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Structural balances and revenue windfalls: the role of asset prices revisited

Morris, Richard; Schuknecht, Ludger - 2007

In this paper we revisit one of the “missing links” between budget balances and the economic cycle, namely the impact of asset prices on fiscal revenues. We estimate revenue elasticities with respect to equity and real estate price indices for 16 OECD countries, as well as for a synthetic...

Persistent link: https://www.econbiz.de/10011604783

Structural Balances and Revenue Windfalls : The Role of Asset Prices Revisited

Morris, Richard - 2007

In this paper we revisit one of the quot;missing linksquot; between budget balances and the economic cycle, namely the impact of asset prices on fiscal revenues. We estimate revenue elasticities with respect to equity and real estate price indices for 16 OECD countries, as well as for a...

Persistent link: https://www.econbiz.de/10012777412

Asset Pricing and Housing Supply in a Production Economy

Jaccard, Ivan - 2012

We develop a representative agent model of a production economy in order to explain the joint dynamics of house prices and equity returns. In a model generating costly business cycle fluctuations, we find that restrictions on housing supply have important implications for asset pricing. Together...

Persistent link: https://www.econbiz.de/10013103615

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10011605106

Detecting and Interpreting Financial Stress in the Euro Area

Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10013142439

What Explains Global Exchange Rate Movements during the Financial Crisis

Fratzscher, Marcel - 2009

Persistent link: https://www.econbiz.de/10013159289

Fire Sales by Euro Area Banks and Funds : What is Their Asset Price Impact?

Mirza, Harun; Moccero, Diego; Palligkinis, Spyros; … - 2021

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks...

Persistent link: https://www.econbiz.de/10013314925

The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09

Ejsing, Jacob; Lemke, Wolfgang - 2009

As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...

Persistent link: https://www.econbiz.de/10011605173

Macroeconomic effects of secondary market trading

Neuhann, Daniel - 2017

This paper develops a theory of the credit cycle to account for recent evidence that capital is increasingly allocated to inefficiently risky projects over the course of the boom. The model features lenders who sell risk exposure to non-lender investors in order to relax borrowing constraints,...

Persistent link: https://www.econbiz.de/10011667199

Securitization and lending standards: evidence from the wholesale loan market

Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011

We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10011605408