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On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

Diebold, Francis; Strasser, Georg - National Bureau of Economic Research (NBER) - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10008683258

Credit, Financial Stability, and the Macroeconomy

Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2015

Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...

Persistent link: https://www.econbiz.de/10011207908

Central Clearing and Collateral Demand

Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - National Bureau of Economic Research (NBER) - 2014

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...

Persistent link: https://www.econbiz.de/10010951173

Credit Constraints, Heterogeneous Firms, and International Trade

Manova, Kalina - National Bureau of Economic Research (NBER) - 2008

This paper examines the detrimental consequences of financial market imperfections for international trade. I develop a heterogeneous-firm model with countries at different levels of financial development and sectors of varying financial vulnerability. Applying this model to aggregate trade...

Persistent link: https://www.econbiz.de/10005720470

Banks, Market Organization, and Macroeconomic Performance: An Agent-Based Computational Analysis

Howitt, Peter; Ashraf, Quamrul; Gershman, Boris - National Bureau of Economic Research (NBER) - 2011

This paper is an exploratory analysis of the role that banks play in supporting the mechanism of exchange. It considers a model economy in which exchange activities are facilitated and coordinated by a self-organizing network of entrepreneurial trading firms. Collectively, these firms play the...

Persistent link: https://www.econbiz.de/10009652786

Off the Cliff and Back? Credit Conditions and International Trade during the Global Financial Crisis

Chor, Davin; Manova, Kalina - National Bureau of Economic Research (NBER) - 2010

We study the collapse of international trade flows during the global financial crisis using detailed data on monthly US imports. We show that credit conditions were an important channel through which the crisis affected trade volumes, by exploiting the variation in the cost of capital across...

Persistent link: https://www.econbiz.de/10008619288

An Autopsy of the U.S. Financial System

Levine, Ross - National Bureau of Economic Research (NBER) - 2010

In this postmortem, I find that the design, implementation, and maintenance of financial policies during the period from 1996 through 2006 were primary causes of the financial system's demise. The evidence is inconsistent with the view that the collapse of the financial system was caused only by...

Persistent link: https://www.econbiz.de/10008624572

Predatory Short Selling

Brunnermeier, Markus K.; Oehmke, Martin - National Bureau of Economic Research (NBER) - 2013

Financial institutions may be vulnerable to predatory short selling. When the stock of a financial institution is shorted aggressively, leverage constraints imposed by short-term creditors can force the institution to liquidate long-term investments at fire sale prices. For financial...

Persistent link: https://www.econbiz.de/10010699609

Financial Development and Output Growth in Developing Asia and Latin America: A Comparative Sectoral Analysis

Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun - National Bureau of Economic Research (NBER) - 2015

We use data from the Groningen Growth and Development Centre (GGDC) database to perform preliminary empirical analysis of the interplay between quality and quantity of finance in accounting for the output growth of ten sectors. We review the existing literature and some salient open questions...

Persistent link: https://www.econbiz.de/10011159905

Do Funds Make More When They Trade More?

Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A. - National Bureau of Economic Research (NBER) - 2014

We find that active mutual funds perform better after trading more. This time-series relation between a fund’s turnover and its subsequent benchmark-adjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify...

Persistent link: https://www.econbiz.de/10011166131