Showing 1 - 10 of 463
Persistent link: https://www.econbiz.de/10004191633
We develop a small open economy macroeconomic model where financial conditions influence aggregate behavior. Our goal is to explore the connection between the exchange rate regime and financial distress. We first show that a calibrated version of the model captures well the behavior of the...
Persistent link: https://www.econbiz.de/10005530196
Building on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a "bubble," or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to...
Persistent link: https://www.econbiz.de/10005420648
This paper incorporates a financial accelerator mechanism in a small open economy macro model with money and nominal price rigidities. Our goal is to explore the connection between financial distress that feeds into the real economy and the exchange rate regime. Our principle finding is that...
Persistent link: https://www.econbiz.de/10005372692
This paper introduces Heckscher-Ohlin trade features into a two-country dynamic stochastic general equilibrium model, and studies the international transmission of productivity shocks through trade in goods. This framework improves upon existing international real business cycle models in that...
Persistent link: https://www.econbiz.de/10004970364
This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury...
Persistent link: https://www.econbiz.de/10011107228
This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury...
Persistent link: https://www.econbiz.de/10011163836
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondayr bond...
Persistent link: https://www.econbiz.de/10011080474
The canonical framework used to price risky debt implies that the payoff structure of levered equity resembles the payoff of a call option, while the bondholders face a payoff structure that is equivalent to that of an investor writing a put option. As a result, an increase in the payoff...
Persistent link: https://www.econbiz.de/10011080661
We develop an accounting methodology to map observed differences in borrowing costs into measures of aggregate resource misallocation that may plausibly be attributed to financial market imperfections. Using a log-normal approximation we show that this resource misallocation may be inferred from...
Persistent link: https://www.econbiz.de/10011081348