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The negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables...
Persistent link: https://www.econbiz.de/10010891108
We analyze whether mid-level managers in securitized finance were aware of a large-scale housing bubble and a looming crisis in 2004-2006 using their personal home transaction data. We find that the average person in our sample neither timed the market nor were cautious in their home...
Persistent link: https://www.econbiz.de/10010891228
This paper investigates how changes in industries funding costs affect total factor productivity (TFP) growth. Based on panel regressions using data for U.S. and Canadian industries and industries dependence on external funding as an identification mechanism, we show that increases in the cost...
Persistent link: https://www.econbiz.de/10010891625
This paper introduces banks into a dynamic stochastic general equilibrium model by featuring asymmetric information as the underlying friction for banking. Asymmetric information about asset qualities causes a lemons problem in the asset market. In this environment, banks can issue liquid...
Persistent link: https://www.econbiz.de/10010891730
Relying on an original household survey (PATER survey), we document how the 2008–9 crisis affected households’ wealth, expectations, and consumption plans in France. We then show that households experiencing losses relating to their housing or their financial wealth were more likely to...
Persistent link: https://www.econbiz.de/10010891731
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate...
Persistent link: https://www.econbiz.de/10010891737
Episodes of large capital inflows in small open economies are often associated with a shift of resources from the tradable to the non-tradable sector and sometimes lead to balance-of-payments crises. This paper builds a two-sector dynamic model to study the evolution of the sectoral structure...
Persistent link: https://www.econbiz.de/10010891764
We consider a DSGE model with flexible prices, monopolistic competitive banks and sticky interest rates, together with endogenous firms exit and entry decisions. We find that economies characterized by endogenous firms dynamics imply higher volatilities of both real and financial variables than...
Persistent link: https://www.econbiz.de/10010891902
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Finite Dimensional Realizations (FDRs) of the Gaussian HJM model. The algorithms of constructing...
Persistent link: https://www.econbiz.de/10010892079
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...
Persistent link: https://www.econbiz.de/10010892123