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The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022

publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for …

Persistent link: https://www.econbiz.de/10012798791

Strategic uncertainty in financial markets : evidence from a consensus pricing service

Ergun, Lerby M.; Uthemann, Andreas - 2020 - Last updated: December 18, 2020

This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices...

Persistent link: https://www.econbiz.de/10012388763

The impact of government debt supply on bond market liquidity : an empirical analysis of the Canadian market

Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018

This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...

Persistent link: https://www.econbiz.de/10011878695

Household heterogeneity and the performance of monetary policy frameworks

Djeutem, Edouard; He, Mario; Reza, Abeer; Zhang, Yang - 2022 - Last updated: March 8, 2022

We compare the performance of alternative monetary policy frameworks (inflation targeting, average inflation targeting, price level targeting and nominal GDP level targeting) in a tractable HANK model where incomplete financial markets and idiosyncratic earnings risk introduce precautionary...

Persistent link: https://www.econbiz.de/10013169230

Job ladder and business cycles

Alves, Felipe - 2022 - Last updated: March 21, 2022

I build a Heterogeneous Agents New Keynesian model with rich labor market dynamics. Workers search both off- and on-the-job, giving rise to a job ladder, where employed workers slowly move toward more productive and better paying jobs through job-to-job transitions, while negative shocks...

Persistent link: https://www.econbiz.de/10013169236

Why do central banks make public announcements of open market operations?

Bulusu, Narayan - 2020 - Last updated: August 31, 2020

Central banks make public the results of open market operations (OMOs), which they use to adjust the liquidity available to the financial system to maintain the short-term borrowing rate in the range compatible with achieving their monetary policy objectives. This paper shows that such...

Persistent link: https://www.econbiz.de/10012271670

A macroprudential theory of foreign reserve accumulation

Arce, Fernando; Bengui, Julien; Bianchi, Javier - 2019

This paper proposes a theory of foreign reserves as macroprudential policy. We study an open-economy model of financial crises in which pecuniary externalities lead to overborrowing, and show that by accumulating international reserves, the government can achieve the constrained-efficient...

Persistent link: https://www.econbiz.de/10012104379

Financial crisis resolution

Schroth, Josef - 2012

This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks' desire to accumulate capital over time...

Persistent link: https://www.econbiz.de/10009691196

Do low interest rates sow the seeds of financial crises?

Cociuba, Simona E.; Shukayev, Malik; Ueberfeldt, Alexander - 2011

policy affects risk taking by changing the amount of safe bonds that intermediaries use as collateral in the repo market. In … possibility that intermediaries can augment their collateral by issuing assets whose risk is underestimated by credit rating … this model with properly-priced collateral, lower than optimal interest rates reduce risk taking. We also consider the …

Persistent link: https://www.econbiz.de/10009389254

Default dependence : the equity default relationship

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

leverage ratios. -- Econometric and statistical methods ; Financial markets …

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

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