Similar Search Results

Asset Pricing and the Propagation of Financial Shocks

Jaccard, Ivan - 2018

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …

Persistent link: https://www.econbiz.de/10012918412

Asset Returns Under Model Uncertainty : Evidence From the Euro Area, the US and the UK

Sousa, João - 2013

risk premium. As for the US, only a few predictors play an important role. In the case of the UK, future stock returns are …

Persistent link: https://www.econbiz.de/10013078196

Monetary Policy and Stock Market Boom-Bust Cycles

Christiano, Lawrence J.; Ilut, Cosmin L.; Motto, Roberto; … - 2021

We explore the dynamic effects of news about a future technology improvement which turns out ex post to be overoptimistic. We find that it is difficult to generate a boom-bust cycle (a period in which stock prices, consumption, investment and employment all rise and then crash) in response to...

Persistent link: https://www.econbiz.de/10013316465

Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...

Persistent link: https://www.econbiz.de/10014076665

The Leverage Ratio, Risk-Taking and Bank Stability

Smith, Jonathan Acosta - 2017

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

Persistent link: https://www.econbiz.de/10012953806

Foreign Investors and Risk Shocks : Seeking a Safe Haven or Running for the Exit?

Habib, Maurizio Michael - 2013

In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks … securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived … in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not …

Persistent link: https://www.econbiz.de/10013073628

Rollover Risk, Liquidity, and Macro-Prudential Regulation

Ahnert, Toni - 2014

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to …

Persistent link: https://www.econbiz.de/10013056186

Uncertainty Shocks, Banking Frictions and Economic Activity

Bonciani, Dario - 2015

In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty...

Persistent link: https://www.econbiz.de/10013019593

Cyclical Systemic Risk and Downside Risks to Bank Profitability

Lang, Jan Hannes - 2020

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

Persistent link: https://www.econbiz.de/10012834322

European Firm Adjustment During Times of Economic Crisis

Fabiani, Silvia - 2015

This paper exploits a unique cross-country, firm-level survey to study the responses of European firms to the sharp demand and credit contraction triggered by the global Great Recession of 2009. The analysis reveals that cost reduction — particularly labour cost reduction through the...

Persistent link: https://www.econbiz.de/10013024781