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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10012462842
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A Martingale Representation for Matching Estimators
Abadie, Alberto - 2009
article establishes a martingale representation for matching estimators. This representation allows the use of martingale …
Persistent link: https://www.econbiz.de/10012463891
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Fads, Martingales, and Market Efficiency
Lehmann, Bruce N. - 1988
Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial markets. Not surprisingly, considerable effort has been expended to test the efficient markets hypothesis, usually by examination of the predictability of equity returns....
Persistent link: https://www.econbiz.de/10012476533
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Some Simple Bitcoin Economics
Schilling, Linda - 2018
How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet simple endowment economy. There are two types of money, both useful for transactions: Bitcoins and Dollars. A central bank keeps the real value of Dollars constant, while...
Persistent link: https://www.econbiz.de/10012453232
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Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
Carey, Mark - 2000
Now in prospect is a major revision of international bank capital regulations that would embody recent advances in credit risk measurement and management. Previous regulations have been simpler in structure, with a primary goal of getting capital requirements right on average, and thus have...
Persistent link: https://www.econbiz.de/10012471142
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Uncertainty and the Disappearance of International Credit
Aizenman, Joshua - 1999
We show that increased uncertainty about the size of an emerging market's external debt has a nonlinear and potentially large adverse effect on the supply of international credit offered to them. We also show that if international creditors are first- order risk averse, attaching greater weight...
Persistent link: https://www.econbiz.de/10012471396
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Reserve Requirements on Sovereign Debt in the Presence of Moral Hazard -- on Debtors or Creditors?
Aizenman, Joshua - 1999
lender side (i.e., the anticipation that the taxpayer will bailout lending banks if large default will occur) and sovereign … risk on the borrower side. The impacts of such reserve requirements on the equilibrium degree of default risk and borrowing … bailouts financed by the high income block encourage borrowing and increase the probability of default. We show that the …
Persistent link: https://www.econbiz.de/10012471796
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The Distribution of Crisis Credit : Effects on Firm Indebtedness and Aggregate Risk
Huneeus, Federico; Kaboski, Joseph Paul; Larraín, Mauricio - National Bureau of Economic Research - 2022
. Whereas policies can help firms in need of financing, they can lead to adverse selection from riskier firms and higher default … endogenous default …
Persistent link: https://www.econbiz.de/10012938743
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The Effect of Principal Reduction on Household Distress : Evidence from Mortgage Cramdown
Cespedes, Jacelly C.; Parra, Carlos R.; Sialm, Clemens - National Bureau of Economic Research - 2021
Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage during Chapter 13 bankruptcy before the Supreme Court disallowed this practice in 1993. We exploit the random assignment of cases to judges to quantify the ex-post effects of Chapter 13 bankruptcy over...
Persistent link: https://www.econbiz.de/10012585384
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Cross-subsidization of Bad Credit in a Lending Crisis
Artavanis, Nikolaos; Lee, Brian Jonghwan; Panageas, Stauros - National Bureau of Economic Research - 2022
We study the corporate-loan pricing decisions of a major Greek bank during the Greek financial crisis. A unique aspect of our dataset is that we observe both the interest rate and the "breakeven rate" of each loan, as computed by the bank's own loan-pricing department (in effect, the loan's...
Persistent link: https://www.econbiz.de/10013172149