Similar Search Results

Equity capital, bankruptcy risk and the liquidity trap

Levintal, Oren - 2012

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...

Persistent link: https://www.econbiz.de/10009535806

Macroeconomic Risk and Idiosyncratic Risk-Taking

Chen, Zhiyao - 2018

We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad...

Persistent link: https://www.econbiz.de/10012932444

Chapter 20. Term Structure of Uncertainty in the Macroeconomy

Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...

Persistent link: https://www.econbiz.de/10014024262

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...

Persistent link: https://www.econbiz.de/10012131511

Firm Risk and Disclosures About Dispersion of Asset Values : Evidence from Oil and Gas Reserves

Badia, Marc - 2019

The question we address is whether mandated disclosure about dispersion of non-financial asset values can provide information relevant to assessing firm risk. Using a sample of Canadian oil and gas (O&G) firms between 2004 and 2011, we find that the difference between the disclosed 10th and 50th...

Persistent link: https://www.econbiz.de/10012903641

Climate transition risk metrics: understanding convergence and divergence across firms and providers

Bingler, Julia Anna; Colesanti Senni, Chiara; Monnin, Pierre - 2021

Climate risks are now fully recognized as financial risks by asset managers, investors, central banks, and financial supervisors. Against this background, a rapidly growing number of market participants and financial authorities are exploring which metrics to use to capture climate risks, as...

Persistent link: https://www.econbiz.de/10012662168

Oil shocks, policy uncertainty and earnings surprises

Kang, Wensheng; Wang, Jing - In: Review of quantitative finance and accounting 51 (2018) 2, pp. 375-388

Persistent link: https://www.econbiz.de/10012037117

Monetary policy uncertainty and the response of the yield curve to policy shocks

Tillmann, Peter - 2017

leads to a significantly smaller increase in long-term bond yields if policy uncertainty is high at the time of the shock … are robust to the measurement of monetary policy uncertainty and the definition of the monetary policy shock. We argue … policy uncertainty leads to opposite effects with term premia increasing even more after a policy shock. …

Persistent link: https://www.econbiz.de/10011661992

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

Persistent link: https://www.econbiz.de/10014336426

1
2
3
4
5
6
7
8
9
10
Next
Last