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Analysis of monetary policy responses after financial market crises in a continuous time New Keynesian Model
Hayo, Bernd; Niehof, Britta - 2014 - This version: 24 March 2014
financial crisis. The effect of bubbles on stock and housing markets and their transmission to the domestic real economy and the …
Persistent link: https://www.econbiz.de/10010336205
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Analysis of Monetary Policy Responses after Financial Market Crises in a Continuous Time New Keynesian Model
Hayo, Bernd - 2016
two open economies. Our focus is on how stock and housing market bubbles are transmitted to and affect the domestic real …
Persistent link: https://www.econbiz.de/10013000540
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Bubbles, Crashes and the Financial Cycle : Insights from a Stock-Flow Consistent Agent-Based Macroeconomic Model
van der Hoog, Sander - 2015
This paper explores how different credit market and banking regulations affect business fluctuations. Capital adequacy and reserve requirements are analysed for their effect on the risk of severe downturns. We develop an agent-based macroeconomic model in which financial contagion is transmitted...
Persistent link: https://www.econbiz.de/10013021276
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Stochastic Default Risk Estimation : Evidence from the South African Financial Market
Alfeus, Mesias; Kirsty, Fitzhenry; Lederer, Alessia - 2022
The present paper provides empirical studies to estimate defaultable bonds in the South African financial market. The main goal is to estimate the unobservable factors affecting bond yields for South African major banks. The maximum likelihood approach is adopted for the estimation methodology....
Persistent link: https://www.econbiz.de/10013297153
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Financial Bubbles in Interbank Lending
Corrado, Luisa - 2018
nancial bubbles generated in the banking sector and to mitigate the adverse effects of fi nancial repression after a bubble …
Persistent link: https://www.econbiz.de/10012922516
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Asset prices, inflation and monetary control : re-inventing money as a policy tool
Spahn, Peter - 2010
emergence of bubbles because interest rates and risk premia appear to be low. A further factor driving asset demand is easy …
Persistent link: https://www.econbiz.de/10010208776
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Financial bubbles in interbank lending
Corrado, Luisa; Schuler, Tobias - 2018
financial bubbles generated in the banking sector and to mitigate the adverse effects of financial repression after a bubble …
Persistent link: https://www.econbiz.de/10011816826
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Changes in repo markets and the necessity for CCPs in Korea
Yoon, Sun-Joong - In: Journal of derivatives and quantitative studies 32 (2024) 1, pp. 2-22
In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets. The systemic risks inherent in repo markets were first highlighted by the global financial crisis and, as a response, global financial...
Persistent link: https://www.econbiz.de/10014497119
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How market intervention can prevent bubbles and crashes
Westphal, Rebecca; Sornette, Didier - 2020
Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we … demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles … bubbles by forming an expectation of the future return of the risky asset in the form of an exponential moving average of the …
Persistent link: https://www.econbiz.de/10012271219
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Why Topological Data Analysis Detects Financial Bubbles?
Akingbade, Samuel W.; Gidea, Marian; Manzi, Matteo; … - 2023
) model, which characterizes financial bubbles as super-exponential growth (or decay) of an asset price superimposed with … illustrate this approach on a sample of positive and negative bubbles in the Bitcoin historical price …
Persistent link: https://www.econbiz.de/10014351012