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Is the integration of world asset markets necessarily beneficial in the presence of monetary shocks?

Tille, Cédric - 2000

characterized by price rigidities. Using an open economy general equilibrium model with volatility in the money markets, we show … country where the volatility of shocks is moderate will suffer. The welfare effects reflect changes in the terms of trade that … occur because forward looking price setters adjust to the changes in exchange rate volatility brought about by the …

Persistent link: https://www.econbiz.de/10010283424

Arbitrage pricing theory

Huberman, Gur - 2005

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …

Persistent link: https://www.econbiz.de/10010283426

Are bank shareholders enemies of regulators or a potential source of market discipline?

Park, Sangkyun; Peristiani, Stavros - 2001

In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk-taking incentive is outweighed by the possibility of losing...

Persistent link: https://www.econbiz.de/10010283427

Endogenous deposit dollarization

Broda, Christian; Levy Yeyati, Eduardo - 2003

This paper explores sources of deposit dollarization unrelated to standard moral hazard arguments. We develop a model in which banks choose the optimal currency composition of their liabilities. We argue that the equal treatment of peso and dollar claims in the event of bank default can induce...

Persistent link: https://www.econbiz.de/10010283429

New evidence on the lending channel

Ashcraft, Adam B. - 2001

Do banks play a special role in the transmission mechanism of monetary policy? I use the presence of internal capital markets in bank holding companies to isolate plausibly exogenous variation in the financial constraints faced by subsidiary banks. In particular, I demonstrate that affiliated...

Persistent link: https://www.econbiz.de/10010283441

Defining and detecting predatory lending

Morgan, Donald P. - 2007

We define predatory lending as a welfare-reducing provision of credit. Using a textbook model, we show that lenders profit if they can tempt households into “debt traps,” that is, overborrowing and delinquency. We then test whether payday lending fits our definition of predatory. We find...

Persistent link: https://www.econbiz.de/10010283443

Forecasting recessions using the yield curve

Chauvet, Marcelle; Potter, Simon - 2001

We compare forecasts of recessions using four different specifications of the probit model: a time-invariant conditionally independent version, a business cycle specific conditionally independent model, a time-invariant probit with autocorrelated errors, and a business cycle specific probit with...

Persistent link: https://www.econbiz.de/10010283444

Who is afraid of the Friedman rule?

Bhattacharya, Joydeep; Haslag, Joseph; Martin, Antoine; … - 2005

We explore the connection between optimal monetary policy and heterogeneity among agents. We utilize a standard monetary economy with two types of agents that differ in the marginal utility they derive from real money balances — a framework that produces a nondegenerate stationary distribution...

Persistent link: https://www.econbiz.de/10010283445

How valuable is exchange rate flexibility? Optimal monetary policy under sectoral shocks

Tille, Cédric - 2002

The paper explores the optimal monetary policy reaction to productivity shocks in an open economy. Whereas earlier studies assume that countries specialize in producing particular goods, I enrich the analysis by allowing for incomplete specialization. I confirm the finding of Obstfeld and Rogoff...

Persistent link: https://www.econbiz.de/10010283446

Illiquidity in the interbank payment system following wide-scale disruptions

Bech, Morten L.; Garratt, Rod - 2006

We show how the interbank payment system can become illiquid following wide-scale disruptions. Two forces are at play in such disruptions—operational problems and changes in participants’ behavior. We model the interbank payment system as an n-player game and utilize the concept of a...

Persistent link: https://www.econbiz.de/10010283450