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Optimal government spending and unemployment
Linnemann, Ludger; Schabert, Andreas - 2008 - This version: February 29, 2008
We study optimal government spending in a business cycle model with frictional unemployment. The Ramsey optimal policy is contrasted with a reference policy which would be first best in a frictionless economy. Results are: the Ramsey policy i) implies a higher steady state ratio of government...
Persistent link: https://www.econbiz.de/10011374417
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Modeling monetary policy
Reynard, Samuel; Schabert, Andreas - 2009
Persistent link: https://www.econbiz.de/10003913162
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Optimal central bank lending
Schabert, Andreas - 2010
Persistent link: https://www.econbiz.de/10003985256
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Monetary policy under a fiscal theory of sovereign default
Schabert, Andreas - 2009
This paper examines equilibrium determination under different monetary policy regimes when the government might default on its debt. We apply a cash-in-advance model where the government does not have access to non-distortionary taxation and does not account for initial outstanding debt when it...
Persistent link: https://www.econbiz.de/10011379355
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Modeling monetary policy
Reynard, Samuel; Schabert, Andreas - 2009
conditions, i.e. the varying liquidity value ofeligible assets and the associated risk. This induces a liquiditypremium, which …
Persistent link: https://www.econbiz.de/10011379357
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When is quantitative easing effective?
Hoermann, Markus; Schabert, Andreas - 2010 - This version: December 22, 2010
, this set-up gives rise to an (il-)liquidity premium on non-eligible assets. Then, a quantitative easing policy, which …
Persistent link: https://www.econbiz.de/10011382672
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Banking panics and liquidity in a monetary economy
Matsuoka, Tarishi; Watanabe, Makoto - 2017
This paper studies banks' liquidity provision in the Lagos and Wright model of monetary exchanges. With aggregate …
Persistent link: https://www.econbiz.de/10011722659
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How to measure corporate bond liquidity?
Houweling, Patrick; Mentink, Albertus André; Vorst, Ton - 2003
contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …
Persistent link: https://www.econbiz.de/10011333257
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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The determinants of CDS bid-ask spreads
Wojtowicz, Marcin - 2014
surprises, which suggests that private information does not hinder CDS liquidity. …
Persistent link: https://www.econbiz.de/10010415519