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A contribution to the theory of financial fragility and crisis

Bhaduri, Amit - 2010

The paper examines three aspects of a financial crisis of domestic origin. The first section studies the evolution of a debt-financed consumption boom supported by rising asset prices, leading to a credit crunch and fluctuations in the real economy, and, ultimately, to debt deflation. The next...

Persistent link: https://www.econbiz.de/10003974885

Price Rigidities and Credit Risk

Augustin, Patrick; Cong, Linxiao Francis; Corhay, Alexandre - 2022

shocks and to the 2008 Lehman Brothers bankruptcy, especially when they face higher pre-shock rollover risk …

Persistent link: https://www.econbiz.de/10014238746

Show Me the Money : The Monetary Policy Risk Premium

Ozdagli, Ali K. - 2017

We study how monetary policy affects the cross-section of expected stock returns. For this purpose, we create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that are theoretically linked to how firms react to monetary policy. We find that stocks...

Persistent link: https://www.econbiz.de/10012960931

Theory and Empirics of an Affine Term Structure Model Applied to European Data

Jakas, Vicente - 2011

The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

Persistent link: https://www.econbiz.de/10013133488

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2018

Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...

Persistent link: https://www.econbiz.de/10012931110

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10012953959

Are Sticky Prices Costly? Evidence from the Stock Market

Gorodnichenko, Yuriy - 2017

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...

Persistent link: https://www.econbiz.de/10012974569

Financial Market Risk Perceptions and the Macroeconomy

Pflueger, Carolin E. - 2019

We propose a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book …-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk … directly measured from surveys and option prices is low. When perceived risk is high according to our measure, safe asset …

Persistent link: https://www.econbiz.de/10012902628

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2019

We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 60 to 85...

Persistent link: https://www.econbiz.de/10012903810

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2020

Persistent link: https://www.econbiz.de/10012853432