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volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with … revenue lost in adverse states of nature. Higher volatility of producers' productivity shocks increases both financial spreads … volatility are non-linear. Higher volatility does not impose any welfare cost for countries characterized by relatively low …
Persistent link: https://www.econbiz.de/10012472734
We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility … in the Chinese market, on average, between stamp duty increase and price volatility. However, this average effect masks …
Persistent link: https://www.econbiz.de/10012458690
. These features motivate us to build a model in which increased volatility of firm level productivity shocks generates a … limit firms' ability to insure against shocks. Hence, an increase in idiosyncratic volatility induces firms to reduce their …
Persistent link: https://www.econbiz.de/10012455690
Over the last half-century, around the world, many nations have seen plummeting fertility rates and mounting life expectancies. These two factors are the engine behind unprecedented global aging. In this paper, we explore how the demographic transition may influence financial markets and, in...
Persistent link: https://www.econbiz.de/10012466220
This paper is organized as follows: The first part of the paper introduces the topic. In the next part, we explore the inadequacies of conventional and equity-based variable annuities in an inflationary environment by contrasting them with a hypothetical PPA. We then try to assess the...
Persistent link: https://www.econbiz.de/10012478703
including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree …
Persistent link: https://www.econbiz.de/10012473370
generates significant volatility in the demand for non-tradables. However, when the non-resource tradable sector disappears, the … price volatility. These two effects interact causing the economy to specialize inefficiently away from non …-resource tradables: the less it produces of them, the greater the volatility of relative prices, the higher the interest rate the sector …
Persistent link: https://www.econbiz.de/10012469279
We analyze conventional and unconventional monetary policies in a dynamic small open-economy model with financial frictions. In the model, financial intermediaries or banks borrow from the world market and lend to domestic households. Banks can borrow abroad up to a multiple of their equity; in...
Persistent link: https://www.econbiz.de/10012456718
Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more...
Persistent link: https://www.econbiz.de/10012457001
This paper studies how capital market imperfections affect the welfare effects of forming a currency union. The analysis considers a bank-only world where intermediaries compete in Cournot fashion and monitoring and state verification are costly. The first part determines the credit market...
Persistent link: https://www.econbiz.de/10012464557