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Risk Bearing, Implicit Financial Services and Specialization in the Financial Industry
Wang, J. Christina - 2009
This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal … output will be overstated, and the bias can be large (about 25 percent). Second, we argue that, according to finance theory …
Persistent link: https://www.econbiz.de/10012764900
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Systemic Risks in Global Banking : What Available Data Can Tell Us and What More Data are Needed?
Cerutti, Eugenio - 2012
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...
Persistent link: https://www.econbiz.de/10013098136
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2020
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10012823085
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Exchange Rates and Local Labor Markets
Goldberg, Linda S.; Tracy, Joseph S. - 2000
We document the consequences of real exchange rate movements for the employment, hours, and hourly earnings of workers in manufacturing industries across individual states. Exchange rates have statistically significant wage and employment implications in these local labor markets. The importance...
Persistent link: https://www.econbiz.de/10014193865
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G. - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw …
Persistent link: https://www.econbiz.de/10013106309
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Germs, Social Networks and Growth
Fogli, Alessandra - 2012
Does the pattern of social connections between individuals matter for macroeconomic outcomes? If so, where do these differences come from and how large are their effects? Using network analysis tools, we explore how different social network structures affect technology diffusion and thereby a...
Persistent link: https://www.econbiz.de/10013099131
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Wealth Transfers, Contagion, and Portfolio Constraints
Pavlova, Anna - 2005
This paper examines the co-movement among stock market prices and exchange rates within a three-country Center-Periphery dynamic equilibrium model in which agents in the Center country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10012784541
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Visibility Bias in the Transmission of Consumption Beliefs and Undersaving
Han, Bing - 2019
We model visibility bias in the social transmission of consumption behavior. When consumption is more salient than non-consumption, people perceive that others are consuming heavily, and infer that future prospects are favorable. This increases aggregate consumption in a positive feedback loop....
Persistent link: https://www.econbiz.de/10012892560
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Mandatory Disclosure and Financial Contagion
Alvarez, Fernando - 2015
This paper explores whether mandatory disclosure of bank balance sheet information can improve welfare. In our benchmark model, mandatory disclosure can raise welfare only when markets are frozen, i.e. when investors refuse to fund banks in the absence of balance sheet information. Even then,...
Persistent link: https://www.econbiz.de/10013019514
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A Contagious Malady? Open Economy Dimensions of Secular Stagnation
Eggertsson, Gauti B. - 2016
Conditions of secular stagnation - low interest rates, below target inflation, and sluggish output growth - characterize much of the global economy. We consider an overlapping generations, open economy model of secular stagnation, and examine the effect of capital flows on the transmission of...
Persistent link: https://www.econbiz.de/10012989734