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Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis
Wu, Jason - 2011
This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …
Persistent link: https://www.econbiz.de/10013127087
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Information in Financial Markets : Who Gets it First?
Swem, Nathan - 2017
I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that hedge fund trades predict the direction of subsequent analyst ratings change reports while other investors' trades do not. In addition, hedge funds reverse trades after analyst...
Persistent link: https://www.econbiz.de/10014122285
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Distress in the Financial Sector and Economic Activity
Carlson, Mark A. - 2010
This paper explores the relationship between the health of the financial sector and the rest of the economy. We develop an indicator of financial sector health using a distance-to-default measure based on a Merton-style option pricing model. Our measure spans over three decades and appears to...
Persistent link: https://www.econbiz.de/10013136451
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Verifying the State of Financing Constraints : Evidence from US Business Credit Contracts
Meisenzahl, Ralf - 2011
Which of the strategies for financing constraints in economic models is the most empirically plausible? This paper tests two commonly used models of financing constraints, costly state verification (Townsend, 1979) and moral hazard (Holmström and Tirole, 1997), using a comprehensive data set of...
Persistent link: https://www.econbiz.de/10013118488
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Financing Constraints and Unemployment : Evidence from the Great Recession
Duygan-Bump, Burcu - 2015
Exploiting the differential financing needs across industrial sectors, this paper shows that financing constraints of small businesses in the United States are one of the drivers explaining the unemployment dynamics during the Great Recession. We show that workers in small firms are more likely...
Persistent link: https://www.econbiz.de/10013031757
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Financial Stability Considerations for Monetary Policy : Theoretical Mechanisms
Ajello, Andrea; Boyarchenko, Nina; Gourio, Francois; … - 2022
This paper reviews the theoretical literature at the intersection of macroeconomics and finance to draw lessons on the connection between vulnerabilities in the financial system and the macroeconomy, and on how monetary policy affects that connection. This literature finds that financial...
Persistent link: https://www.econbiz.de/10013300269
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Financial Stability Considerations for Monetary Policy : Empirical Evidence and Challenges
Boyarchenko, Nina; Favara, Giovanni; Schularick, Moritz - 2022
This paper reviews literature on the empirical relationship between vulnerabilities in the financial system and the macroeconomy, and how monetary policy affects that connection. Financial vulnerabilities build up over time, with both risk appetite and risk taking rising during economic...
Persistent link: https://www.econbiz.de/10013300859
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A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System
Ferrante, Francesco - 2015
I develop a macroeconomic model with a financial sector, in which banks can finance risky projects (loans) and can affect their quality by exerting a costly screening effort. Informational frictions regarding the observability of loan characteristics limit the amount of external funds that banks...
Persistent link: https://www.econbiz.de/10013023812
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Non-Linearity in the Inflation-Growth Relationship in Developing Economies : Evidence from a Semiparametric Panel Model
Baglan, Deniz - 2014
Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is...
Persistent link: https://www.econbiz.de/10013049480
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Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Barigozzi, Matteo - 2016
are I(1). We show that Ft is driven by r-c permanent shocks, where c is the cointegration rank of Ft, and q - (r - c) < c …-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is …
Persistent link: https://www.econbiz.de/10013210379