Similar Search Results

Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios

R. Mahadeo, Scott M. - 2020

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012843432

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

Voluntary Equity, Project Risk, and Capital Requirements

Haufler, Andreas; Lülfesmann, Christoph - 2022

choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against … the risk of default outweighs the cost advantages of debt financing. In the optimum, banks with lower monitoring costs are … to make higher-risk portfolios more attractive. Accounting for banks’ interior capital choices can thus explain why …

Persistent link: https://www.econbiz.de/10013308111

Fiscal-Financial Vulnerabilities

Schuknecht, Ludger - 2019

serious in magnitude and can put the sustainability of public finances at risk. However, there is only limited in …

Persistent link: https://www.econbiz.de/10012864940

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

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

Regulation, Financial Crises, and Liberalization Traps

Marchionne, Francesco - 2019

To reconcile the mixed empirical results, we develop a theoretical model whose main implication is a concave impact of regulation on the probability of a crisis. We test this relationship by applying a Probit model of a non-linear specification to annual data from 1999 to 2011 drawn from 132...

Persistent link: https://www.econbiz.de/10012866557

Financial Policymaking after Crises : Public vs. Private Interests

Saka, Orkun; Ji, Yuemei; De Grauwe, Paul - 2021

We first present a simple model of post-crisis policymaking driven by both public and private interests. Using a novel dataset covering 94 countries between 1973 and 2015, we then establish that financial crises can lead to government interventions in financial markets. Consistent with a public...

Persistent link: https://www.econbiz.de/10013224071

Financial Frictions and the Wealth Distribution

Fernández-Villaverde, Jesús - 2020

endogenous aggregate risk. This risk induces an endogenous regime-switching process for output, the risk-free rate, excess …

Persistent link: https://www.econbiz.de/10012825400

Financial Cycles, Credit Bubbles and Stabilization Policies

Corrado, Luisa - 2019

This paper analyzes the effects of several policy instruments to mitigate financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan portfolios and allow for interbank trading. We...

Persistent link: https://www.econbiz.de/10012892165

1
2
3
4
5
6
7
8
9
10
Next
Last