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Payments, credit and asset prices
Piazzesi, Monika; Schneider, Martin - 2018
Persistent link: https://www.econbiz.de/10011905021
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Asymmetric effects of global liquidity expansion on foreign portfolio inflows, exchange rates, and stock prices
Dong-Eun, Rhee; Da Young, Yang - In: Journal of East Asian economic integration 18 (2014) 2, pp. 143-161
This paper examines the effects of global liquidity expansion on advanced and emerging economies by using panel VAR … methodology. The results show that global liquidity expansion tends to boost economy by increasing GDP growth and stock prices …. However, we find that the effects are asymmetric. The effects of global liquidity on GDP and stock prices are greater and more …
Persistent link: https://www.econbiz.de/10011568335
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Bank Credit Extension and Real Economic Activity in South Africa : The Impact of Capital Flow Dynamics, Bank Regulation and Selected Macro-prudential Tools
Gumata, Nombulelo - 2017
determining inverse transmission of global liquidity, as well as the effects of capital flows, lending-rate margins, financial …Chapter 1) Introduction -- Chapter 2)The inverse transmission of positive global liquidity shocks into the South …
Persistent link: https://www.econbiz.de/10012397829
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Good news is bad news : leverage cycles and sudden stops
Akinci, Ozge; Chahrour, Ryan - 2015
We show that a model with imperfectly forecastable changes in future productivity and an occasionally binding collateral constraint can match a set of stylized facts about "sudden stop" events. "Good" news about future productivity raises leverage during times of expansion, increasing the...
Persistent link: https://www.econbiz.de/10011338832
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Good news is bad news : leverage cycles and sudden stops
Akinci, Ozge; Chahrour, Ryan - 2014
Persistent link: https://www.econbiz.de/10011293869
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Good news is bad news : leverage cycles and sudden stops
Akıncı, Özge; Chahrour, Ryan - In: Journal of international economics 114 (2018), pp. 362-375
Persistent link: https://www.econbiz.de/10012038041
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A Value at Risk Analysis of Credit Default Swaps
Raunig, Burkhard - 2016
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...
Persistent link: https://www.econbiz.de/10012989272
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Asymmetric Effects of Global Liquidity Expansion on Foreign Portfolio Inflows, Exchange Rates, and Stock Prices
Rhee, Dong-Eun - 2016
This paper examines the effects of global liquidity expansion on advanced and emerging economies by using panel VAR … methodology. The results show that global liquidity expansion tends to boost economy by increasing GDP growth and stock prices …. However, we find that the effects are asymmetric. The effects of global liquidity on GDP and stock prices are greater and more …
Persistent link: https://www.econbiz.de/10013006245
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Ensuring financial stability : financial structure and the impact of monetary policy on asset prices
Assenmacher-Wesche, Katrin; Gerlach, Stefan - 2008 - Revised draft
This paper studies the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986 - 2006. We estimate VARs for individual economies and panel VARs in which we distinguish between groups of countries on...
Persistent link: https://www.econbiz.de/10010382339