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Differential treatment in the bond market : sovereign risk and mutual fund portfolios

Converse, Nathan; Mallucci, Enrico - 2019

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

Persistent link: https://www.econbiz.de/10012126135

Bank and sovereign debt risk

Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2012 - This draft: December 2012

Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks' runs) which provides a link between...

Persistent link: https://www.econbiz.de/10010226188

Cheap but flighty : how global imbalances create financial fragility

Perotti, Enrico; Ahnert, Toni - 2015

Can a wealth shift to emerging countries explain instability in developed countries? Investors exposed to political risk seek safety in countries with better property right protection. This induces private intermediaries to offer safety via inexpensive demandable debt, and increase lending into...

Persistent link: https://www.econbiz.de/10010494788

Managing investment risks of institutional private equity investors : the challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas F.; Achleitner, … - 2003 - Version: December 2003

private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity … highlights useful approaches to the problem of return measurement under conditions of illiquidity. Then, specific risk management … issues, including asset allocation issues, are discussed. -- private equity ; risk/return measurement ; net asset values …

Persistent link: https://www.econbiz.de/10009231549

Immobilienverzehrprodukte : potenzielle Profiteure und Nachfragehemmnisse

Maier, Andreas - 2010 - Revised version

In der wirtschaftswissenschaftlichen Literatur wird das ökonomische Potenzial von Immobilienverzehrprodukten vielseitig diskutiert. Obwohl diesen Produkten aus wohlfahrts-theoretischen Gesichtspunkten eine hohe Bedeutung beigemessen wird, zeigt die empirische Evidenz, dass die Nachfrage weit...

Persistent link: https://www.econbiz.de/10009748959

Countercyclical bank capital requirement and optimized monetary policy rules

De Resende, Carlos; Dib, Ali; Lalonde, René; … - 2013

Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant...

Persistent link: https://www.econbiz.de/10009726269

Credit quantity and credit quality : bank competition and capital accumulation

Cetorelli, Nicola; Peretto, Pietro F. - 2009

This paper shows that bank competition has an intrinsically ambiguous effect on capital accumulation and economic growth. We further demonstrate that banking market structure can be responsible for the emergence of development traps in economies that would otherwise be characterized by unique...

Persistent link: https://www.econbiz.de/10003864581

Liquidity and ambiguity : banks or asset markets?

Eichberger, Jürgen; Spanjers, Willy - 2007 - This version June 2007

We study the impact of ambiguity on two alternative institutions of financial intermediation in an economy where consumers face uncertain liquidity needs. The ambiguity the consumers experience is modeled by the degree of confidence in their additive beliefs. We analyze the optimal liquidity...

Persistent link: https://www.econbiz.de/10003592776

Immobilienverzehrprodukte : potenzielle Profiteure und Nachfragehemmnisse

Maier, Andreas - 2010

Persistent link: https://www.econbiz.de/10003942479

A Bayesian approach to backtest overfitting

Witzany, Jiří - 2017

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...

Persistent link: https://www.econbiz.de/10011722180