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Financial innovation and financial fragility
Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert W. - 2010 - Second draft: May 2010
We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash...
Persistent link: https://www.econbiz.de/10008737158
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Minsky moments, Russell chickens, and Gray swans : the methodological puzzles of the financial instability analysis
Vercelli, Alessandro - 2009
The recent revival of Hyman P. Minsky’s ideas among policymakers, economists, bankers, financial institutions, and the mass media, synchronized with the increasing gravity of the subprime financial crisis, demands a reappraisal of the meaning and scope of the “financial instability...
Persistent link: https://www.econbiz.de/10003943108
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excessreturn, in an unconditional sense. However, the study does...
Persistent link: https://www.econbiz.de/10011450716
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A new measure of monetary policy shocks
Zhang, Xu - 2021 - Last updated: June 21, 2021
Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I...
Persistent link: https://www.econbiz.de/10012546138
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Quantum Monte Carlo for economics : stress testing and macroeconomic deep learning
Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; … - 2022 - Last updated: June 28, 2022
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....
Persistent link: https://www.econbiz.de/10013264908
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Halaj, Grzegorz - 2020 - Last updated: September 28, 2020
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10012291202
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Prominent Numbers, Indices and Ratios in Exchange Rate Determination and Financial Crashes: in Economists’ Models, in the Field and in the Laboratory
Pope, Robin; Selten, Reinhard; Kube, Sebastian; von … - 2009
The prior paper in this sequel, Pope (2009) introduced the concept of a nominalist heuristic, defined as a focus on prominent numbers, indices or ratios. In this paper the concept is used to show three things in how scientists and practitioners analyse and evaluate to decide (conclude). First,...
Persistent link: https://www.econbiz.de/10010274186
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Differential Taxation and Corporate Futures-Hedging
Wahl, Jack E.; Broll, Udo - 2007
Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and …, therefore, the incentive for hedging reduces. We demonstrate that pure hedging is differently affected by taxation than … speculative hedging is. Analysing tax-sensitivity of the corporate hedge shows that a higher risk in the first place may reduce …
Persistent link: https://www.econbiz.de/10010296818
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The Competitive Firm Under Price Uncertainty: The Role of Information and Hedging
Broll, Udo; Eckwert, Bernhard - 2007
uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable …
Persistent link: https://www.econbiz.de/10010296824
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Export production, hedging exchange rate risk: the duopoly case
Broll, Udo; Wahl, Jack E.; Wessel, Christoph - 2008
hedging opportunity is introduced by a forward market where the foreign currency can be traded on. We investigate two settings …: First we assume that hedging and output decisions are taken simultaneously. We show that hedging is just done for risk … managing reasons as it is not possible to use hedging strategically. In this setting the well-known separation result of the …
Persistent link: https://www.econbiz.de/10010300615