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Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This … paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of …

Persistent link: https://www.econbiz.de/10011145419

Capital Markets and the Instability of Open Economies

Aghion, Philippe; Bacchetta, Philippe; Banerjee, Abhijit - C.E.P.R. Discussion Papers - 1999

-tradeable being an input to the production of the tradeable. We also assume that firms face credit constraints, with the constraint …

Persistent link: https://www.econbiz.de/10005136559

Macro-Financial Linkages: evidence from country-specific VARs

Guarda, Paolo; Jeanfils, Philippe - C.E.P.R. Discussion Papers - 2012

account for 12% of GDP variance and real house prices for 9%). Shocks to the term spread or to leverage (credit-to-GDP ratio …

Persistent link: https://www.econbiz.de/10011083242

Managing Credit Bubbles

Martin, Alberto; Ventura, Jaume - C.E.P.R. Discussion Papers - 2014

We study a dynamic economy where credit is limited by insufficient collateral and, as a result, investment and output … are too low. In this environment, changes in investor sentiment or market expectations can give rise to credit bubbles …, that is, expansions in credit that are backed not by expectations of future profits (i.e. fundamental collateral), but …

Persistent link: https://www.econbiz.de/10011084138

Asset Prices and Business Cycles with Costly External Finance

Gomes, Joao F; Yaron, Amir; Zhang, Lu - C.E.P.R. Discussion Papers - 2003

This Paper asks whether the asset pricing fluctuations induced by the presence of costly external finance are empirically plausible. To accomplish this, we incorporate costly external finance into a dynamic stochastic general equilibrium model and explore its implications for the properties of...

Persistent link: https://www.econbiz.de/10005667119

Terms of Trade Shocks in an Intertemporal Model: Should We Worry about the Dutch Disease or Excessive Borrowing?

Kuralbayeva, Karlygash; Vines, David - C.E.P.R. Discussion Papers - 2006

This paper analyzes the impact of terms of trade and risk-premium shocks on a small open economy in an intertemporal, Dutch disease model, with international capital mobility. It is shown that when the economy experiences a permanent improvement in the terms of trade, the Dutch disease effect...

Persistent link: https://www.econbiz.de/10005504657

Parameter Instability, Model Uncertainty and the Choice of Monetary Policy

Favero, Carlo A.; Milani, Fabio - C.E.P.R. Discussion Papers - 2005

This paper starts from the observation that parameter instability and model uncertainty are relevant problems for the analysis of monetary policy in small macroeconomic models. We propose to deal with these two problems by implementing a novel ‘thick recursive modelling’ approach. At each...

Persistent link: https://www.econbiz.de/10005498117

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...

Persistent link: https://www.econbiz.de/10011083240

Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone

Martin, Philippe; Philippon, Thomas - C.E.P.R. Discussion Papers - 2014

We provide a first comprehensive account of the dynamics of Eurozone countries from the creation of the Euro to the Great recession. We model each country as an open economy within a monetary union and analyze the dynamics of private leverage, fiscal policy and spreads. Our parsimonious model...

Persistent link: https://www.econbiz.de/10011084051

International Capital Flows with Limited Commitment and Incomplete Markets

von Hagen, Jürgen; Zhang, Haiping - C.E.P.R. Discussion Papers - 2012

different productivity, which creates a wedge between the interest rates on equity capital vs. credit capital; while incomplete …

Persistent link: https://www.econbiz.de/10011084189