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Leverage? : what leverage? ; a deep dive into the U.S. flow of funds in search of clues to the global crisis

Bhatia, Ashok Vir; Bayoumi, Tamim A. - 2012

This paper questions the view that leverage should have forewarned us of the global financial crisis of 2007-09, pointing to several gearing indicators that were neither useful portents of the onset of the crisis nor of its ferocity. Instead it shows, first, that the use of ill-suited collateral...

Persistent link: https://www.econbiz.de/10009618519

Leverage? What Leverage? : A Deep Dive into the U.S. Flow of Funds in Search of Clues to the Global Crisis

Bayoumi, Tamim - 2012

Persistent link: https://www.econbiz.de/10014395727

Debt Maturity, Risk, and Asymmetric Information

Espinosa-Vega, Marco - 2005

We test the implications of Flannery''s (1986) and Diamond''s (1991) models concerning the effects of risk and asymmetric information in determining debt maturity, and we examine the overall importance of informational asymmetries in debt maturity choices. We employ data on over 6,000 commercial...

Persistent link: https://www.econbiz.de/10014402040

Conformism and public news

Desgranges, Gabriel; Rochon, Céline - 2011

Persistent link: https://www.econbiz.de/10009487106

Conformism and Public News

Rochon, Céline - 2011

We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private information...

Persistent link: https://www.econbiz.de/10014402493

Banking and trading

Boot, Arnoud W. A.; Ratnovski, Lev - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long …-based: scalable, shortterm, capital constrained, and with the ability to generate risk from concentrated positions. When a bank … inefficiencies. A bank may allocate too much capital to trading ex-post, compromising the incentives to build relationships ex …

Persistent link: https://www.econbiz.de/10012671628

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for …

Persistent link: https://www.econbiz.de/10012613371

Linkages Among Asset Markets in the United States : Tests in a Bivariate Garch Framework

Deb, Parha - 1999

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of...

Persistent link: https://www.econbiz.de/10014400867

U.S. Monetary Shocks and Global Stock Prices

Laeven, Luc - 2010

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...

Persistent link: https://www.econbiz.de/10014402649

Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the ""tech bubble"" period, and...

Persistent link: https://www.econbiz.de/10014399563

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