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Asset pricing and the propagation of macroeconomic shocks
Jaccard, Ivan - 2018
shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of … the economy's stock of pledgeable collateral generates a persistent recession, a stock market crash, and a flight …
Persistent link: https://www.econbiz.de/10011856397
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Collateral constraints and macroeconomic asymmetries
Guerrieri, Luca; Iacoviello, Matteo - In: Journal of monetary economics 90 (2017), pp. 28-49
Persistent link: https://www.econbiz.de/10011799220
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Government spending during sudden stop crises
Liu, Siming - 2018
Persistent link: https://www.econbiz.de/10011882286
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Credit cycles redux
Córdoba Muñoz, Juan C.; Ripoll, Marla - In: International economic review 45 (2004) 4, pp. 1011-1046
Persistent link: https://www.econbiz.de/10002427579
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Essays on collateral constraints
Brumm, Johannes - 2011
Persistent link: https://www.econbiz.de/10009311468
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Asset prices, collateral, and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - 2013
In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...
Persistent link: https://www.econbiz.de/10010192797
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Housing market dynamics : on the contribution of income shocks and credit constraints (revised version)
Ortalo-Magné, François; Rady, Sven - 2005
We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria which replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model...
Persistent link: https://www.econbiz.de/10010440424
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Housing market dynamics : on the contribution of income shocks and credit constraint
Ortalo-Magné, François; Rady, Sven - 2005
We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria which replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model...
Persistent link: https://www.econbiz.de/10010343962
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Business Fluctuations and Leverage in the Collateral Constraints
Nah, Won Jun - 2015
of financial leverage. The degree of leverage is shown to be an important factor in the amplifying role of collateral … the interactions between investment and collateral price, the endogenous accumulation of collateral asset is shown to be … an alternative channel through which the business cycle effects of collateral constraints are generated. On the other …
Persistent link: https://www.econbiz.de/10013039013
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Financial frictions and regime switching : the role of collateral asset in emerging stock market
Awijen, Haithem; Hammami, Sami - 2017
This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...
Persistent link: https://www.econbiz.de/10011609272