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Global Liquidity, Risk Premiums and Growth Opportunities
De Nicoló, Gianni - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liq …
Persistent link: https://www.econbiz.de/10012677727
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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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Dissecting saving dynamics : measuring wealth, precautionary, and credit effects
Carroll, Chris; Slacalek, Jirka; Sommer, Martin - 2012
We argue that the U.S. personal saving rate's long stability (from the 1960s through the early 1980s), subsequent steady decline (1980s - 2007), and recent substantial increase (2008 - 2011) can all be interpreted using a parsimonious 'buffer stock' model of optimal consumption in the presence...
Persistent link: https://www.econbiz.de/10009622528
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What Drives Household Borrowing and Credit Constraints? : Evidence from Bosnia and Herzegovina
Chen, Ke - 2008
Although Bosnia and Herzegovina (BiH) has experienced rapid growth in credit to households in recent years, most individuals are still credit constrained. This paper analyzes the determinants of household credit demand and credit constraints in BiH. To our knowledge, it is the first study on...
Persistent link: https://www.econbiz.de/10014409049
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Jointly Optimal Monetary and Fiscal Policy Rules under Borrowing Constraints
Kumhof, Michael - 2009
We study the welfare properties of an economy where both monetary and fiscal policy follow simple rules, and where a subset of agents is borrowing constrained. The optimized fiscal rule is far more aggressive than automatic stabilizers, and stabilizes the income of borrowingconstrained agents,...
Persistent link: https://www.econbiz.de/10012677523
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The Missing Link Between Financial Constraints and Productivity
Moreno Badia, Marialuz - 2009
The global financial crisis has reopened the debate on the potential spillover effects from the financial sector to the real economy. This paper adds to that debate by providing new evidence on the link between finance and firm-level productivity, focusing on the case of Estonia. We contribute...
Persistent link: https://www.econbiz.de/10012677759
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Does Global Liquidity Matter for Monetary Policy in the Euro Area?
Berger, Helge - 2009
Global excess liquidity is sometimes believed to limit sovereign monetary policy even in large economies, including the … euro area. There is much discussion about what constitutes global excess liquidity and our approach adjusts liquidity for … longer-term interest rate and output effects. We find that especially excess liquidity in the U.S. leads developments in euro …
Persistent link: https://www.econbiz.de/10012677373
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The option-iPoD. The Probability of Default Implied by Option Prices based on Entropy
Capuano, Christian - 2008
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and...
Persistent link: https://www.econbiz.de/10012677462
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The Use (and Abuse) of CDS Spreads During Distress
Spackman, Carolyne - 2009
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...
Persistent link: https://www.econbiz.de/10012677752
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Transmission of Liquidity Shocks
Hesse, Heiko - 2008
The recent credit crisis started as a credit shock and then rapidly promulgated in the form of market and funding illiquidity before inducing solvency problems at some financial institutions. This column presents empirical evidence mapping the transmission channels of the crisis
Persistent link: https://www.econbiz.de/10012678160