Narrow search
Showing 81 - 90 of 189,427
Cover Image
Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Xiao, Tim - 2015
This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than...
Persistent link: https://www.econbiz.de/10013035532
Cover Image
Optimal monetary policy in a monetary union with housing and credit market heterogeneity
Elstner, Steffen; Hristov, Nikolay; Hülsewig, Oliver; … - 2010
. Households trade nominal private debt in equilibrium, with the borrowers being subject to a collateral constraint, which is tied …
Persistent link: https://www.econbiz.de/10011389355
Cover Image
Collateral Booms and Information Depletion
Asriyan, Vladimir - 2019
projects. In equilibrium, the collateralization-screening mix depends on the value of aggregate collateral. High collateral … important dynamic implications. During credit booms driven by high collateral values (e.g. real estate booms), the economy … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …
Persistent link: https://www.econbiz.de/10012897328
Cover Image
Collateral Booms and Information Depletion
Asriyan, Vladimir - 2019
projects. In equilibrium, the collateralization-screening mix depends on the value of aggregate collateral. High collateral … important dynamic implications. During credit booms driven by high collateral values (e.g. real estate booms), the economy … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …
Persistent link: https://www.econbiz.de/10012872185
Cover Image
Financial market heterogeneity : implications for the EMU
Gareis, Johannes; Mayer, Eric - 2012
union. By employing a calibrated two-country New Keynesian DSGE model with collateral constraints tied to housing values, we …
Persistent link: https://www.econbiz.de/10009656103
Cover Image
A model of housing and credit cycles with imperfect market knowledge
Kuang, Pei - 2014
generate self-reinforcing booms and busts in house prices and significantly strengthen the role of collateral constraints in …
Persistent link: https://www.econbiz.de/10012010535
Cover Image
Collateral booms and information depletion
Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019
projects. In equilibrium, the collateralization-screening mix depends on the value of aggregate collateral. High collateral … important dynamic implications. During credit booms driven by high collateral values (e.g. real estate booms), the economy … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …
Persistent link: https://www.econbiz.de/10011997468
Cover Image
Behavioural credit cycles
Delli Gatti, Domenico; Iannotta, Gabriele - 2022
We explore the intertwined dynamics of asset prices and the macroeconomy in a Behavioural model of Credit Cycles (BCC) characterized by a credit friction à la Kiyotaki and Moore and heterogeneous expectations cum heuristic switching à la Brock and Hommes. This behavioural approach allows to...
Persistent link: https://www.econbiz.de/10013399768
Cover Image
Behavioural credit cycles
Delli Gatti, Domenico; Iannotta, Gabriele - 2022
We explore the intertwined dynamics of asset prices and the macroeconomy in a Behavioural model of Credit Cycles (BCC) characterized by a credit friction à la Kiyotaki and Moore and heterogeneous expectations cum heuristic switching à la Brock and Hommes. This behavioural approach allows to...
Persistent link: https://www.econbiz.de/10013380476
Cover Image
Access to Collateral and the Democratization of Credit : France's Reform of the Napoleonic Code
Aretz, Kevin - 2019
France's Ordonnance 2006-346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. Using a differences-test strategy, we show that firms operating newly-pledgeable assets significantly...
Persistent link: https://www.econbiz.de/10012903612