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An asymmetric dynamic struggle between pirates and producers

Coram, Alex - 2006

The purpose of this paper is to contribute to our understanding of the dynamics of struggles over resources by studying a game between a producer that can guard and buy fortifications and a pirate. It is assumed that the returns from defence and raiding depends on the ratio of the resources...

Persistent link: https://www.econbiz.de/10010287822

Robustifying Optimal Monetary Policy Using Simple Rules as Cross-Checks

Ilbas, Pelin; Røisland, Øistein; Sveen, Tommy - 2012

There are two main approaches to modelling monetary policy; simple instrument rules and optimal policy. We propose an alternative that combines the two by extending the loss function with a term penalizing deviations from a simple rule. We analyze the properties of the modified loss function by...

Persistent link: https://www.econbiz.de/10012143810

The financial crisis of 2008 in fixed income markets

Dwyer, Gerald P.; Tkac, Paula - 2009

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created...

Persistent link: https://www.econbiz.de/10010292330

Mandatory disclosure and financial contagion

Alvarez, Fernando; Barlevy, Gadi - 2014

common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning … of contagion is large, it is possible for no information to be disclosed in equilibrium but for mandatory disclosure to … increase welfare by allowing investment that would not have occurred otherwise. Absent contagion, mandatory disclosure cannot …

Persistent link: https://www.econbiz.de/10010352166

Contagion in Stable Networks

Bougheas, Spiros - 2017

them but suffer losses through contagion when any agent on a path connected to them is hit by a shock. We first consider … that the completely connected network is stable, although, its exact structure, and thus contagion implications, is …

Persistent link: https://www.econbiz.de/10011816753

Systemic effects of bank equity issues: Competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011926736

Better to give than to receive: predictive directional measurement of volatility spillovers

Diebold, Francis X.; Yilmaz, Kamil - 2010

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...

Persistent link: https://www.econbiz.de/10010277262

On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

Diebold, Francis X.; Yılmaz, Kamil - 2022

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Persistent link: https://www.econbiz.de/10014540961

Contagion effects of the Silicon Valley Bank run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …

Persistent link: https://www.econbiz.de/10014540982

Bank Bailouts, International Linkages and Cooperation

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2011

stronger effects beyond borders. The authors provide a model of international contagion allowing for bank bailouts. While a …

Persistent link: https://www.econbiz.de/10013370087