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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/10012455188
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Monetary Policy Surprises, Credit Costs and Economic Activity
Gertler, Mark - 2014
We provide evidence on the nature of the monetary transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy shocks. We...
Persistent link: https://www.econbiz.de/10012458442
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Skewness and Time-Varying Second Moments in a Nonlinear Production Network : Theory and Evidence
Dew-Becker, Ian; Tahbaz-Salehi, Alireza; Vedolin, Andrea - National Bureau of Economic Research - 2021
This paper studies asymmetry in economic activity over the business cycle. It develops a tractable multisector model of the economy in which complementarity across inputs causes aggregate activity to be left skewed with countercyclical volatility. We then examine implications of the model...
Persistent link: https://www.econbiz.de/10012696408
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Financial Dampening
Wieland, Johannes F. - 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/10012456534
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Systemic Risk and the Great Depression
Das, Sanjiv R. - 2018
U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank … as well as a bank's position in the network. We construct linkages between all U.S. commercial banks in 1929 and 1934 so … banking crisis that occurred between 1930-33 raised systemic risk per bank by 33% and increased the riskiness of the very …
Persistent link: https://www.econbiz.de/10012481052
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Systemic Risk and the Macroeconomy : An Empirical Evaluation
Giglio, Stefano - 2015
This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...
Persistent link: https://www.econbiz.de/10012457703
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Recovery from Financial Crises : Evidence from 100 Episodes
Reinhart, Carmen M. - 2014
We examine the evolution of real per capita GDP around 100 systemic banking crises. Part of the costs of these crises owes to the protracted nature of recovery. On average, it takes about eight years to reach the pre-crisis level of income; the median is about 6 ½ years. Five to six years after...
Persistent link: https://www.econbiz.de/10012458841
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Systemic Risks and the Macroeconomy
De Nicolò, Gianni - 2011
real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the …
Persistent link: https://www.econbiz.de/10012461660
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin - 2019
We propose a novel measure of risk perceptions: the price of volatile stocks (PVS<sub>t</sub>), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVS<sub>t</sub> is high when perceived risk directly measured from surveys and option prices is low....
Persistent link: https://www.econbiz.de/10012480235
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Measures of Per Capita Hours and their Implications for the Technology-Hours Debate
Francis, Neville - 2005
Structural vector autoregressions give conflicting results on the effects of technology shocks on hours. The results depend crucially on the assumed data generating process for hours per capita. We show that the standard measure of hours per capita has significant low frequency movements that...
Persistent link: https://www.econbiz.de/10012466978