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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

Identifying aggregate shocks with micro-level heterogeneity : financial shocks and investment fluctuation

Guo, Xing - 2020 - Last updated: October 8, 2020

This paper identifies the aggregate financial shocks and quantifies their effects on business investment based on an ….S. public firms' aggregate investment. The negligible aggregate relevance of financial shocks mainly results from the …, financially constrained firms are directly forced to cut investment, which dampens the aggregate investment demand and lowers the …

Persistent link: https://www.econbiz.de/10012243316

Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Real effects of price stability with endogenous nominal indexation

Meh, Césaire Assah; Quadrini, Vincenzo; Terajima, Yaz - 2009

indexed to the nominal price and, as a result, their investment is more sensitive to nominal price shocks. We also find that … investment and output respond to a lesser degree. -- Economic models ; Monetary policy framework ; Financial markets …

Persistent link: https://www.econbiz.de/10003852858

The equity premium and the volatility spread : the role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk...

Persistent link: https://www.econbiz.de/10003852916

Belief dispersion and order submission strategies in the foreign exchange market

Lo, Ingrid; Sapp, Stephen - 2011

This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price...

Persistent link: https://www.econbiz.de/10008859204

Understanding systemic risk : the trade-offs between capital, short-term funding and liquid asset holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market...

Persistent link: https://www.econbiz.de/10008728707

Examining simple joint macroeconomic and term-structure models : a practitioner's perspective

Bolder, David Jamieson (contributor); … - 2007

The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. To this end, we consider six alternative approaches. Three of these models follow from the work of Diebold and Li (2003) with a generalization in Bolder...

Persistent link: https://www.econbiz.de/10003560584

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

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