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Economic Effects of Runs on Early ‘Shadow Banks’ : Trust Companies and the Impact of the Panic of 1907

Frydman, Carola - 2012

consequences of the contraction of credit intermediation, these effects were largest for smaller firms and for industrials, whose …

Persistent link: https://www.econbiz.de/10013103266

Frontiers of Macrofinancial Linkages

Claessens, Stijn - 2018

sharp fluctuations in asset prices, credit and capital flows can have dramatic impact on the financial positions of … brink of collapse and the deepest contraction in world output in more than half a century followed. Moreover, unprecedented …

Persistent link: https://www.econbiz.de/10012929483

Economic crisis and share price unpredictability : reasons and implications

Fox, Edward G.; Fox, Merritt B.; Gilson, Ronald J. - 2014

During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual firm share prices after adjustment for movements in the market as a whole. In this Article, we demonstrate that a similar spike has occurred with each major downturn in the...

Persistent link: https://www.econbiz.de/10010259665

Long Term Expectations and Aggregate Fluctuations

Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; … - National Bureau of Economic Research - 2023

In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations of long term profits. We show that analysts' optimism about the long term earnings growth of S&P 500 firms is associated with a near term boom in major US financial markets,...

Persistent link: https://www.econbiz.de/10014337811

Predicting US Recessions with Stock Market Illiquidity

Chen, Shiu‐Sheng - 2015

term spreads and credit spreads, we find that the illiquidity measure proposed by Amihud (2002) has strong power in …

Persistent link: https://www.econbiz.de/10013030216

A Re-Examination of Stock Market Returns from 1871-1897 : Did Cowles Get It Right?

McQuarrie, Edward F. - 2020

Siegel (2014), Shilling (2015) and others rely on the work of Alfred C. Cowles to capture US stock market returns before 1926. Cowles in turn relied on Frederick Macaulay's work for data on railroad stocks during this era. This study attempts to re-construct Cowles' index from the ground up, by...

Persistent link: https://www.econbiz.de/10012838294

Debt and financial sentiment : early Keynes on balance sheet effects of asset price changes

Ertürk, Korkut A.; Jennings, Jake - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 1, pp. 45-58

The paper explores the link between financial sentiment and private debt, using Keynes’s A Treatise on Money as a conceptual backdrop. In responding to his critics after the publication of his General Theory Keynes famously talked about unexpected, violent changes in conventional asset...

Persistent link: https://www.econbiz.de/10012507210

Housing Bubbles and Expected Returns to Homeownership : Lessons and Policy Implications

Jurgilas, Marius - 2016

House prices in many industrial countries increased dramatically in the years prior to 2007. Countries with the largest increases in household debt relative to income experienced the fastest run-ups in house prices over the same period. During the run-up, many economists and policymakers...

Persistent link: https://www.econbiz.de/10013007703

Limited liability, asset price bubbles and the credit cycle : the role of monetary policy

Mateju, Jakub - 2015

This paper suggests that non-fundamental component in asset prices is one of the drivers of financial and credit cycle … that loose monetary policy induces loose credit conditions and leads to a rise in both fundamental and nonfundamental …, lending rate and default rate decreases. These effects reverse after several quarters, inducing a credit crunch. The credit …

Persistent link: https://www.econbiz.de/10010505148

The Nature of Financial and Real Business Cycles : The Great Moderation and Banking Sector Pro-Cyclicality

Égert, Balázs - 2012

This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of...

Persistent link: https://www.econbiz.de/10013105148

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