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Money is the root of asset bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is …
Persistent link: https://www.econbiz.de/10014467370
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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
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Contagion of fear
Mitchener, Kris; Richardson, Gary - 2020
The Great Depression is infamous for banking panics, which were a symptomatic of a phenomenon that scholars have labeled a contagion of fear. Using geocoded, microdata on bank distress, we develop metrics that illuminate the incidence of these events and how banks that remained in operation...
Persistent link: https://www.econbiz.de/10012194368
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Do bubbles lead to overinvestment? : a revealed preference approach
Chirinko, Robert S.; Schaller, Huntley - 2011
between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect … economic activity by misallocating capital. -- bubbles ; investment ; stock markets ; real effects of financial markets …
Persistent link: https://www.econbiz.de/10009153871
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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
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012226706
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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
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The impact of creditor protection on stock prices in the presence of liquidity crises : theory and cross-country evidence
Hale, Galina; Razin, Asaf; Tong, Hui - 2012
We develop a model predicting two channels through which creditor protection enhances the performance of stock prices: (1) The probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of creditors; (1) The stock prices under the...
Persistent link: https://www.econbiz.de/10009514779
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The impact of creditor protection on stock prices in the presence of credit crunches
Hale, Galina; Razin, Asaf; Tong, Hui - 2011
Data show that better creditor protection is correlated across countries with lower average stock market volatility. Moreover, countries with better creditor protection seem to have suffered lower decline in their stock market indexes during the current financial crisis. To explain this...
Persistent link: https://www.econbiz.de/10009124145