Narrow search
Showing 81 - 90 of 757,170
Cover Image
Monetary policy through production networks : evidence from the stock market
Ozdagli, Ali; Weber, Michael - 2017 - This version: May 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/10011657891
Cover Image
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
Cover Image
Equilibrium Yield Curves with Imperfect Information
Tanaka, Hiroatsu - 2022
I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...
Persistent link: https://www.econbiz.de/10014239105
Cover Image
News shocks under financial frictions : a comment on Görtz et al. (2022)
Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan - 2023
Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their...
Persistent link: https://www.econbiz.de/10014335049
Cover Image
Equilibrium Yield Curves with Imperfect Information
Tanaka, Hiroatsu - 2023
I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...
Persistent link: https://www.econbiz.de/10014254949
Cover Image
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/10013143561
Cover Image
Monetary policy through production networks: Evidence from the stock market
Ozdagli, Ali; Weber, Michael - 2017
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/10012059589
Cover Image
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/10010286546
Cover Image
Layoff Risk, the Welfare Cost of Business Cycles, and Monetary Policy
Berger, David - 2019
The strongest predictor of changes in the Fed Funds rate in the period 1982–2008 was the layoff rate. That fact is puzzling from the perspective of representative-agent models of the economy, which imply that the welfare gains of stabilizing employment fluctuations are small. This paper...
Persistent link: https://www.econbiz.de/10012903995
Cover Image
Limited Household Risk Sharing : General Equilibrium Implications for the Term Structure of Interest Rates
Mitra, Indrajit - 2020
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … the dynamics of interest rates. Our production-based model relates the cross-sectional distribution of labor income risk … to observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk …
Persistent link: https://www.econbiz.de/10012850302