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Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
(and rally) discrete jump distributions associated with positive (and negative) bubbles. The RE condition implies that the …
Persistent link: https://www.econbiz.de/10011899594
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The Lifetime of a Financial Bubble
Obayashi, Yoshiki - 2016
We combine both a mathematical analysis of financial bubbles and a statistical procedure for determining when a given … of financial bubbles. We find that it follows a generalized gamma distribution, and we provide estimates for its … parameters. We also perform goodness of fit tests, and we provide a derivation, within the context of bubbles, that explains why …
Persistent link: https://www.econbiz.de/10013004562
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Bubbles, Bank Credit and Macroprudential Policies
Derviz, Alexis - 2013
uncertainty. Positive/negative bubbles arise when prior public beliefs about the aggregate productivity of producers (business …
Persistent link: https://www.econbiz.de/10013081636
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308
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Drivers of Bank Default Risk : Bank Business Models, the Sovereign and Monetary Policy
Soenen, Nicolas - 2020
In this paper we empirically analyze the determinants of bank default risk (measured by the banks' CDS spreads) for European banks during the period 2008-2018. We examine the effect of (1) bank business model characteristics, (2) sovereign default risk and (3) ECB monetary policy. We disentangle...
Persistent link: https://www.econbiz.de/10012834126
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Financial intermediaries and the macroeconomy : evidence from a high-frequency identification
Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022
We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...
Persistent link: https://www.econbiz.de/10013252981
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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 policy in an exuberant world
Walther, Ansgar - 2020
This paper studies optimal financial policy in a world where the financial sector can become excessively optimistic. I decompose the welfare effects of bank capital regulation to demonstrate the effects of exuberance and its interaction with incentive problems in banking. The optimal policy...
Persistent link: https://www.econbiz.de/10012178343
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
asset pricing in line with rational bubbles. We show that the response of the excessive stock price component to a monetary …
Persistent link: https://www.econbiz.de/10011526074
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Stock Market Bubbles and Monetary Policy Effectiveness
Fullana, Olga - 2020
of restrictive monetary policy shocks coincides with the phase of the business cycle in which bubbles arise …
Persistent link: https://www.econbiz.de/10012855577