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Efficient Bailouts?
Bianchi, Javier - 2012
We develop a quantitative equilibrium model of financial crises to assess the interaction between ex-post interventions in credit markets and the buildup of risk ex ante. During a systemic crisis, bailouts relax balance sheet constraints and mitigate the severity of the recession. Ex ante, the...
Persistent link: https://www.econbiz.de/10013096860
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Liquidity Rules and Credit Booms
Hachem, Kinda - 2016
We show that stricter bank liquidity standards can trigger unintended credit booms when there is heterogeneity in …
Persistent link: https://www.econbiz.de/10013001209
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Building Relationships Early : Banks in Venture Capital
Hellmann, Thomas F. - 2014
increases a bank's likelihood of providing a loan. Companies may benefit from these relationships through more favorable loan …
Persistent link: https://www.econbiz.de/10012752667
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10013130981
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Endogenous Credit Cycles
Gu, Chao - 2011
We study models of credit with limited commitment, which implies endogenous borrowing constraints. We show that there are multiple stationary equilibria, as well as nonstationary equilibria, including some that display deterministic cyclic and chaotic dynamics. There are also stochastic...
Persistent link: https://www.econbiz.de/10013119597
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Crashes and Collateralized Lending
Jurek, Jakub W. - 2011
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic crash risk exposure of the...
Persistent link: https://www.econbiz.de/10013120294
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Cyclicality of Credit Supply : Firm Level Evidence
Becker, Bo - 2011
Theory predicts that there is a close link between bank credit supply and the evolution of the business cycle. Yet … fluctuations in bank-loan supply have been hard to quantify in the time-series. While loan issuance falls in recessions, it is not … clear if this is due to demand or supply. We address this question by studying firms' substitution between bank debt and non-bank …
Persistent link: https://www.econbiz.de/10013120314
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Complex Mortgages
Amromin, Gene - 2011
We investigate the characteristics and the default behavior of households who take out complex mortgages. Unlike traditional fixed rate or adjustable rate mortgages, complex mortgages are not fully amortizing and enable households to postpone loan repayment. We find that complex mortgages are...
Persistent link: https://www.econbiz.de/10013121009
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Credit Shocks and Aggregate Fluctuations in an Economy with Production Heterogeneity
Khan, Aubhik - 2011
We study the cyclical implications of credit market imperfections in a calibrated dynamic, stochastic general equilibrium model wherein firms face persistent shocks to aggregate and individual productivity. In our model economy, optimal capital reallocation is distorted by two frictions:...
Persistent link: https://www.econbiz.de/10013121072
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Government Policy, Credit Markets and Economic Activity
Christiano, Lawrence J. - 2011
The US government has recently conducted large scale purchases of assets and implemented policies that reduced the cost of funds to financial institutions. Arguably these policies have helped to correct credit market dysfunctions, allowing interest rate spreads to shrink and output to begin a...
Persistent link: https://www.econbiz.de/10013123690