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Agent-based model of system-wide implications of funding risk
Hałaj, Grzegorz - 2018
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …
Persistent link: https://www.econbiz.de/10011779837
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Who invests in home equity to exempt wealth from bankruptcy?
Corradin, Stefano; Gropp, Reint; Huizinga, Harry - 2011
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income...
Persistent link: https://www.econbiz.de/10009006623
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
finds that common shocks - key crisis events as well as changes to global liquidity and risk - have exerted a large effect … particular for emerging markets. - Capital flows ; factor model ; common shocks ; liquidity ; risk ; push factors ; pull factors …
Persistent link: https://www.econbiz.de/10009238006
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Negative interest rates, excess liquidity and retail deposits : banks' reaction to unconventional monetary policy in the euro area
Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2019
’ funding structures jointly with that in their excess liquidity holdings. We find evidence that banks highly exposed to the …, importantly, the explicit consideration of the role of excess liquidity in our analysis. …
Persistent link: https://www.econbiz.de/10012009191
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Who benefits from the corporate QE? : a regression discontinuity design approach
Abidi, Nordine; Miquel-Flores, Ixart - 2018
mechanism and the liquidity channel. …
Persistent link: https://www.econbiz.de/10011820153
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Liquidity buffers and open-end investment funds : containing outflows and reducing fire sales
Dekker, Lennart; Molestina Vivar, Luis; Wedow, Michael; … - 2023
March 2020 to examine two channels through which liquidity buffers can reduce procyclicality in the investment fund sector …. First, we find that liquidity buffers reduced outflows during March 2020 only to a limited extent. Second, we find that … funds entering the crisis with higher liquidity buffers were less likely to involve in cash hoarding and more likely to use …
Persistent link: https://www.econbiz.de/10014342307
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How do banks manage liquidity? : evidence from the ECB's tiering experiment
Baldo, Luca; Heider, Florian; Hoffmann, Peter; Sigaux, … - 2022
We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of … assets over time. Our results imply that frictions in one market for liquidity can spill over to several markets. …
Persistent link: https://www.econbiz.de/10013375171
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Diversification in euro area stock markets
Moerman, Gerard - 2004
The harmonisation of fiscal and economic policy within the European Monetary Union (EMU) has had a considerable impact on the economies of member countries in the past decade. In particular, several studies indicate that the proceeding economic integration among euro area countries has important...
Persistent link: https://www.econbiz.de/10009636550
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Myopic loss aversion, disappointment aversion, and the equity premium puzzle
Fielding, David; Stracca, Livio - 2003
This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...
Persistent link: https://www.econbiz.de/10009639864
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10009640281