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An Empirical Analysis of Funding Costs Spillovers in the Euro-Zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10013017495
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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10012457206
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Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10013022926
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10012457516
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The Importance of Measurement Error in the Cost of Capital
Goolsbee, Austan - 2000
, accounting for about 20 percent of the tax term's variance. Correcting for the error with IV estimation shows that taxes …
Persistent link: https://www.econbiz.de/10012471217
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Estimating Adjustment Costs with Data on Heterogeneous Capital Goods
Goolsbee, Austan - 2008
This paper estimates the micro-level costs of adjusting capital using detailed data onquot; investment decisions in the US airline industry. The data include the capital stock retirement, market values, operating costs, and utilization rates of 16 different types of capitalquot; goods for each...
Persistent link: https://www.econbiz.de/10012774916
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Corporate Liquidity, Acquisitions, and Macroeconomic Conditions
Erel, Isil - 2017
Firms hold liquid assets to enhance their ability to invest efficiently when external financing costs are high, especially during poor macroeconomic conditions. Using a sample of 47,378 acquisitions from 36 countries between 1997 and 2014, we study how the relation between firms' cash holdings...
Persistent link: https://www.econbiz.de/10012954455
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The Costs of (Sub)Sovereign Default Risk : Evidence from Puerto Rico
Chari, Anusha - 2017
Puerto Rico's unique characteristics as a U.S. territory allow us to examine the channels through which (sub)sovereign default risk can have real effects on the macroeconomy. Post-2012, during the period of increased default probabilities, the cointegrating relationship between real activity in...
Persistent link: https://www.econbiz.de/10012941599
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Consumption Risk and the Cost of Equity Capital
Wang, Yong - 2010
We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on...
Persistent link: https://www.econbiz.de/10012762530
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Aggregate External Financing and Savings Waves
Eisfeldt, Andrea L. - 2014
US data display aggregate external financing and savings waves. Firms can allocate costly external finance to productive capital, or to liquid assets with low physical returns. If firms raise costly external finance and accumulate liquidity, either the cost of external finance is relatively low,...
Persistent link: https://www.econbiz.de/10013047787