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Agency costs, net worth, and business fluctuations: a computable general equilibrium analysis

Carlstrom, Charles T.; Fuerst, Timothy S. - Federal Reserve Bank of Cleveland - 1996

An analysis of the quantitative effects of agency costs in a real business cycle model, showing that these costs can explain why output growth displays positive autocorrelation at short horizons.

Persistent link: https://www.econbiz.de/10005526585

Liquidity in asset markets with search frictions

Rocheteau, Guillaume; Lagos, Ricardo - Federal Reserve Bank of Cleveland - 2008

We develop a search-theoretic model of financial intermediation and use it to study how trading frictions affect the distribution of asset holdings, asset prices, efficiency and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings,...

Persistent link: https://www.econbiz.de/10005526625

Home production meets time-to-build

Gomme, Paul; Kydland, Finn; Rupert, Peter - Federal Reserve Bank of Cleveland - 2000

An innovation in this paper is to introduce a time-to-build technology for the production of market capital into a model with home production. The paper’s main finding is that the two anomalies that have plagued all household production models—the positive correlation between business and...

Persistent link: https://www.econbiz.de/10005428393

Friends do let friends buy stocks actively

Heimer, Rawley Z - Federal Reserve Bank of Cleveland - 2013

This research is the first to provide empirical evidence that social interaction is more prevalent amongst active rather than passive investors. While previous empirical work, spearheaded by Hong, Kubik, and Stein (2004), shows that proxies for sociability are related to participation in asset...

Persistent link: https://www.econbiz.de/10011115672

Investment spikes and uncertainty in the petroleum refining industry

Dunne, Timothy; Mu, Xiaoyi - Federal Reserve Bank of Cleveland - 2008

This paper investigates the effect of uncertainty on the investment decisions of petroleum refineries in the US. We construct uncertainty measures from commodity futures market and use data on actual capacity changes to measure investment episodes. Capacity changes in US refineries occur...

Persistent link: https://www.econbiz.de/10005728983

Intervention and the risk premium in foreign exchange rates

Osterberg, William P. - Federal Reserve Bank of Cleveland - 1989

An analysis of how central-bank exchange-market intervention can affect both the level of exchange rates and the risk … premium in asset returns, showing how the risk premium is related to the conditional variances of intervention and other …

Persistent link: https://www.econbiz.de/10005526622

Portfolio risks and bank asset choice

Samolyk, Katherine A. - Federal Reserve Bank of Cleveland - 1989

An investigation of the effects of credit risk and interest-rate risk on bank portfolio choices, showing how bank …

Persistent link: https://www.econbiz.de/10005526650

Risk sharing of disaggregate macroeconomic and idiosyncratic shocks

Hess, Gregory D.; Shin, Kwanho - Federal Reserve Bank of Cleveland - 1999

not shared in the economy provides greater understanding of why the economy lacks risk-sharing arrangements in specific … areas and can suggest areas where the economy’s risk-sharing capability could be enhanced. The authors find that a … negligible amount of risk (around 10 percent) is shared in the aggregate, about 50 percent is shared within regions and …

Persistent link: https://www.econbiz.de/10005428188

The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990

Baillie, Richard T.; Osterberg, William P. - Federal Reserve Bank of Cleveland - 1991

-varying risk premium. However, there is little evidence that the forecast error is related to fundamentals, although most … considering intervention as a channel through which fundamentals influence risk premiaannel through which fundamentals influence … risk premia. …

Persistent link: https://www.econbiz.de/10005428418

Loan commitments and bank risk exposure

Avery, Robert B.; Berger, Allen N. - Federal Reserve Bank of Cleveland - 1990

Loan commitments increase a bank's risk by obligating it to issue future loans under terms that it might otherwise … better than average performance, suggesting that commitments generate little risk or that this risk is offset by the …

Persistent link: https://www.econbiz.de/10005728995