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Endogenous Liquidity and the Business Cycle

Bigio, Saki - Peruvian Economic Association - PEA - 2014

I study an economy where asymmetric information about the quality of capital endogenously determines liquidity. Liquid funds are key to relaxing financial constraints on investment and employment. These funds are obtained by selling capital or using it as collateral. Liquidity is determined by...

Persistent link: https://www.econbiz.de/10011082392

Collateralisation bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014

Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...

Persistent link: https://www.econbiz.de/10011084220

Endogenous Cycles in a Stiglitz-Weiss Economy

Suarez, Javier; Sussman, Oren - C.E.P.R. Discussion Papers - 1997

The literature on financial imperfections and business cycles has focused on propagation mechanisms. In this paper we model a pure reversion mechanism, such that the economy may converge to a two-period equilibrium cycle. This mechanism confirms that financial imperfections may have a dramatic...

Persistent link: https://www.econbiz.de/10005661575

Endogenous credit cycles

Martin, Alberto - Department of Economics and Business, Universitat … - 2004

I develop an overlapping-generations framework in which changes in lending standards generate endogenous cycles. In my economy, entrepreneurs who are privately informed about the quality of their projects need to borrow funds. Intermediaries screen entrepreneurs both through the amount of...

Persistent link: https://www.econbiz.de/10005572662

Adverse Selection of Investment Projects and the Business Cycle

Reichlin, Pietro; Siconolfi, Paolo - Banca d'Italia - 1998

In an economy where entrepreneurs with unequal "abilities" face alternative investment projects, which differ in degree of risk and productivity, we analyse the Nash equilibrium contracts arising from a banks-borrowers game in the context of asymmetric information. We show that, for a particular...

Persistent link: https://www.econbiz.de/10005113664

Media reporting and business cycles : empirical evidence based on news data

Lamla, Michael; Lein-Rupprecht, Sarah M.; Sturm, Jan-Egbert - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1085-1105

Persistent link: https://www.econbiz.de/10012272091

Technology shocks and business cycles : the role of processing stages and nominal rigidities

Phaneuf, Louis (contributor); Rebei, Nooman (contributor) - 2007

This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to...

Persistent link: https://www.econbiz.de/10003463664

A note on information flows and identification of news shocks models

Sorge, Marco M. - 2013

news shocks. We show that different degrees of anticipation (information flows) have strikingly different implications for … non-identifiable. As a consequence, the underlying news shocks model fails to be (first-order) identified. The …

Persistent link: https://www.econbiz.de/10011527087

Are Asset Price Data Informative About News Shocks? A DSGE Perspective

Iskrev, Nikolay I. - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This … models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with … business cycle models with news shocks. The contribution of asset prices is found to be relatively small. The methodology is …

Persistent link: https://www.econbiz.de/10012916362

Expectation driven business cycles with limited enforcement

Walentin, Karl - 2009

response to positive news about future productivity, as well as the other properties of an expectation driven business cycle …

Persistent link: https://www.econbiz.de/10010320759