Showing 11 - 20 of 195
Using a unique dataset of all Swedish housing transactions over the 2009-2017 period, we find that an increase in manufacturing's share of employment is positively associated with house price growth volatility and negatively associated with risk-adjusted housing returns. Both effects appear to...
Persistent link: https://www.econbiz.de/10012030434
We investigate the performance of funds that specialise in cryptocurrency markets and contribute to a growing literature that aims to understand the value of digital assets as investments. The main empirical results support the idea that cryptocurrency funds generate significantly alphas...
Persistent link: https://www.econbiz.de/10012695266
Using investors' trading horizons to capture their incentives to collect information and monitor management's decisions, this paper shows that an increase in the ownership stake held by long-term institutional investors is associated with a subsequent decrease in real investment precisely in...
Persistent link: https://www.econbiz.de/10012033590
To what extent can a central bank influence its own balance sheet credit risks during a financial crisis through unconventional monetary policy operations? To study this question we develop a risk measurement framework to infer the time-variation in portfolio credit risks at a high (weekly)...
Persistent link: https://www.econbiz.de/10012123505
This paper analyzes the determinants of cross-border asset holdings on cross-country data and a Swedish data set. We focus our analysis on the effect of the euro not only for the determinants of bond holdings, but also of equity and banking assets. With the help of a simple theoretical model, we...
Persistent link: https://www.econbiz.de/10003403088
Persistent link: https://www.econbiz.de/10001375135
We use a comprehensive Swedish credit register to document that firms throughout the size distribution have access to fairly large and reasonably priced credit lines, but borrow relatively little from them. We rationalize this using a theoretical framework in which the expected cost of financial...
Persistent link: https://www.econbiz.de/10014232955
Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …
Persistent link: https://www.econbiz.de/10015324099
In this paper, we evaluate the consequences of super-active fiscal policy rules - that is, rules that call for tax cuts and/or spending increases as the government's debt level rises - in a standard New Keynesian model subject to an occasionally-binding zero lower bound on the monetary policy...
Persistent link: https://www.econbiz.de/10013161539
I study the welfare performance of a policy regime of fiscal activism in which fiscal policy acts as an automatic stabilizer and controls inflation, while monetary policy pegs the nominal interest rate. When evaluated through the lens of a standard New Keynesian model, accounting for price and...
Persistent link: https://www.econbiz.de/10013161545