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Firm-level investment under imperfect capital markets in Ukraine
Shcherbakov, Oleksandr - 2019
This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints …. Dynamically optimal investment functions are derived for the firms with and without financial constraints. These policy functions … are then used to construct the likelihood of observing each of the investment regimes in the data. Structural parameters …
Persistent link: https://www.econbiz.de/10011992480
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Heterogeneity in the dynamic effects of uncertainty on investment
Byun, Sungje; Jo, Soojin - 2015
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious … an investment forecasting model interacted with firm-specific coefficients. We find that higher profit uncertainty … large firms are expected to reduce investment much more than medium-sized firms. This highlights significant and substantial …
Persistent link: https://www.econbiz.de/10011333060
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Exporting and investment under credit constraints
Huynh, Kim P.; Petrunia, Robert J.; Rodrigue, Joel; … - 2023 - Last updated: February 10, 2023
that financial conditions do not affect real outcomes (performance, exporting, or investment). To relax this assumption, we … leverage ratio and (c) increase investment. We estimate that 48 percent of Canadian manufacturers face binding credit …
Persistent link: https://www.econbiz.de/10013542035
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Idiosyncratic coskewness and equity return anomalies
Chabi-Yo, Fousseni; Yang, Jun - 2010
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...
Persistent link: https://www.econbiz.de/10003981312
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Macroprudential rules and monetary policy when financial frictions matter
Bailliu, Jeannine N.; Meh, Césaire Assah; Zhang, Yahong - 2012
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as...
Persistent link: https://www.econbiz.de/10009501847
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Trading dynamics with adverse selection and search : market freeze, intervention and recovery
Chiu, Jonathan; Koeppl, Thorsten V. - 2011
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the...
Persistent link: https://www.econbiz.de/10009387742
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A stochastic volatility model with conditional skewness
Feunou, Bruno; Tédongap, Roméo - 2011
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10009309462
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Security transaction taxes and market quality
Pomeranets, Anna; Weaver, Daniel G. - 2011
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...
Persistent link: https://www.econbiz.de/10009377919
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Rollover risk and the maturity transformation function of banks
Paligorova, Teodora; Santos, João A. C. - 2014
attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well …
Persistent link: https://www.econbiz.de/10010254340
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Do sunspots matter? : evidence from an experimental study of bank runs
Arifovic, Jasmina; Jiang, Janet Hua - 2014
A "sunspot" is a variable that has no direct impact on the economy's fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to...
Persistent link: https://www.econbiz.de/10010336452