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The Role of Finance in Economic Development : Benefits, Risks, and Politics

Beck, Thorsten - Tilburg University, Center for Economic Research - 2011

economic development and growth. The financial system, however, is also subject to boom and bust cycles and fragility, with … related strands of literature – the finance and growth literature, the literature on financial fragility, and the politics and …

Persistent link: https://www.econbiz.de/10011092153

Welfare effects of income taxation in a model of stochastic growth

Clemens, Christiane; Soretz, Susanne - 1997

This paper analyzes growth and welfare effects of income taxation in a stochastic endogenous growth model with … effect on the expected growth rate. Paradoxically, this may induce welfare gains. The opposite results can be derived for a … ascribed to the specific int eraction of consumption and portfolio choice in the determination of growth and welfare. …

Persistent link: https://www.econbiz.de/10011526591

Threshold bipower variation and the impact of jumps on volatility forecasting

Corsi, Fulvio; Pirino, Davide; Reno, Roberto - 2010

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...

Persistent link: https://www.econbiz.de/10010328432

Gambling for dollars: Strategic hedge fund manager investment

Bernhardt, Dan; Nosal, Ed - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it. We impose only the minimal restrictions on the...

Persistent link: https://www.econbiz.de/10010352178

Asset prices and current account fluctuations in G7 economies

Fratzscher, Marcel; Straub, Roland - 2009

The paper analyses the effect of equity price shocks on current account positions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identification of asset price shocks and to test empirically for their effect on current accounts. Such shocks...

Persistent link: https://www.econbiz.de/10011605060

Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies

Apostolou, Apostolos; Beirne, John - 2017

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...

Persistent link: https://www.econbiz.de/10011667194

What drives episodes of settlement fails in the government of Canada bond market?

Fontaine, Jean-Sébastien; Pinnington, James; Walton, Adrian - 2017

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. First, we find that fails are more likely following the release of surprise...

Persistent link: https://www.econbiz.de/10012014437

The impact of government debt supply on bond market liquidity: An empirical analysis of the Canadian market

Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018

This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...

Persistent link: https://www.econbiz.de/10012014490

Constrained efficiency with adverse selection and directed search

Davoodalhosseini, S. Mohammad R. - 2017

Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment. When...

Persistent link: https://www.econbiz.de/10012014542

A primer on the Canadian bankers' acceptance market

McRae, Kaetlynd; Auger, Danny - 2018

industry consolidation. With the market's continued growth, BAs account for the greatest portion of money market instruments …

Persistent link: https://www.econbiz.de/10012029819