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Tackling the volatility paradox : spillover persistence and systemic risk

Kubitza, Christian - 2024

Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...

Persistent link: https://www.econbiz.de/10015176897

Firm Volatility in Granular Networks

Kelly, Bryan - 2013

We propose a network model of firm volatility in which the customers' growth rate shocks influence the growth rates of their suppliers, larger suppliers have more customers, and the strength of a customer-supplier link depends on the size of the customer firm. Even though all shocks are i.i.d.,...

Persistent link: https://www.econbiz.de/10012459196

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...

Persistent link: https://www.econbiz.de/10012455257

Stock repurchases, ESG-ratings, and systemic risk in banking

Gehrig, Thomas - 2024

Persistent link: https://www.econbiz.de/10014563869

Assessing asset purchases within the ECB’s Securities Markets Programme

Eser, Fabian; Schwaab, Bernd - 2013

Persistent link: https://www.econbiz.de/10010195421

A high frequency assessment of the ECB Securities Markets Programme

Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2014

Persistent link: https://www.econbiz.de/10010380070

External Equity Financing Shocks, Financial Flows, and Asset Prices

Belo, Frederico - 2014

The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...

Persistent link: https://www.econbiz.de/10012458455

Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion

Lang, Larry - 1994

We argue that management sells assets when doing so provides the cheapest funds to pursue its objectives rather than for operating efficiency reasons alone. This hypothesis suggests that (1) firms selling assets have high leverage and/or poor performance, (2) a successful asset sale is good news...

Persistent link: https://www.econbiz.de/10012474282

More risk, more information : how passive ownership can improve informational efficiency

Buss, Adrian; Sundaresan, Savitar - 2020

Persistent link: https://www.econbiz.de/10012228949

Asset Price Bubbles and Systemic Risk

Brunnermeier, Markus Konrad - 2019

We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty … differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble … median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build …

Persistent link: https://www.econbiz.de/10012479725