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Investment, protection, ownership, and the cost of capital

Himmelberg, Charles P.; Hubbard, R. Glenn; Love, Inessa - 2002

We investigate the cost of capital in a model with an agency conflict between inside managers and outside shareholders. Inside ownership reflects the classic tradeoff between incentives and risk diversification, and the severity of agency costs depends on a parameter representing investor...

Persistent link: https://www.econbiz.de/10011506547

Structural modelling of investment and financial constraints: Where do we stand?

Chatelain, Jean-Bernard - 2002

This paper surveys issues with respect to the structural modelling of econometric tests of investment facing financial constraints, to their link with firms data and assets prices, and to their impact in macroeconomic modelling. The key issue is to ground much more the interpretation of the...

Persistent link: https://www.econbiz.de/10011506550

An estimated dynamic stochastic general equilibrium model of the euro area

Smets, Frank; Wouters, Raf - 2002

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10011506557

Modeling the Term Structure of Interest Rates: Where Do We Stand?

Maes, Konstantijn - 2004

No-arbitrage term structure models are becoming increasingly important to policy makers and practitioners alike. Several factors justify this trend. First, modeling progress has been tremendous over the last years, allowing a much better fit of actual yield curve dynamics and increased model...

Persistent link: https://www.econbiz.de/10011506564

Financial consolidation and liquidity: prudential regulation and/or competition policy?

Van Cayseele, Patrick - 2004

A model of loan rate competition with liquidity provision by banks is used to study bank mergers. Both loan rate competition and liquidity needs are seen to be "localised" phenomena. This allows for tracing down the effects of particular types of bank mergers. As such, we contrast the effects of...

Persistent link: https://www.econbiz.de/10011506572

Regulating Financial Conglomerates

Freixas, Xavier; Lóránth, Gyöngyi; Morrison, Alan D.; … - 2004

We analyse a model of financial intermediation in which intermediaries are subject to moral hazard and they do not invest socially optimally, because they ignore the systemic costs of failure and, in the case of banks, because they fail to account for risks which are assumed by the deposit...

Persistent link: https://www.econbiz.de/10011506576

Liquidity and Financial Market Stability

O'Hara, Maureen - 2004

Liquidity occupies a central importance for many areas of finance. But there are very disparate views of liquidity, and correspondingly many different policy implications attached to these views. In this paper, I consider the many faces of liquidity and their implications for financial market...

Persistent link: https://www.econbiz.de/10011506577

Determinants of Euro Term Structure of Credit Spreads

Van Landschoot, Astrid - 2004

In this paper, we analyze wether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for different rating categories by applying an extension of the...

Persistent link: https://www.econbiz.de/10011506579

Liberalisation of network industries: Is the electricity sector an exception to the rule?

Coppens, François; Vivet, David - 2004

having some special characteristics. Network externalities and economies of scale in particular justified the (natural … telecommunications is in line with micro-economic theory, which predicts an increase in efficiency and lower prices when markets are … the internalisation of externalities (see the Kyoto protocol) and the debate on nuclear energy. These elements could exert …

Persistent link: https://www.econbiz.de/10011506581

Forecasting with a Bayesian DSGE Model: an application to the euro area

Smets, Frank; Wouters, Raf - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian...

Persistent link: https://www.econbiz.de/10011506582