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Incomplete Financial Markets and Jumps in Asset Prices

Cres, Hervé - 2009

incomplete financial markets may increase volatility in asset prices significantly …

Persistent link: https://www.econbiz.de/10013157819

Financial frictions : micro vs macro volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional ﬁnancial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10012705511

Entangled risks in incomplete FX markets

Maurer, Thomas; Tran, Ngoc-Khanh - In: Journal of financial economics 142 (2021) 1, pp. 146-165

Persistent link: https://www.econbiz.de/10012650663

International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2021

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...

Persistent link: https://www.econbiz.de/10013222977

Exchange rate dynamics, asset market structure, and the role of the trade elasticity

Thoenissen, Christoph - In: Macroeconomic dynamics 15 (2011) 1, pp. 119-143

Persistent link: https://www.econbiz.de/10009011948

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

Brandt, Michael W. - 2001

Persistent link: https://www.econbiz.de/10012470316

The welfare cost of excess volatility in incomplete markets with sunspots

Kang, Minwook - In: Macroeconomic dynamics 23 (2019) 3, pp. 1062-1073

Persistent link: https://www.econbiz.de/10012126879

A structural model of market friction with time-varying volatility

Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - 2021

Persistent link: https://www.econbiz.de/10012489003

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10010440129

The Integration of Imperfect Financial Markets : Implications for Business Cycle Volatility

Buch, Claudia M.; Pierdzioch, Christian - 2004

frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries … with more developed financial systems have lower business cycle volatility. Financial openness has no strong impact on … business cycle volatility, in contrast. In our theoretical analysis, we use a dynamic general equilibrium model to study the …

Persistent link: https://www.econbiz.de/10014072512