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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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Latent fragility : conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014250464
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Latent fragility: conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014283811
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New evidence on optimal asset allocation
Jensen, Gerald R.; Mercer, Jeffrey M. - In: The financial review : the official publication of the … 38 (2003) 3, pp. 435-454
Persistent link: https://www.econbiz.de/10001787285
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Optimal Monetary Policy and the Correlation between Prices and Output
Cover, James Peery; Pecorino, Paul - 2003
Several empirical papers have established the fact of a negative price-output correlation for the United States in the … post WWII era. Much of this work appears to interpret the sign of this correlation under the assumption that monetary … affects the price-output correlation. The model is capable of explaining why the price-output correlation in the United States …
Persistent link: https://www.econbiz.de/10014086852
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Impact of US unconventional monetary policy on dynamic stock-bond correlations : portfolio rebalancing and signalling channel effects
Gökmenoglu, Korhan K.; Hadood, Abobaker Al. Al. - In: Finance research letters 33 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430850
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Financial regulation, credit and liquidity policy and the business cycle
Bratsiotis, George; Tayler, William J.; Zilberman, Roy - 2014
Persistent link: https://www.econbiz.de/10011311404
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"In the short run blasé, in the long run risqué" : on the effects of monetary policy on bank credit risk-taking in the short versus long run
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - In: Schmalenbach business review : sbr 18 (2017) 3, pp. 181-226
Persistent link: https://www.econbiz.de/10011711208
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"In the short run blasé, in the long run risqué" : on the effects of monetary policy on bank credit risk-taking in the short versus long run"
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - 2017 - This version: March 2017
Persistent link: https://www.econbiz.de/10012176207
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Overconsumption, credit rationing and bailout monetary policy : a Minskyan perspective
Charpe, Matthieu; Flaschel, Peter; Proaño Acosta, Christian - 2009
We consider a Keynes-Goodwin model of effective demand and the distributive cycle where workers purchase goods and houses with marginal propensity significantly larger than one. They therefore need credit, supplied from asset holders, and have to pay interest on their outstanding debt. In this...
Persistent link: https://www.econbiz.de/10003861624