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Jirasavetakul, La-Bhus Fah; Spilimbergo, Antonio - 2018

Uncertainty over economic policy plays a key role in economic outcomes. But evidence and quantification for emerging markets are elusive because of measurement and reverse causality issues. In this paper, we construct a news-based economic policy uncertainty (EPU) index for Turkey and assess how...

Persistent link: https://www.econbiz.de/10011978593

Uncertainty and the employment dynamics of small and large businesses

Ghosal, Vivek; Ye, Yang - 2015

We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based on the survey of professional forecasters, and regressionbased forecasting models for GDP growth, inflation, S&P500 stock price index, and fuel prices. Our results indicate that...

Persistent link: https://www.econbiz.de/10010479342

Corporate investment in emerging markets : financing vs. real options channel

Li, Delong; Magud, Nicolas; Valencia, Fabian - 2015

in global interest rates and volatility. We test for the presence of (i) a financing channel originating from changes in … interest rates or volatility, while firms with stronger balance sheets become less willing to invest after volatility spikes …

Persistent link: https://www.econbiz.de/10011445568

Optimal oil production and the world supply of oil

Aleksandrov, Nikolay; Espinoza, Raphael; Gyurkó, Lajos - 2012

We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of...

Persistent link: https://www.econbiz.de/10012671531

Fixed Investment and Capital Flows : A Real Options Approach

Chan-Lau, Jorge A. - 1998

This paper draws a link between international capital flows and the real options approach to investment by extending a model of real estate investment. It explains gradual investment, investment booms, and investment during recessions and emphasizes sunk costs, uncertainty, and the value of...

Persistent link: https://www.econbiz.de/10014403404

Stress testing and calibration of macroprudential policy tools

Górnicka, Lucyna; Valderrama, Laura - 2020

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools....

Persistent link: https://www.econbiz.de/10012301885

Nonresident capital flows and volatility : evidence from Malaysia's local currency bond market

Grigorian, David A. - 2019

volatility. The paper provides an overview of the recent developments in the conventional debt market. It builds an empirical two … that nonresident flows are behind the observed exchange rate volatility. The results suggest that the public debt market in … Malaysia responds adequately to both pull and push factors and find no firm evidence that nonresident flows cause volatility in …

Persistent link: https://www.econbiz.de/10012001596

Remittance concentration and volatility : evidence from 72 developing countries

Hosny, Amr - 2020

, and volatility in the remittance-sending country …

Persistent link: https://www.econbiz.de/10012252729

The Macroeconomic Effects of Public Investment : Evidence from Advanced Economies

Abiad, Abdul - 2015

This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that...

Persistent link: https://www.econbiz.de/10014412096

Dynamic Loan Loss Provisioning : Simulations on Effectiveness and Guide to Implementation

Wezel, Torsten - 2012

This simulation-based paper investigates the impact of different methods of dynamic provisioning on bank soundness and …

Persistent link: https://www.econbiz.de/10014412159