Similar Search Results

Indeterminacy of rational expectations equilibria in sequential financial markets

Donati, Paola - 2003

Persistent link: https://www.econbiz.de/10011604308

Optimal level of government debt - matching wealth inequality and the fiscal sector

Vogel, Edgar - 2014

We calibrate an incomplete markets large scale OLG model to the US income and wealth distribution and examine the effects of alternative government debt levels and adjustment policies on macroeconomic aggregates and welfare. We find that the government should hold negative debt. Due to the high...

Persistent link: https://www.econbiz.de/10011605710

Leveraged property cycles

Jaccard, Ivan - 2021

pecuniary externality generates large reductions in the volatility of real estate prices and credit. Therefore, policies that …

Persistent link: https://www.econbiz.de/10012515460

High Frequency Trading and Fragility

Cespa, Giovanni - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Persistent link: https://www.econbiz.de/10012963014

The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10013111946

Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?

Oprica, Silviu - 2019

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

Persistent link: https://www.econbiz.de/10012871121

Disentangling the Role of the Exchange Rate in Oil-Related Scenarios for the European Stock Market

Ojea Ferreiro, Javier - 2021

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10013315362

Comovements in Volatility in the Euro Money Market

Cassola, Nuno; Morana, Claudio - 2021

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …

Persistent link: https://www.econbiz.de/10013317311

Financial frictions: Micro vs macro volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10012819036

HANK faces unemployment

Consolo, Agostino; Hänsel, Matthias - 2024

Since the advent of Heterogeneous Agent New Keynesian (HANK) models, countercyclical unemployment risk has been deemed an important amplification mechanism for business cycles shocks. Yet, the aggregate effects of such "unemployment fears" are hard to pin down. We thus revisit this issue in the...

Persistent link: https://www.econbiz.de/10015199489