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Asset Pricing and the Propagation of Financial Shocks
Jaccard, Ivan - 2018
This study augments the neoclassical growth model with a mechanism that creates a novel transmission channel through which financial shocks propagate to the real economy. By affecting agents' ability to finance consumption expenditures, financial frictions create a demand for safe assets that...
Persistent link: https://www.econbiz.de/10012918412
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...
Persistent link: https://www.econbiz.de/10012992424
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Financial Transaction Taxes, Market Composition, and Liquidity
Colliard, Jean-Edouard - 2017
. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …
Persistent link: https://www.econbiz.de/10012961532
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...
Persistent link: https://www.econbiz.de/10013157672
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Rollover Risk, Liquidity, and Macro-Prudential Regulation
Ahnert, Toni - 2014
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …
Persistent link: https://www.econbiz.de/10013056186
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Financial Markets and International Risk Sharing in Emerging Market Economies
Schmitz, Martin - 2012
In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...
Persistent link: https://www.econbiz.de/10013104147
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Capital Controls and International Financial Stability : A Dynamic General Equilibrium Analysis in Incomplete Markets
Buss, Adrian - 2013
In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...
Persistent link: https://www.econbiz.de/10013077233
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Information interaction, behavioral synchronization and asset market volatility
Wang, Chengjin; Gao, Yudong; Li, Honggang - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821883
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Disagreement with procyclical beliefs and asset pricing
Wang, Hailong; Hu, Duni - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-33
Persistent link: https://www.econbiz.de/10012660172
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Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach
Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012667335