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Measuring Liquidity Mismatch in the Banking Sector
Krishnamurthy, Arvind - 2016
This paper implements a liquidity measure, “Liquidity Mismatch Index (LMI),” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies during 2002-2014 and investigate the time-series and...
Persistent link: https://www.econbiz.de/10012981612
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The Technological Elements of Artificial Intelligence
Taddy, Matthew Alan - 2018
We have seen in the past decade a sharp increase in the extent that companies use data to optimize their businesses. Variously called the `Big Data' or `Data Science' revolution, this has been characterized by massive amounts of data, including unstructured and nontraditional data like text and...
Persistent link: https://www.econbiz.de/10012918102
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Using Neural Data to Test a Theory of Investor Behavior : An Application to Realization Utility
Frydman, Cary - 2015
utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and …
Persistent link: https://www.econbiz.de/10013036251
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Bootstrap-Based Improvements for Inference with Clustered Errors
Cameron, A. Colin - 2007
Researchers have increasingly realized the need to account for within-group dependence in estimating standard errors of regression parameter estimates. The usual solution is to calculate cluster-robust standard errors that permit heteroskedasticity and within-cluster error correlation, but...
Persistent link: https://www.econbiz.de/10012775940
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Robust Inference with Multi-Way Clustering
Cameron, A. Colin - 2007
In this paper we propose a new variance estimator for OLS as well as for nonlinear estimators such as logit, probit and GMM, that provcides cluster-robust inference when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the standard cluster-robust...
Persistent link: https://www.econbiz.de/10012778337
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Clusters, Convergence, and Economic Performance
Delgado, Mercedes - 2015
This paper evaluates the role of regional cluster composition in the economic performance of industries, clusters and regions. On the one hand, diminishing returns to specialization in a location can result in a convergence effect: the growth rate of an industry within a region may be declining...
Persistent link: https://www.econbiz.de/10013036681
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Global Production with Export Platforms
Tintelnot, Felix - 2016
of multinational firms' location and production decisions and the welfare implications of multinational production. The … costs of foreign investment are large. Second, I calibrate the model to data on trade and multinational production for … divert a sizable fraction of the production of EU multinationals from the US to Canada …
Persistent link: https://www.econbiz.de/10012992631
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Cheap Labor Meets Costly Capital : The Impact of Devaluations on Commodity Firms
Forbes, Kristin J. - 2021
This paper examines how devaluations affect the relative costs of labor and capital and therefore influence production …
Persistent link: https://www.econbiz.de/10013211638
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Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts
Farhi, Emmanuel - 2009
The paper elicits a mechanism by which private leverage choices exhibit strategic complementarities through the reaction of monetary policy. When everyone engages in maturity transformation, authorities have little choice but facilitating refinancing. In turn, refusing to adopt a risky balance...
Persistent link: https://www.econbiz.de/10013158032
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Repo and Securities Lending
Adrian, Tobias - 2012
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the...
Persistent link: https://www.econbiz.de/10013097773