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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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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...
Persistent link: https://www.econbiz.de/10011349709
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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...
Persistent link: https://www.econbiz.de/10010484886
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Inertial credit and arrears in transition
Perotti, Enrico C. - 1995
Persistent link: https://www.econbiz.de/10000922224
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Limiting limited liability
Dari-Mattiacci, Guiseppe - 2006
Limited liability may result in inefficient accident prevention, because a relevant portion of the expected harm is externalized on victims. This paper shows that under some restrictive conditions further limiting liability by means of a liability cap can improve caretaking.
Persistent link: https://www.econbiz.de/10011349185
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Debt, deficits, and destabilizing monetary policy in open economies
Schabert, Andreas; Wijnbergen, Sweder van - 2006 - Revised Version: May 2006
Blanchard (2005) suggested that active interest rate policy might induce unstable dynamics in highly-indebted economies. We examine this in a dynamic general equilibrium model where Calvo-type price rigidities provide a rationale for inflation stabilization. Unstable dynamics can occur when the...
Persistent link: https://www.econbiz.de/10011349206
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Sequential bankruptcy problems
Estévez-Fernández, Arantza; Giménez-Gómez, José Manuel - 2019
In this paper, we analyze sequential bankruptcy problems, which generalize bankruptcy problems. They contain the problems of sharing water in a transboundary river and of allocating expedition rewards in projects. We provide three mechanisms for generalizing rules for bankruptcy problems to...
Persistent link: https://www.econbiz.de/10012122526
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Liquidity runs
Matta, Rafael; Perotti, Enrico C. - 2016 - This Draft: October 18, 2016
asset liquidity risk arises even under minimal fundamental risk. To study the role of illiquidity we introduce realistic … not available in a run, asset liquidity risk has a concave effect on run incentives, quite unlike fundamental risk. Runs … are rare when asset liquidity is abundant, become more frequent as it falls and decrease again under very low asset …
Persistent link: https://www.econbiz.de/10011556199
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A game theoretical approach to sharing penalties and rewards in projects
Estévez-Fernández, Arantza - 2009
This paper analyzes situations in which a project consisting of several activities is not realized according to plan. Ifthe project is expedited, a reward arises. Analogously, a penalty arises if the project is delayed. This paper considersthe case of arbitrary nondecreasing reward and penalty...
Persistent link: https://www.econbiz.de/10011379216
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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