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Uncertainty and the cost of bank vs. bond finance
Grimme, Christian - 2019
How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending rates. This finding can be explained with a model that...
Persistent link: https://www.econbiz.de/10011958806
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Tenure choice, portfolio structure and long-term care : optimal risk management in retirement
Fehr, Hans; Hofmann, Maurice - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012050806
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
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Financing conditions, the concept of innovation capacity and the innovative activity of firms
Paula, Georg - 2010
In this paper a novel survey dataset allows us to use a direct measure for credit constraints as well as a direct … measure for the innovative activity of a firm to identify the effects of credit constraints on the innovation behaviour of …, and moreover to analyse potential asymmetries in the effects of above average and below average credit conditions. As …
Persistent link: https://www.econbiz.de/10008806528
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The dollar and corporate borrowing costs
Meisenzahl, Ralf R.; Niepmann, Friederike; … - 2020
We show that U.S. dollar movements affect syndicated loan terms for U.S. borrowers, even for those without trade exposure. We identify the effect of dollar movements using spread and loan amount adjustments during the syndication process. Using this high-frequency, within loan variation, we find...
Persistent link: https://www.econbiz.de/10012231575
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Credit supply shocks and firm dynamics : evidence from Brazil
Bazzi, Samuel; Muendler, Marc-Andreas; Oliveira, Raquel F. - 2023
growth of promising young firms. A model of liquidity-constrained entrepreneurs suggests that the easing of credit … would bring about. We explore this growth mechanism using a large-scale program to expand the supply of credit to small and … medium enterprises in Brazil. Local credit supply shocks generate greater firm entry but also greater exit with no effect on …
Persistent link: https://www.econbiz.de/10014391287
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On the tree-cutting problem under interest rate and forest value uncertainty
Alvarez, Luis H. R.; Koskela, Erkki - 2003
Persistent link: https://www.econbiz.de/10011505937
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Does risk aversion accelerate optimal forest rotation under uncertainty?
Alvarez, Luis H. R.; Koskela, Erkki - 2004
We use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following...
Persistent link: https://www.econbiz.de/10011450936
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Irreversible investment under interest rate variability : new results
Alvarez, Luis H. R.; Koskela, Erkki - 2002
The current extensive literature on irreversible investment decisions makes the assumption of constant interest rate. In this paper we study the impact of interest rate and revenue variability on the decision to carry out an irreversible investment project. Given the generality of the considered...
Persistent link: https://www.econbiz.de/10011408807
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Paralyzed by shock and confused by glut : the portfolio formation behavior of peer-to-business lending investors
Dorfleitner, Gregor; Hornuf, Lars; Weber, Martina - 2018
We study the investor behavior on a leading peer-to-business lending platform and find evidence of two new investment biases - a default shock bias and a deep market bias. First, we find investors to stop investing in new loans and to cease from diversifying their portfolio after experiencing a...
Persistent link: https://www.econbiz.de/10011863582