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Democratic political economy of financial regulation
Livshits, Igor; Park, Youngmin - 2021 - Last updated: November 26, 2021
adverse aggregate housing shock, these banks fail. When banks do not fully internalize the losses from such failure (due to … and individuals with large non-housing wealth suffer from the fragility of the banking system. On the other hand, some …
Persistent link: https://www.econbiz.de/10012670328
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The rise of non-regulated financial intermediaries in the housing sector and its macroeconomic implications
Desgagnés, Hélène - 2017
I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated...
Persistent link: https://www.econbiz.de/10011777922
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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 … construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks. The … likelihood and magnitude of housing disasters are inferred from historic housing market experiences in the OECD. The model shows …
Persistent link: https://www.econbiz.de/10011302010
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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 …
Persistent link: https://www.econbiz.de/10011454083
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Credit conditions and consumption, house prices and debt : what makes Canada different?
Muellbauer, John; St-Amant, Pierre; Williams, David - 2015
the United States, housing collateral effects on consumption are absent. Given credit conditions, rising house prices … mostly explained by movements in incomes, housing supply, mortgage interest rates and credit conditions, suggesting that the …
Persistent link: https://www.econbiz.de/10011408596
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The global financial cycle, monetary policies and macroprudential regulations in small, open economies
Bauer, Gregory H.; Pasricha, Gurnain Kaur; Sekkel, Rodrigo - 2016
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across...
Persistent link: https://www.econbiz.de/10011520366
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Discount rates, debt maturity and the fiscal theory
Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, … - 2021 - Last updated: November 26, 2021
This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless...
Persistent link: https://www.econbiz.de/10012670322
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On the tail risk premium in the oil market
Ellwanger, Reinhard - 2017
This paper shows that changes in market participants' fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and...
Persistent link: https://www.econbiz.de/10011778000
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Uncollateralized overnight loans settled in LVTS
Hendry, Scott (contributor); Kamhi, Nadja (contributor) - 2007
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...
Persistent link: https://www.econbiz.de/10003463636
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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