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The Great Recession : a self-fulfilling global panic

Bacchetta, Philippe; Van Wincoop, Eric - 2013

While the 2008-2009 fi nancial crisis originated in the United States, we witnessed steep declines in output, consumption and investment of similar magnitudes around the globe. This raises two questions. First, given the observed strong home bias in goods and fi nancial markets, what can account...

Persistent link: https://www.econbiz.de/10009751195

Unintended consequences of the global derivatives market reform

Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020

We investigate regulatory arbitrage during the G20's global derivatives market reform. Using hand-collected data on … staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by … document that subsidiaries in jurisdictions with more reform progress shift to riskier portfolios. Alleviating endogeneity …

Persistent link: https://www.econbiz.de/10012179682

External Wealth of Nations and Systemic Risk

Andrieş, Alin Marius; Chiper, Alexandra-Maria; Ongena, … - 2022

External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net international investment position (stock) imbalances still...

Persistent link: https://www.econbiz.de/10013491696

Central bank collateral frameworks

Nyborg, Kjell G. - 2015

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these...

Persistent link: https://www.econbiz.de/10011296085

A general equilibrium appraisal of capital shortfall

Jondeau, Eric; Sahuc, Jean-Guillaume - 2018

We quantify the capital shortfall that results from a global financial crisis by using a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the economy. We show that a crisis similar to that observed in 2008...

Persistent link: https://www.econbiz.de/10011877254

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

Persistent link: https://www.econbiz.de/10003966170

Opacity in financial markets

Sato, Yuki - 2013

This paper studies the implications of opacity in fi nancial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products)....

Persistent link: https://www.econbiz.de/10010257853

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Hedge fund performance under misspecified models

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020

We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

Persistent link: https://www.econbiz.de/10012419384