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Interest on cash, fundamental value process and bubble formation on experimental asset markets
Giusti, Giovanni; Jiang, Janet Hua; Xu, Yiping - 2014
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main … conclusions. The first is that paying positive interest on cash is ineffective in diminishing bubbles through the reducing …-active-participation channel. The second is that the fundamental value generating process plays a critical role in the formation of asset bubbles …
Persistent link: https://www.econbiz.de/10010350019
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Fooled by search : housing prices, turnover and bubbles
Peterson, Brian M. - 2012
This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing...
Persistent link: https://www.econbiz.de/10009487808
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Booms and busts in house prices explained by constraints in housing supply
Bulusu, Narayan; Duarte, Jefferson; Vergara-Alert, Carles - 2013
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Comparing the equilibrium house price generated with and without supply constraints in a representative-agent model under irreversibility of housing...
Persistent link: https://www.econbiz.de/10009751696
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Should monetary policy lean against housing market booms?
Alpanda, Sami; Ueberfeldt, Alexander - 2016
Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt. This crisis regime is characterized by an...
Persistent link: https://www.econbiz.de/10011454083
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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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Macroeconomic determinants of the term structure of corporate spreads
Yang, Jun (contributor) - 2008
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...
Persistent link: https://www.econbiz.de/10003772980
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Non-linearities, model uncertainty, and macro stress testing
Misina, Miroslav (contributor); Tessier, David (contributor) - 2008
A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on rare but plausibleʺ events that have either resulted in vulnerabilities in the past or could do so in the...
Persistent link: https://www.econbiz.de/10003772984
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...
Persistent link: https://www.econbiz.de/10003790566
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Computing the accuracy of complex non-random sampling methods : the case of the Bank of Canada's Business Outlook Survey
De Munnik, Daniel; Dupuis, David; Illing, Mark - 2009
A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these...
Persistent link: https://www.econbiz.de/10003823140
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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