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Gourio, Francois - 2011

depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …

Persistent link: https://www.econbiz.de/10013125570

The Network Origins of Large Economic Downturns

Acemoglu, Daron - 2013

This paper shows that large economic downturns may result from the propagation of microeconomic shocks over the input-output linkages across different firms or sectors within the economy. Building on the framework of Acemoglu et al. (2012), we argue that the economy's input-output structure can...

Persistent link: https://www.econbiz.de/10013078828

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10013137011

International Asset Allocation with Time-Varying Correlations

Bekaert, Geert - 2008

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Persistent link: https://www.econbiz.de/10012774819

Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps

Ma, Tongshu - 2002

Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...

Persistent link: https://www.econbiz.de/10012787232

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 2010

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012763801

The Cross-Section of Risk and Return

Daniel, Kent D. - 2018

In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...

Persistent link: https://www.econbiz.de/10012931218

Cyclical Lending Standards : A Structural Analysis

Chen, Kaiji; Higgins, Patrick C.; Zha, Tao A. - 2022

Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks...

Persistent link: https://www.econbiz.de/10013321832

Financial Dampening

Wieland, Johannes - 2016

monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …

Persistent link: https://www.econbiz.de/10012995512

Good Booms, Bad Booms

Gorton, Gary B. - 2016

Credit booms are not rare and usually precede financial crises. However, some end in a crisis (bad booms) while others do not (good booms). We document that credit booms start with an increase in productivity, which subsequently falls much faster during bad booms. We develop a model in which...

Persistent link: https://www.econbiz.de/10012998412

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