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Asset prices and macroeconomic outcomes: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012060200
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012060201
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Interest rates or haircuts? Prices versus quantities in the market for collateralized risky loans
Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016
) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …
Persistent link: https://www.econbiz.de/10011776848
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Bubbles and multiplicity of equilibria under portfolioconstraints
Hugonnier, Julien - Finrisk - 2008
This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore,...
Persistent link: https://www.econbiz.de/10005868914
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Financialization in emerging Europe
Kazandziska, Milka - 2022
This paper contributes to the financialization literature exploring the dynamics of financialization in eight emerging European economies (EEEs) compared to the Anglo-Saxon countries. Our analysis encompasses the decade before and the years following the financial crisis in 2008, including the...
Persistent link: https://www.econbiz.de/10013261389
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Centralized trading of corporate bonds
Huber, Samuel; Kim, Jaehong - 2015
In the post-crisis period, increased regulation of financial intermediaries led to a significant decline in corporate bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate bonds should be more centralized. In this paper, we show...
Persistent link: https://www.econbiz.de/10011420570
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Macroeconomics meets Hyman P. Minsky: the financial theory of investment
Wray, L. Randall; Tymoigne, Éric - 2008
In this paper we present a theory of the financing of investment in a modern capitalist economy, following the approach developed by Hyman P. Minsky. We argue that the current financial crisis that began with the collapse of the subprime mortgage market in the United States in 2007 provides a...
Persistent link: https://www.econbiz.de/10010266576
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10013208704
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Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
We study the trading of real assets financed by collateralized loans in an agent based model of a continuous double auction. This approach provides a complementary perspective on recent advances in the general equilibrium theory of endogenous leverage by studying a model that simultaneously...
Persistent link: https://www.econbiz.de/10013370101
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Quid pro quo: National institutions and sudden stops in international capital movements
Cavallo, Eduardo A.; Velasco, Andrés - 2006
We explore the incidence of sudden stops in capital flows on the incentives for building national institutions that secure property rights in a world where sovereign defaults are possible equilibrium outcomes. This paper builds upon the benchmark model of sovereign default and direct creditor...
Persistent link: https://www.econbiz.de/10010278280