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Monetary policy, asset prices, and liquidity in over-the-counter markets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2012 - This Version: September 2012
We revisit a traditional topic in monetary economics: the relationship between asset prices and monetary policy. We study a model in which money helps facilitate trade in decentralized markets, as in Lagos andWright (2005), and real assets are traded in an over-the-counter (OTC) market, as in...
Persistent link: https://www.econbiz.de/10009681232
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Informational efficiency and welfare in the stock market
Orosel, Gerhard O. - 1993
Persistent link: https://www.econbiz.de/10000879095
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Code sharing, price discrimination and welfare losses
Czerny, Achim Ingo - In: Journal of transport economics and policy 43 (2009) 2, pp. 193-212
Persistent link: https://www.econbiz.de/10009527130
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On the neutrality of credit-driven asset bubbles
Reicher, Christopher Phillip - 2011
This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … output comes from an unusual regime. -- Bubbles ; fiscal theory of the price level ; collateral constraints ; neutrality …
Persistent link: https://www.econbiz.de/10008904609
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Speculative Growth, Overreaction, and the Welfare Cost of Technology-Driven Bubbles
Lansing, Kevin J. - 2013
accumulation, growth, and welfare. A near-rational bubble component in the model equity price generates excess volatility in …
Persistent link: https://www.econbiz.de/10013087553
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Asset Prices and Welfare in the Restructured Lucas Orchard : An Equilibrium Framework for Mergers
Won, Kyungsub - 2019
Asset markets are frequently restructured through mergers, acquisitions, and securitization. Corporate restructuring activities reallocate assets across firms. The cumulative magnitude of corporate restructuring deals is so significant and durable at the macro level that they can have the...
Persistent link: https://www.econbiz.de/10012897739
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An empirical characterization of volatility dynamics in the DAX
Virla, Leonardo Quero - 2021
This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …
Persistent link: https://www.econbiz.de/10012629944
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …
Persistent link: https://www.econbiz.de/10012487731
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723
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Speculative growth, overreaction, and the welfare cost of technology-driven bubbles
Lansing, Kevin J. - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 461-483
Persistent link: https://www.econbiz.de/10009698060