Similar Search Results

Monetary transmission under competing corporate finance regimes

De Grauwe, Paul; Gerba, Eddie - 2016

The behavioural agent-based framework of De Grauwe and Gerba (2015) is extended to allow for a counterfactual exercise on the role of banks for monetary transmissions. A bank-based corporate financing friction is introduced and the relative contribution of that friction to the effectiveness of...

Persistent link: https://www.econbiz.de/10011412383

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - 2014

asset side and equity capital as well as debt on the liabilities side. A number of findings emerge when simulating the model … higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of … bankruptcies and systemic events. Credit frictions, which we define as the stickiness of debt adjustments, are able to explain a …

Persistent link: https://www.econbiz.de/10010407454

Semiparametric conditional quantile models for financial returns and realized volatility

Žikeš, Filip; Jozef, Baruník - 2014

This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile regression framework and rely on recently developed...

Persistent link: https://www.econbiz.de/10010407475

Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Punzi, Maria Teresa; Rabitsch, Katrin - 2014

calibrate the model to match the quintiles of the distri- bution of leverage ratios of US non-financial firms. We show that …

Persistent link: https://www.econbiz.de/10010463531