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Intergenerational Risk-Sharing Through Funded Pensions and Public Debt

Chen, Damiaan - 2014

We explore the benefits of intergenerational risk-sharing through both private funded pensions and via the public debt …

Persistent link: https://www.econbiz.de/10013058155

Leveraged Bubbles

Jorda, Oscar - 2015

What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while others blow over. We demonstrate that what makes...

Persistent link: https://www.econbiz.de/10013014986

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

Persistent link: https://www.econbiz.de/10013094817

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-in-mean Analysis

Babalos, Vassilios - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10012987395

Bank Bailouts, International Linkages and Cooperation

Niepmann, Friederike - 2011

Financial institutions are increasingly linked internationally. As a result, financial crisis and government intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While a social planner trades off tax distortions, liquidation...

Persistent link: https://www.econbiz.de/10013128043

Iceland : How Could this Happen?

Gylfason, Thorvaldur - 2014

This paper reviews economic developments in Iceland following its financial collapse in 2008, focusing on causes and consequences of the crash. The review is presented in the context of the Nordic region, with broad comparisons also with developments elsewhere on the periphery of Europe, in...

Persistent link: https://www.econbiz.de/10013058506

Social Capital and Crises with an Application to Iceland

Gylfason, Thorvaldur - 2015

Economic growth is propelled in part by the accumulation of different kinds of capital, including social capital in its several guises. This paper considers the interplay between financial crises and various aspects of social capital which, if it is allowed to depreciate, can undermine economic...

Persistent link: https://www.econbiz.de/10013019409

The Effects of Systemic Banking Crises in the Inter-War Period

Rocha, Bruno - 2015

This paper examines the time-profile of the impact of systemic banking crises on GDP and industrial production using a panel of 24 countries over the inter-war period and compares this to the post-war experience of these countries. We show that banking crises have effects that induce medium-term...

Persistent link: https://www.econbiz.de/10013024666

Political Booms, Financial Crises

Herrera, Helios - 2014

We show that political booms, measured by the rise in governments' popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...

Persistent link: https://www.econbiz.de/10013047326

Uncertainty Across Volatility Regimes

Angelini, Giovanni - 2018

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10012927574

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