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Song, Song; Bickel, Peter J. - 2011

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Persistent link: https://www.econbiz.de/10010281503

Financial frictions, investment and Tobin's q

Lorenzoni, Guido; Walentin, Karl - 2007

We develop a model of investment with financial constraints and use it to investigate the relation between investment and Tobin's q. Afirm is financed partly by insiders, who control its assets, and partly by outside investors. When their wealth is scarce, insiders earn a rate of return higher...

Persistent link: https://www.econbiz.de/10010320783

Financial investment constraints. A panel threshold application to German firm level data

Tarassow, Artur - 2014

This paper attempts to test whether financial supply-side shifts explain the low-investment climate of private firms in Germany. The core contention is that a firm's financial position contributes to its access to external finance on credit markets. Special emphasizes is put on small and...

Persistent link: https://www.econbiz.de/10010420866

Redicovering Mises-Hayek monetary and business cycle theory in light of the current crisis: Credit expansion as a source of economic boom and bust

Mrowiec, Marcin - In: e-Finanse: Financial Internet Quarterly 9 (2013) 2, pp. 64-74

The article starts with a brief description of Mises' monetary theory, with emphasis on the Misesian differentiation of … Cycle Theory, and how the same observations on the nature of credit constituted the kernel of the Chicago Plan (though Mises … Business Cycle Theory gave the same answer regarding the sources of economic crises that now modern macroeconomic theory seems …

Persistent link: https://www.econbiz.de/10011551396

From the horse’s mouth: surveying responses to stress by banks and insurers

Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf - 2018

Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....

Persistent link: https://www.econbiz.de/10011984886

Macro aspects of housing

Leung, Charles Ka Yui; Ng, Joe Cho Yiu - 2018

This paper aims to achieve two objectives. First, we demonstrate that with respect to business cycle frequency (Burns and Mitchell, 1946), there was a general decrease in the association between macroeconomic variables (MV) and housing market variables (HMV) following the global financial crisis...

Persistent link: https://www.econbiz.de/10012013642

A Large Central Bank Balance Sheet? The Role of Interbank Market Frictions

Thaler, Dominik - 2018

Recent quantitative easing (QE) policies implemented over the course of the Great Recession by the major central banks have had a profound impact on the working of money markets, giving rise to large excess reserves and pushing down key interbank rates against their floor .the interest rate on...

Persistent link: https://www.econbiz.de/10011892137

The effects of a declining housing market on the US economy

Papadimitriou, Dimitri B.; Hannsgen, Greg; Zezza, Gennaro - 2007

Longstanding speculation about the likelihood of a housing market collapse has given way in the past few months to consideration of just how far the housing market will fall, and how much damage the debacle will inflict on the economy. This paper assesses the magnitude of the impact of housing...

Persistent link: https://www.econbiz.de/10010266555

Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion

Fry, John M. - 2009

We develop a rational expectations model of financial bubbles and study ways in which a generic risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model, namely, that the price must rise prior to a crash in order to compensate...

Persistent link: https://www.econbiz.de/10011496083

Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in recessions and declines much more gradually during the...

Persistent link: https://www.econbiz.de/10012179758

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