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Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans

Acharya, Viral V; Eisert, Tim; Eufinger, Christian; … - C.E.P.R. Discussion Papers - 2014

This paper shows that the sovereign debt crisis and the resulting credit crunch in the periphery of the Eurozone lead to negative real effects for borrowing firms. Using a hand matched sample of loan information from Dealscan and accounting information from Amadeus, we show that firms with a...

Persistent link: https://www.econbiz.de/10011083702

On the Real Effects of Monetary Policy: A Central Banker's View

Vallés Liberal, Javier; Viñals, José - C.E.P.R. Discussion Papers - 1999

This paper is an attempt to provide an updated assessment of what we know and what do not know about the impact of monetary policy on the economy and what implications follow for the conduct of monetary policy in today's world. Firstly, we discuss the conditions under which monetary policy can...

Persistent link: https://www.econbiz.de/10005114302

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

regulations, alter financial institutions’ trading behavior. The insurance industry provides a natural laboratory to explore these …

Persistent link: https://www.econbiz.de/10011186617

Insider Trading in the Bond Market: Evidence from Loan Sale Events

Massa, Massimo; Schmidt, Daniel - C.E.P.R. Discussion Papers - 2015

We investigate the pricing implications of the parallel trading of loans and bonds of the same firm. We show that loan, by making lenders share sensitive information about the borrower with the loan market participants, lower the information advantage of the asset managers affiliated to the...

Persistent link: https://www.econbiz.de/10011186624

Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy

Acharya, Viral V; Carpenter, Jennifer - C.E.P.R. Discussion Papers - 2002

This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate bond sensitivity to interest rates and firm...

Persistent link: https://www.econbiz.de/10005123555

Risk Sharing and Industrial Specialization: Regional and International Evidence

Sørensen, Bent E; Yosha, Oved - C.E.P.R. Discussion Papers - 1999

We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested before. Our empirical procedure is summarized as follows. First, we construct a measure of...

Persistent link: https://www.econbiz.de/10005504254

The Empirical Importance of Precautionary Saving

Gourinchas, Pierre-Olivier; Parker, Jonathan A - C.E.P.R. Discussion Papers - 2001

extant research on consumption insurance find that people face substantial risks that they do not fairly pool. In theory, the …

Persistent link: https://www.econbiz.de/10005504693

Insurance companies of the poor

Bold, Tessa; Dercon, Stefan - C.E.P.R. Discussion Papers - 2014

We model the emergence of formal insurance institutions as equilibria under limited contract enforceability where … formal and informal groups without requiring heterogeneity in insurance demand, because coalition-proof equilibria can fail … to exist. It also predicts where formal insurance is likely to flourish: insurance groups that hold savings become more …

Persistent link: https://www.econbiz.de/10011096095

Time Inconsistent Preferences and the Annuitization Decision

Schreiber, Philipp; Weber, Martin - C.E.P.R. Discussion Papers - 2015

When entering retirement most people face the decision whether they would like their defined contribution account balance paid as a lump sum or to annuitize the amount. The fact that people tend to choose the lump sum even if economic reasons suggest not to is called the annuity puzzle. In a...

Persistent link: https://www.econbiz.de/10011165648