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TIME-VARYING UNCERTAINTY AND THECREDIT CHANNEL
Dorofeenko, Victor; Lee, Gabriel S.; Salyer, Kevin D. - Universität <Regensburg> / Institut für … - 2008
We extend the Carlstrom and Fuerst (American Economic Review,1997, 87, pp. 893–910) agency cost model of business cycles by includingtime-varying uncertainty in the technology shocks that affectcapital production. We first demonstrate that standard linearizationmethods can be used to solve the...
Persistent link: https://www.econbiz.de/10009353977
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RAMSEY MONETARY POLICY WITH CAPITAL ACCUMULATION AND NOMINAL RIGIDITIES
Faia, Ester - London School of Economics and Political Science - 2008
Recent literature on the design of optimal monetary policy has shown that deviations fromprice stability are small whenever prices are sticky. This paper reconsiders this issue byintroducing capital accumulation in the model. Optimal monetary policy in this setupimplies small deviations from...
Persistent link: https://www.econbiz.de/10009138466
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Kausalität in denWirtschaftswissenschaften:Welche Ursachen hat dieFinanzkrise?
Bernholz, Peter; Faber, Malte; Petersen, Thomas - Alfred-Weber-Institut für Sozial- und … - 2009
Die Frage nach der Kausalität fällt in die Methodologie. Methodologie ist in denWirtschaftswissenschaften ein Bereich, der sowohl bei Ökonomen als auch bei Philosophenkaum Beachtung findet. ....
Persistent link: https://www.econbiz.de/10005868378
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The Stability of Mixed Income Neighborhoods in America
Krupka, Douglas J. - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008
Whether people of differing types can live happily together is one of the most important social and political questions concerning urban areas. From a variety of theoretical perspectives, such mixing seems extremely unlikely. While the theoretical result seems well supported in the context of...
Persistent link: https://www.econbiz.de/10005860604
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Measuring the Impact of Meat Packing and ProcessingFacilities in the Nonmetropolitan Midwest: A Differencein-Differences Approach
Artz, Georgeanne M.; Orazem, Peter F.; Otto, Daniel M. - Iowa State University of Science and Technology <Ames, … - 2005
Considerable controversy exists regarding the costs and benefits of growth in the meatpacking and processing industry in the rural Midwest. This study uses proprietary datafrom the Bureau of Labor Statistics’ Longitudinal Database (LDB) to investigate theeffects of this industry on social and...
Persistent link: https://www.econbiz.de/10009418949
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Modeling sovereign yield spreads: A case study of Russian debt
Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - 2001
We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds.(...)
Persistent link: https://www.econbiz.de/10005846839
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Difference in Beliefs and Currency Options Markets
Beber, Alessandro; Breedon, Francis; Buraschi, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007
smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …
Persistent link: https://www.econbiz.de/10005858023
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Correlation Risk and Optimal Portfolio Choice
Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …
Persistent link: https://www.econbiz.de/10005858523
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Are Credit Spreads and Interest Rates co-integrated? Empirical Analysis in the USD Corporate Bond Market
Pape, Ulrich; Schlecker, Matthias - ESCP-EAP European School of Management <Paris u.a.> - 2007
contrast, credit default swap pricing modelsassume independence between credit risk and the term structure of interest rates … apositive long-run relation between the credit spread and the risk free interest ratewhich is not supported by the theoretical …
Persistent link: https://www.econbiz.de/10008939829
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DO RISK PREMIA PROTECT AGAINST BANKING CRISES?
Gersbach, Hans; Wenzelburger, Jan - 2008
may enter bankruptcy with probabilityone. A major cause for this default is that risk premia of a competitive banking …
Persistent link: https://www.econbiz.de/10009138468