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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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Potential climate risks in financial markets : a literature overview
Hjort, Ingrid - 2016 - Last modified Feb 3, 2016
financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … market valuation of the climate risk. …
Persistent link: https://www.econbiz.de/10011440405
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Tweeting on monetary policy and market sentiments : the Central Bank Surprise Index
Masciandaro, Donato; Romelli, Davide; Rubera, Gaia - 2020
This paper explores the relationship between central bank communication and market sentiment,and proposes a new measure. Market sentiment is proxied using a Twitter-based metric: theCentral Bank Surprise Index. The empirical study covers three cases: the Federal Reserve, theEuropean Central Bank...
Persistent link: https://www.econbiz.de/10012210744
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The effect of oil price: shocks on asset markets : evidence from oil inventory news
Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the …
Persistent link: https://www.econbiz.de/10012181225
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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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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - 2009
Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...
Persistent link: https://www.econbiz.de/10003864312
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Do financial markets react to Bank of England communication?
Reeves, Rachel (contributor); Sawicki, Michael (contributor) - 2005
The effectiveness of a central bank’s monetary policymaking is determined by the merit of its policy actions and their perceived credibility. Since the 1990s central banks have placed more emphasis on clear communications and transparency as additional levers to help achieve their goals. In...
Persistent link: https://www.econbiz.de/10003384156
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Procyclical Stocks Earn Higher Returns
Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro - National Bureau of Economic Research - 2024
loading on the expected real GDP growth rate is a priced risk measure. A fully tradable, ex-ante portfolio formed on this …
Persistent link: https://www.econbiz.de/10014544787
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Monetary transmission under competing corporate finance regimes
De Grauwe, Paul; Gerba, Eddie - 2016
The behavioural agent-based framework of De Grauwe and Gerba (2015) is extended to allow for a counterfactual exercise on the role of banks for monetary transmissions. A bank-based corporate financing friction is introduced and the relative contribution of that friction to the effectiveness of...
Persistent link: https://www.econbiz.de/10011412383
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Capital market institutions and venture capital : do they affect unemployment and labour demand?
Fehn, Rainer; Fuchs, Thomas - 2003
This paper analyses the influence of the capital market on the labour market. Especially the impact of start-up financing on the structure of unemployment is of interest. We use a cross-country panel data analysis to examine how venture capital investment influences disaggre-gate unemployment....
Persistent link: https://www.econbiz.de/10011506487