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Portfolio considerations in differentiated product purchases : an application to the Japanese automobile market
Wakamori, Naoki - 2011
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms' pricing strategies. This paper studies such consumers' portfolio considerations by developing a...
Persistent link: https://www.econbiz.de/10009382059
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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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Commodities and monetary policy : implications for inflation and price level targeting
Coletti, Donald; Lalonde, René; Masson, Paul R.; Muir, Dirk - 2012
consequences for global commodity prices. We find that commodities can play a key role in affecting the relative merits of the …
Persistent link: https://www.econbiz.de/10009546871
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House price dynamics : fundamentals and expectations
Granziera, Eleonora; Kozicki, Sharon - 2012
prices and the price-to-rent ratio in the United States. First, a Lucas type asset-pricing model solved under rational … expectations is used to derive a fundamental value for house prices and the price-rent ratio. Although the model can explain the … applications to stock prices: one that features a constant extrapolation parameter and one in which the extrapolation coefficient …
Persistent link: https://www.econbiz.de/10009532586
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To share or not to share? : uncovered losses in a derivatives clearinghouse
Raykov, Radoslav S. - 2016
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms - variation margin haircutting and cash calls - and study the privately and socially optimal degree of loss sharing. For...
Persistent link: https://www.econbiz.de/10011432527
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International transmission of credit shocks in an equilibrium model with production heterogeneity
Imura, Yuko; Thomas, Julia K. - 2015
Many policy-makers and researchers view the recent financial and real economic crises across North America, Europe and beyond as a global phenomenon. Some have argued that this global recession has a common source: the U.S. financial crisis. This paper investigates the extent to which a credit...
Persistent link: https://www.econbiz.de/10011280030
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Managerial compensation duration and stock price manipulation
Schroth, Josef - 2015
manipulate short-term stock prices. It is shown that this informational asymmetry reverses some of the conventional wisdom about …-term stock prices also put more effort into generating longterm firm value. …
Persistent link: https://www.econbiz.de/10011287603
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On the welfare cost of rare housing disasters
Xu, Shaofeng - 2015
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I … disaster periods, due to smaller holdings of housing assets, and benefit from lower house prices in normal periods, due to the …
Persistent link: https://www.econbiz.de/10011302010
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Are sunspots learnable? : an experimental investigation in a simple general-equilibrium model
Arifovic, Jasmina; Evans, George W.; Kostyshyna, Olena - 2013
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms. The model has three steady states: the low and high steady states are expectationally stable...
Persistent link: https://www.econbiz.de/10009746578
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Business cycle effects of credit shocks in a DSGE model with firm defaults
Pesaran, M. Hashem; Xu, TengTeng - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10009751689