Narrow search
Showing 1 - 10 of 3,687
Cover Image
Market depth, leverage, and speculative bubbles
Enders, Zeno; Hakenes, Hendrik - 2017
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10011780495
Cover Image
Was Bernanke right? : targeting asset prices may not be a good Idea after all
Assenza, Tiziana; Berardi, Michele; Delli Gatti, Domenico - 2011
Should the central bank prevent "excessive" asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...
Persistent link: https://www.econbiz.de/10009377794
Cover Image
Financial fragility, bubbles and monetary policy
Illing, Gerhard - 2001
The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank's concern about the cost of financial disruption generates an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly...
Persistent link: https://www.econbiz.de/10011398119
Cover Image
Bubbles and crashes in a behavioural finance model
De Grauwe, Paul; Grimaldi, Marianna - 2004
which bubbles and crashes occur at unpredictable moments. We contrast these behavioural bubbles with rational bubbles. …
Persistent link: https://www.econbiz.de/10011401333
Cover Image
Bubbling and crashing exchange rates
Blix Grimaldi, Marianna; De Grauwe, Paul - 2003
which bubbles and crashes occur at unpredictable moments. We also analyse the empirical relevance of the model. …
Persistent link: https://www.econbiz.de/10011509496
Cover Image
Deposit insurance, regulatory forbearance and economic growth : implications for the Japanese banking crisis
Dekle, Robert; Kletzer, Kenneth - 2004
An endogenous growth model with financial intermediation is used to show how public deposit insurance and weak prudential regulation can lead to banking crises and permanent declines in economic growth. The impact of regulatory forbearance on investment, saving and asset price dynamics under...
Persistent link: https://www.econbiz.de/10011402648
Cover Image
Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework
De Grauwe, Paul (contributor); Dieci, Roberto (contributor);  … - 2005
which bubbles and crashes occur at unpredictable moments. We contrast these ʺbehaviouralʺ bubbles with ʺrationalʺ bubbles. …
Persistent link: https://www.econbiz.de/10002749785
Cover Image
Financial cycles, credit bubbles and stabilization policies
Corrado, Luisa; Schuler, Tobias - 2018
This paper analyzes the effects of several policy instruments to mitigate financial bubbles generated in the banking … policy instruments in counteracting financial bubbles. We find that an endogenous capital requirement reduces the impact of a …
Persistent link: https://www.econbiz.de/10011952012
Cover Image
Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...
Persistent link: https://www.econbiz.de/10003807908
Cover Image
The role of the log transformation in forecasting economic variables
Lütkepohl, Helmut; Fang, Xu - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10003820020