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Money Market Funds Intermediation, Bank Instability, and Contagion
Cipriani, Marco - 2013
In recent years, U.S. banks have increasingly relied on deposits from financial intermediaries, especially money market funds (MMFs), which collect funds from large institutional investors and lend them to banks. In this paper, we show that intermediation through MMFs allows investors to limit...
Persistent link: https://www.econbiz.de/10013087142
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening second also observe the history of trades and prices...
Persistent link: https://www.econbiz.de/10013017423
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening second also observe the history of trades and prices...
Persistent link: https://www.econbiz.de/10013026974
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Global Banks and International Shock Transmission : Evidence from the Crisis
Cetorelli, Nicola - 2010
Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market economies. We examine adverse liquidity shocks on main developed-country banking systems and their relationships to emerging markets across Europe, Asia, and Latin America, isolating loan...
Persistent link: https://www.econbiz.de/10013143481
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A Leverage-Based Measure of Financial Instability
Tepper, Alexander - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10013048318
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Rediscounting Under Aggregate Risk With Moral Hazard
Chapman, James T. E.; Martin, Antoine - 2007
In a 1999 paper, Freeman proposes a model in which discount window lending and open market operations have different outcomes - an important development because in most of the literature the results of these policy tools are indistinguishable. Freeman's conclusion that the central bank should...
Persistent link: https://www.econbiz.de/10014225041
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Are Credit Default Swaps Associated with Higher Corporate Defaults?
Peristiani, Stavros - 2011
Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton's contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms. Our analysis does not generally find a...
Persistent link: https://www.econbiz.de/10013124670
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Payment Changes and Default Risk : The Impact of Refinancing on Expected Credit Losses
Tracy, Joseph S. - 2012
This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to...
Persistent link: https://www.econbiz.de/10013105432
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One Reason Countries Pay Their Debts : Renegotiation and International Trade
Rose, Andrew Kenan - 2007
This paper estimates the effect of sovereign debt renegotiation on international trade. Sovereign default may be associated with a subsequent decline in international trade either because creditors want to deter default by debtors, or because trade finance dries up after default. To estimate the...
Persistent link: https://www.econbiz.de/10012731602
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Insolvency after the 2005 Bankruptcy Reform
Albanesi, Stefania - 2015
, especially, the financial cost of filing for bankruptcy. We study the effects of the reform on bankruptcy, insolvency, and …. We find that the decline in bankruptcy filings resulted in a rise in the rate and persistence of insolvency as well as an … that insolvency is associated with worse financial outcomes than bankruptcy, as insolvent individuals have less access to …
Persistent link: https://www.econbiz.de/10013024404