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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...
Persistent link: https://www.econbiz.de/10011992480
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Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
Djoudad, Ramdane - 2009
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. The impact of these shocks on individual households depends on the socio-economic characteristics...
Persistent link: https://www.econbiz.de/10003852899
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Volatility forecasting when the noise variance Is time-varying
Chaker, Selma; Meddahi, Nour - 2013
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...
Persistent link: https://www.econbiz.de/10010225492
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2014
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10010336456
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Optimization in a simulation setting : use of function approximation in debt strategy analysis
Bolder, David Jamieson (contributor);  … - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. -- Debt …
Persistent link: https://www.econbiz.de/10003463632
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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
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Real effects of price stability with endogenous nominal indexation
Meh, Césaire Assah; Quadrini, Vincenzo; Terajima, Yaz - 2009
We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). More constrained firms sign contracts that are less indexed to the nominal price and, as a result, their...
Persistent link: https://www.econbiz.de/10003852858
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The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …
Persistent link: https://www.econbiz.de/10003852916
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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
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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