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The rise in the cross sectoral dispersion of earnings expectations during COVID 19

Bats, Joost; Greif, William; Kapp, Daniel - 2022

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....

Persistent link: https://www.econbiz.de/10013198744

Macroeconomic risks across the globe due to the Spanish flu

De Santis, Roberto A.; Van der Veken, Wouter - 2020

We characterise the distribution of expected GDP growth during the Great Influenza Pandemic (known also as Spanish Flu) using a non-linear method in a country panel setting. We show that there are non-negligible risks of large GDP losses with the 5% left tail of the distribution suggesting a...

Persistent link: https://www.econbiz.de/10012271579

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

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

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

The trade-off between public health and the economy in the early stage of the COVID-19 pandemic

Jaccard, Ivan - 2022

How does contagion risk affect the business cycle? We find that the presence of contagion risk significantly alters the transmission of standard macroeconomic shocks. Relative to the first-best equilibrium, the contagion externality significantly reduces the response of output to a technology...

Persistent link: https://www.econbiz.de/10013329375

Euro area sovereign bond risk premia during the Covid-19 pandemic

Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is...

Persistent link: https://www.econbiz.de/10012519519

Contagious herding and endogenous network formation in financial networks

Georg, Co-Pierre - 2014

Persistent link: https://www.econbiz.de/10010441339

On the inflation risks embedded in sovereign bond yields

Camba-Méndez, Gonzalo - 2020

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified...

Persistent link: https://www.econbiz.de/10012241109

The CSPP at work : yield heterogeneity and the portfolio rebalancing channel

Zaghini, Andrea - 2019

We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both...

Persistent link: https://www.econbiz.de/10011997427

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