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Complex Financial Networks and Systemic Risk : A Review
Bougheas, Spiros - 2014
In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We … start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the …. Applications of these techniques for the analysis and pricing of systemic risk has already provided significant benefits at least …
Persistent link: https://www.econbiz.de/10013054029
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Analysis of Monetary Policy and Financial Stability : A New Paradigm
Goodhart, Charles - 2013
This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for a comprehensive assessment of regulatory and monetary policy, as well as welfare analysis in the different sectors of the economy. Due to liquidity and endogenous default, the...
Persistent link: https://www.econbiz.de/10013095226
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Illiquidity and Under-Valuation of Firms
Gale, Douglas M. - 2012
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...
Persistent link: https://www.econbiz.de/10013116475
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Credit Risk in General Equilibrium
Eichberger, Jürgen - 2014
allocations and discuss implications for credit risk modeling …
Persistent link: https://www.econbiz.de/10013059019
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
Persistent link: https://www.econbiz.de/10013024363
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Finance, Talent Allocation, and Growth
D'Acunto, Francesco - 2018
The growing finance wage premium is related to a modest net reallocation of skilled workers from non-finance sectors into finance in a broad sample of 24 countries over 35 years. The reallocation is higher when the finance wage premium grows faster than the contribution of the financial sector...
Persistent link: https://www.econbiz.de/10012922660
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus - 2013
the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios … risk. When economic activity is reaching its peak, expected profitability is relatively high and spreads are low; during a …
Persistent link: https://www.econbiz.de/10013089685
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Financial Frictions and Inflation Differentials in a Monetary Union
Hristov, Nikolay - 2010
This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation differentials can be explained by cross-country differences concerning the characteristics of financial markets. Our results suggest that empirically plausible degrees of...
Persistent link: https://www.econbiz.de/10013136243
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Student Loans : When is Risk Sharing Desirable?
Eckwert, Bernhard - 2016
In higher education, pure credit market funding leads to underinvestment due to insufficient risk pooling, while pure …
Persistent link: https://www.econbiz.de/10012997605
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Risk Sharing in Defined-Contribution Funded Pension Systems
Beetsma, Roel M. W. J. - 2011
This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …
Persistent link: https://www.econbiz.de/10013118167