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Macropudential Policy in a Knightian Uncertainty Model with Credit-, Risk-, and Leverage Cycles
Gerba, Eddie - 2016
We attempt to explain two stylized facts of the Great Recession, namely the build-up of high leverage in the household sector in the boom phase, deep busts and protracted recovery as rare systemic events. We extend Boz and Mendoza (2014) by explicitly modeling the credit markets and modifying...
Persistent link: https://www.econbiz.de/10013003984
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Knightian uncertainty and credit cycles
Gerba, Eddie; Żochowski, Dawid - 2017
The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are...
Persistent link: https://www.econbiz.de/10011656163
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The Riskiness of Credit Allocation and Financial Stability
Brandao-Marques, Luis - 2019
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012859862
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Bayesian learning in financial markets : testing for the relevance of information precision in price discovery
Hautsch, Nikolaus; Hess, Dieter - 2004
An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...
Persistent link: https://www.econbiz.de/10009524822
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Formal Identification of Sentiment Effects in Asset Markets
Dunne, Peter G. - 2012
the valuation equation. One measure of sentiment is assigned to capture risk aversion effects, while a broader …
Persistent link: https://www.econbiz.de/10013110358
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The Cost of Capital in Markets with Opaque Intermediaries and the Risk-Structure of Interest Rates
Mierzejewski, Fernando - 2009
capital is exchange by a unit of risk, or, in other words, it determines the market price of risk. Episodes of liquidity …
Persistent link: https://www.econbiz.de/10013160192
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Capital Market Efficiency and Financial Innovation - A Perspective Analysis
Mishra, P. K. - 2009
a radical transformation. Thus, capital market of India presents a picture of better efficiency, liquidity, transparency … informational efficiency of the market and become the cause and consequence of financial innovation. This paper aims at testing the … weak-form efficiency hypothesis in Indian context thereby analysing the perspective of financial innovation …
Persistent link: https://www.econbiz.de/10013160485
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Adverse Selection Dynamics in Privately-Produced Safe Debt Markets
Foley-Fisher, Nathan; Gorton, Gary B.; Verani, Stephane - 2021
Privately-produced safe debt is designed so that there is no adverse selection in trade. But in some macro states, here the onset of the pandemic, it becomes profitable for some agents to produce private information, and then agents face adverse selection when they trade the debt (i.e., it...
Persistent link: https://www.econbiz.de/10013324263
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Financial Efficiency and the Lucas Puzzle
Goren, Amir - 2021
I present a model that provides a theoretical solution to the Lucas Puzzle using Financial Efficiency, which is a time … economy. Fitting the model to the data of India, I find that a sharp increase in India’s Financial Efficiency since 1990 …
Persistent link: https://www.econbiz.de/10013243308
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Liquidity and Private Information in Asset Markets : To Signal or Not to Signal
Wang, Zijian - 2021
This paper examines how multidimensional private information by asset sellers affects market equilibrium. I find that when asset quality is the only source of private information, sellers with high-quality assets signal their quality to buyers through partial retention of assets if and only if...
Persistent link: https://www.econbiz.de/10013246450