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Variation margins, fire sales, and information-constrained optimality

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018

Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...

Persistent link: https://www.econbiz.de/10011921489

Systemic risk-taking : amplification effects, externalities, and regulatory responses

Korinek, Anton - 2011

because of pecuniary externalities that are triggered during financial amplification. The paper develops an externality … pricing kernel that quantifies the state-contingent magnitude of such externalities and provides welfaretheoretic foundations … amplification ; systemic risk ; systemic externalities ; externality pricing kernel ; macroprudential regulation ; bailout …

Persistent link: https://www.econbiz.de/10009160024

Bubble thy neighbor : portfolio effects and externalities from capital controls

Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2012

Persistent link: https://www.econbiz.de/10009765157

Intermediate inputs, external rebalancing and relative price adjustment

Bems, Rudolfs - 2014

Persistent link: https://www.econbiz.de/10010381938

Leveraged property cycles

Jaccard, Ivan - 2021

This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the...

Persistent link: https://www.econbiz.de/10012503550

Identifying fiscal shocks and policy regimes in OECD countries

Arcangelis, Giuseppe de; Lamartina, Serena - 2003

The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...

Persistent link: https://www.econbiz.de/10009635887

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Pass-through of external shocks to euro area inflation

Hahn, Elke - 2003

This paper investigates the pass-through of external shocks, i.e. oil price shocks, exchange rate shocks, and non-oil import price shocks to euro area inﬂation at different stages of distribution (import prices, producer prices and consumer prices). The analysis is based on a VAR model that...

Persistent link: https://www.econbiz.de/10009635958

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Inflation and relative price asymmetry

Ratfai, Attila - 2004

By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this study evaluates the quantitative importance of idiosyncratic pricing shocks in short-run aggregate price change dynamics. Robustly to alternative definitions of the relative...

Persistent link: https://www.econbiz.de/10009636524

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