Showing 1 - 10 of 247
This paper develops a DSGE model in which banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. We show within a real business cycle...
Persistent link: https://www.econbiz.de/10010839056
This paper develops a DSGE model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. Within an RBC framework, we show that...
Persistent link: https://www.econbiz.de/10010686785
This paper develops an RBC model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. We show that maturity transformation in...
Persistent link: https://www.econbiz.de/10010698889
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and Risk Metrics techniques for computing Valu-at Risk (VaR) are compared with a method which involves modelling the tails of financial returns explicitly with...
Persistent link: https://www.econbiz.de/10004970495
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...
Persistent link: https://www.econbiz.de/10004970498
No abstract is available.
Persistent link: https://www.econbiz.de/10004970499
No abstract is available.
Persistent link: https://www.econbiz.de/10004970505
Mervyn King is the Deputy Governor of the Bank of England and a co-founder of the LSE Financial Markets Group. On Wednesday 29 October 1997 he gave a public lecture at the LSE to mark the 10th anniversary of the Financial Markets Group and the 5th annivesay of the Bank of England Inflation...
Persistent link: https://www.econbiz.de/10004970506
No Abstract is Available.
Persistent link: https://www.econbiz.de/10004970508
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues|that is, rms with overvalued equity issue more equity and, all else equal, less debt. We question this conventional view in the paper. Using price...
Persistent link: https://www.econbiz.de/10011161131