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Aggregate Price Shocks and Financial Stability : The United Kingdom 1796-1999
Bordo, Michael D. - 2001
This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find...
Persistent link: https://www.econbiz.de/10012470133
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Offshore Investment Funds : Monsters in Emerging Markets?
Kim, Woochan - 1999
The 1997-99 financial crises in the emerging markets have brought to the foreground the concern about offshore investment funds and their possible role in exacerbating volatility in the markets they invest in. Offshore investment funds are alleged to engage in trading behaviors that are...
Persistent link: https://www.econbiz.de/10012471661
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Answering the Queen : Machine Learning and Financial Crises
Fouliard, Jeremy - 2020
Financial crises cause economic, social and political havoc. Macroprudential policies are gaining traction but are still severely under-researched compared to monetary policy and fiscal policy. We use the general framework of sequential predictions also called online machine learning to forecast...
Persistent link: https://www.econbiz.de/10012482520
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Precautionary Hoarding of Liquidity and Inter-Bank Markets : Evidence from the Sub-prime Crisis
Acharya, Viral V. - 2010
this structural break, settlement bank liquidity had a precautionary nature in that it rose on calendar days with a large … overnight inter-bank rates to rise, an effect virtually absent in the pre-crisis period. This liquidity effect on inter-bank … stronger banks operating through the inter-bank markets …
Persistent link: https://www.econbiz.de/10012462261
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Market Response to Policy Initiatives during the Global Financial Crisis
Aït-Sahalia, Yacine - 2010
This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability...
Persistent link: https://www.econbiz.de/10012462841
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New Evidence on the First Financial Bubble
Frehen, Rik G.P. - 2009
The first global financial bubble in stock prices occurred 1720 in Paris, London and the Netherlands. Explanations for these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior of two large firms: the South Sea Company in Great...
Persistent link: https://www.econbiz.de/10012463318
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Stock Volatility During the Recent Financial Crisis
Schwert, G. William - 2011
This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting...
Persistent link: https://www.econbiz.de/10012461682
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Market-specific and Currency-specific Risk During the Global Financial Crisis : Evidence from the Interbank Markets in Tokyo and London
Fukuda, Shin-ichi - 2011
central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their …
Persistent link: https://www.econbiz.de/10012461695
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Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in Australia
Svensson, Lars E. O. - National Bureau of Economic Research - 2021
The "debt-overhang hypothesis" - that households cut back more on their spending in a crisis when they have higher levels of outstanding mortgage debt (Dynan, 2012) - seems to be taken for granted by macroprudential authorities in several countries in their policy decisions, as well as by the...
Persistent link: https://www.econbiz.de/10012533325
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Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in the UK
Svensson, Lars E. O. - National Bureau of Economic Research - 2021
The "debt-overhang hypothesis" - that households cut back more on their spending in a crisis when they have higher levels of outstanding mortgage debt (Dynan, 2012) - seems to be taken for granted by macroprudential authorities in several countries in their policy decisions, as well as by the...
Persistent link: https://www.econbiz.de/10012533355