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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

Fire Sales and Ex Ante Valuation of Systemic Risk : A Financial Equilibrium Networks Approach

Bougheas, Spiros P.; Spencer, Adam - 2022

We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex ante risk assessment and derive risk premia for every...

Persistent link: https://www.econbiz.de/10014241311

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

Financial Integration in the GCC Region : Market Size Versus National Effects

Arin, K. Peren - 2019

This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...

Persistent link: https://www.econbiz.de/10012867875

Financial Frictions and the Wealth Distribution

Fernández-Villaverde, Jesús - 2020

We postulate a nonlinear DSGE model with a financial sector and heterogeneous households. In our model, the interaction between the supply of bonds by the financial sector and the precautionary demand for bonds by households produces significant endogenous aggregate risk. This risk induces an...

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

An Oligopoly-Fringe Model with HARA Preferences

Meijden, Gerard van der; Withagen, Cees; Benchekroun, Hassan - 2022

Inspired by empirical evidence from the oil market, we build a model of an oligopoly facing a fringe as well as competition from renewable resources. We explore different subclasses of HARA utility functions (Cobb-Douglas, power and quadratic utility) to check the robustness of results found in...

Persistent link: https://www.econbiz.de/10013299341

News Shocks Under Financial Frictions

Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2021

We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in various credit spread indicators considered in the...

Persistent link: https://www.econbiz.de/10013314862

Financial Development and Export Concentration

Unger, Florian - 2023

This paper analyzes the impact of financial development on export concentration. I incorporate credit constraints into a trade model with heterogeneous exporters and endogenous quality choice. The model predicts that financial development increases innovation activity and export shares of larger...

Persistent link: https://www.econbiz.de/10014255423

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Overfunding and Signaling Effects of Herding Behavior in Crowdfunding

Kapounek, Svatopluk - 2019

The paper employs a dynamic market-wide herding behavior measure of 117,166 lending-based campaigns in 119 online … show that herding behavior plays an important signaling role in reducing opportunity costs if the auction does not receive … enough monetary bids. Additionally, our threshold models identify significant herding behavior after funding goals are raised …

Persistent link: https://www.econbiz.de/10012857910