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Systemic risk-taking: amplification effects, externalities, and regulatory responses
Korinek, Anton - 2011
This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...
Persistent link: https://www.econbiz.de/10011605391
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Variation margins, fire sales, and information-constrained optimality
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...
Persistent link: https://www.econbiz.de/10012142035
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Systemic Risk-Taking : Amplification Effects, Externalities, and Regulatory Responses
Korinek, Anton - 2011
This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...
Persistent link: https://www.econbiz.de/10013124901
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Variation margins, fire sales, and information-constrained optimality
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2021
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...
Persistent link: https://www.econbiz.de/10013315392
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Explaining exchange rate dynamics: the uncovered equity return parity condition
Cappiello, Lorenzo; De Santis, Roberto A. - 2005
By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity …
Persistent link: https://www.econbiz.de/10011604575
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How arbitrage-free is the Nelson-Siegel Model?
Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - 2008
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those …
Persistent link: https://www.econbiz.de/10011604920
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A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications
Nyholm, Ken - 2015
A factor rotation scheme is applied to the well-known Dynamic Nelson-Siegel model facilitating direct parametrization of the short rate process. The model-implied term structure of term premia is derived in closed-form, and macroeconomic variables are included in a Taylor-rule- type fashion....
Persistent link: https://www.econbiz.de/10013014618
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Forecasting Inflation and Tracking Monetary Policy in the Euro Area : Does National Information Help?
Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - 2021
The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...
Persistent link: https://www.econbiz.de/10013316530
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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model
Amisano, Gianni; Tristani, Oreste - 2021
We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...
Persistent link: https://www.econbiz.de/10013317094
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Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model
Christoffel, Kai Philipp; Kuester, Keith; Linzert, Tobias - 2021
We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...
Persistent link: https://www.econbiz.de/10013317584