Similar Search Results

Rodríguez López, Antonio - 2016

the international allocation of economic activity. Private assets’ liquidity properties - their usefulness as collateral … entry, production, aggregate productivity, and total market capitalization. In a closed economy, the liquidity market …, cross-country differences in financial development|as measured by the degree of liquidity of a country’s assets - generate …

Persistent link: https://www.econbiz.de/10011587546

Optimal risk-sharing in mortgage contracts : the effects of potential prepayment and default

Brueckner, Jan K.; Lee, Kangoh - 2014

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...

Persistent link: https://www.econbiz.de/10010412302

Demography and provisions for retirement : the pension composition, a behavioral approach

Praag, Bernard M. S. van; Hop, J. Peter - 2020

Pensions may be provided for in a modern society by a mix of several methods, namely by voluntary individual savings, mandatory fully-funded occupational pension systems, mandatory social security financed by pay-as-you-go, and old-fashioned hoarding in cash. Here, we call the specific mixture...

Persistent link: https://www.econbiz.de/10012154725

Analysis of monetary policy and financial stability : a new paradigm

Goodhart, Charles A. E.; Osorio, Carolina; Tsomocos, … - 2009

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for … the economy. Due to liquidity and endogenous default, the transmission mechanism of shocks is well defined, and their …

Persistent link: https://www.econbiz.de/10003923247

Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

Persistent link: https://www.econbiz.de/10011897589

Market depth, leverage, and speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2017

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size. In a bubble, traders push the asset price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously...

Persistent link: https://www.econbiz.de/10011780495

The effect of monetary unification on public debt and its real return

Beetsma, Roel (contributor); Vermeylen, Koen (contributor) - 2005

We explore the implications of monetary unification for real interest rates and (relative) public debt levels. The adoption of a common monetary policy renders the risk-return characteristics of the participating countries more similar, so that the substitutability of their public debt increases...

Persistent link: https://www.econbiz.de/10002578027

S-based taxation under default risk

Panteghini, Paolo (contributor) - 2005

This article studies the characteristics of a S-based tax system under default risk. In particular we show that its neutrality properties depend on whether debt is protected or unprotected. In the former case, this system is neutral. In the latter case, where default timing is optimally chosen...

Persistent link: https://www.econbiz.de/10003112561

Categorical thinking about interest rates

Shue, Kelly; Townsend, Richard R.; Wang, Chen - 2024

We identify a common misconception that expected future changes in short-term interest rates predict corresponding future changes in long-term interest rates. People forecast similar shapes for the paths of short and long rates over the next four quarters. This is a mistake because long rates...

Persistent link: https://www.econbiz.de/10015164603

External sovereign debt in a monetary union : bailouts and the role of corruption

Achury, Carolina; Koulovatianos, Christos; Tsoukalas, … - 2011

We build a tractable stylized model of external sovereign debt and endogenous international interest rates. In corrupt economies with rent-seeking groups stealing public resources, a politico-economic equilibrium is characterized by permanent fiscal impatience which leads to excessive issuing of...

Persistent link: https://www.econbiz.de/10009240852