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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
. - Financial development ; Growth ; Volatility ; Diversification ; Mean-variance effciency …We study how financial market effciency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of …
Persistent link: https://www.econbiz.de/10008688519
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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 … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …
Persistent link: https://www.econbiz.de/10009640281
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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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Financial regulation, financial globalization and the synchronization of economic activity
Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - 2010
that become more integrated over time have less synchronized growth patterns, conditional on global shocks and country …
Persistent link: https://www.econbiz.de/10003986638
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Credit supply: identifying balance-sheet channels with loan applications and granted loans
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis - 2010
To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks...
Persistent link: https://www.econbiz.de/10003972699
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Theoretical notes on bubbles and the current crisis
Martin, Alberto; Ventura, Jaume - 2011
We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. We embed this view in a standard model of the financial accelerator and explore its empirical and policy implications. In particular, we show how the...
Persistent link: https://www.econbiz.de/10009160016
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Financial cycles under diagnostic beliefs
Camous, Antoine; Van der Ghote, Alejandro - 2022
financial tensions and asset price volatility. We study the interactions of behavioral and financial frictions in an environment …
Persistent link: https://www.econbiz.de/10013189255
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Leveraged property cycles
Jaccard, Ivan - 2021
pecuniary externality generates large reductions in the volatility of real estate prices and credit. Therefore, policies that …
Persistent link: https://www.econbiz.de/10012503550
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The simpler the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020
In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...
Persistent link: https://www.econbiz.de/10012259350
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Determinants of the credit cycle : a flow analysis of the extensive margin
Cuciniello, Vincenzo; Di Iasio, Nicola - 2020
, entries in the credit market by new obligors ("inflows") account for the bulk of volatility in the net creation of borrowers …. Second, the volatility of borrower in ows is two times as large as the volatility of obligors exiting from the credit market …
Persistent link: https://www.econbiz.de/10012249660