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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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Strengthening the financial system and mobilizing savings to support more balanced growth in ASEAN+3
Siackhachanh, A. Noy - 2012
As witnessed during the 1997/98 Asian financial crisis, the dependency on short-term foreign capital for long-term investment made the region vulnerable to the sudden reversal of capital inflows. Rapid capital outflows not only caused the collapse of the financial system but also a sharp...
Persistent link: https://www.econbiz.de/10009697263
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Newton's Financial Misadventures in the South Sea Bubble
Odlyzko, Andrew - 2018
One of the most popular investment anecdotes relates how Isaac Newton, after cashing in some large early gains, staked his fortune on the success of the South Sea Company of 1720 and lost heavily in the ensuing crash. However, this tale is based on only a few scraps of hard evidence, some of...
Persistent link: https://www.econbiz.de/10012932159
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Money markets, central bank balance sheet and regulation
Corradin, Stefano; Eisenschmidt, Jens; Hoerova, Marie; … - 2020
with new Basel III regulations and with central bank policies (liquidity provision, asset purchases and the Securities … with worsening money market conditions, while higher central bank liquidity provision was associated with reduced money …
Persistent link: https://www.econbiz.de/10012301955
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Liquidity, Leverage, and Lehman : A Structural Analysis of Financial Institutions in Crisis
Chen, Ren-Raw - 2015
The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...
Persistent link: https://www.econbiz.de/10013035485
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Financial transaction tax contributes to more sustainability in financial markets
Schäfer, Dorothea - 2012
We argue that a financial transaction tax complements financial market regulation. With the tax, governments have an additional instrument at hand to influence trading activity. FTT aims to reduce regulatory arbitrage, flash trading, overactive portfolio management, excessive leverage and...
Persistent link: https://www.econbiz.de/10009579222
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A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10010404536
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Regulating the Financial Cycle : An Integrated Approach with a Leverage Ratio
Schoenmaker, Dirk - 2016
We propose a regulatory approach for restricting debt financing as an amplification mechanism across the financial system. A small stylised model illustrates the trade-off between static and time varying limits on leverage in dampening the financial cycle. The policy section proposes its...
Persistent link: https://www.econbiz.de/10013004721
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A Leverage-Based Measure of Financial Instability
Tepper, Alexander - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10013048318