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What Went Wrong? : The Puerto Rican Debt Crisis, the 'Treasury Put,' and the Failure of Market Discipline
Chirinko, Robert S. - 2019
risk premium, even though the macroeconomic fundamentals were dismal? Why did financial markets fail to exercise market … discipline and restrict capital flows to Puerto Rico? Given gloomy macroeconomic fundamentals and relatively low risk premia … cases, with the exact same maturity. The associated bond price data allow for an accurate computation of the risk premia on …
Persistent link: https://www.econbiz.de/10012890192
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Systemic Risk and the Great Depression
Das, Sanjiv Ranjan - 2019
We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest … U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank … that we can measure how predisposed the entire network was to risk, where risk was concentrated, and how the failure of …
Persistent link: https://www.econbiz.de/10012892160
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Uncertainty Shocks and Financial Crisis Indicators
Hristov, Nikolay - 2019
The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...
Persistent link: https://www.econbiz.de/10012861435
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What if Firms Could Borrow More? Evidence from a Natural Experiment
Brown, James R.; Martinsson, Gustav; Thomann, Christian - 2015
We study the effects of a unique lending program initiated by the Swedish government at the height of the financial crisis that allowed firms to suspend payment of all labor-related taxes and fees. Comprehensive administrative data on all Swedish firms show that firms borrowing from the program...
Persistent link: https://www.econbiz.de/10011307119
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Endogenous Repo Cycles
Arbuzov, Vyacheslav - 2019
This paper presents a simple and tractable equilibrium model of repos, where collateralized credit emerges under limited commitment. We show that even if there is no time variation in fundamentals, repo markets can fluctuate endogenously over time. In our theory, repo market fragilities are...
Persistent link: https://www.econbiz.de/10012892066
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What went wrong?: The Puerto Rican debt crisis, the "Treasury Put," and the failure of market discipline
Chirinko, Robert S.; Chiu, Ryan; Henderson, Shaina - 2019
risk premium, even though the macroeconomic fundamentals were dismal? Why did financial markets fail to exercise market … discipline and restrict capital flows to Puerto Rico? Given gloomy macroeconomic fundamentals and relatively low risk premia … cases, with the exact same maturity. The associated bond price data allow for an accurate computation of the risk premia on …
Persistent link: https://www.econbiz.de/10012018249
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Hedging Climate Change News
Engle, Robert F. - 2019
We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …
Persistent link: https://www.econbiz.de/10012866389
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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012844423
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Freeze! Financial Sanctions and Bank Responses
Efing, Matthias - 2019
We study the effects of financial sanctions on cross-border credit supply. Using a differences-in-differences approach to analyze eleven sanctions episodes between 2002 and 2015, we find that banks located in Germany reduce their positions in countries with sanctioned entities by 38%. The...
Persistent link: https://www.econbiz.de/10012892162
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Contagion of Fear
Mitchener, Kris James - 2020
The Great Depression is infamous for banking panics, which were a symptomatic of a phenomenon that scholars have labeled a contagion of fear. Using geocoded, microdata on bank distress, we develop metrics that illuminate the incidence of these events and how banks that remained in operation...
Persistent link: https://www.econbiz.de/10012838241