www.econbiz.de/10012657996
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Macroeconomic sources of risk in the term structure
Balfoussia, Chiona; Wickens, Mike - 2004
In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...
Persistent link: https://www.econbiz.de/10010261080
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The price of liquidity: bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...
Persistent link: https://www.econbiz.de/10010264580
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Illiquidity and under-valuation of firms
Gale, Douglas; Gottardi, Piero - 2009
We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states … of nature and default may lead to the sale of the firms’ assets at fire sale prices when markets are illiquid. This … incompleteness is the only friction in the model and the only cost of default. The anticipation of such losses alone may distort …
Persistent link: https://www.econbiz.de/10010273807
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Basel accord and financial intermediation: The impact of policy
Berka, Martin; Zimmermann, Christian - 2012
tightening of regulation in bad times. This is performed with an heterogeneous agent economy with occupational choice, financial …
Persistent link: https://www.econbiz.de/10010280842
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The Long-Term Effects of Capital Requirements
De Nicolo, Gianni; Klimenko, Nataliya; Pfeil, Sebastian; … - 2021
) restores the banking sector’s lending capacity after the short-term credit crunch induced by tighter regulation. We confirm our …-run after the implementation of Basel III capital regulation …
Persistent link: https://www.econbiz.de/10013224085