Showing 1 - 10 of 59
Loan syndication increases bank interconnectedness through co-lending relationships. We study the financial stability implications of such dependency on syndicate partners in the presence of shocks to banks' capital. Model simulations in a network setting show that such shocks can produce rare...
Persistent link: https://www.econbiz.de/10011144120
TWe estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation of...
Persistent link: https://www.econbiz.de/10009649578
Tails in the distribution of JPY/USD exchange rate returns are well approximated by an exponentially dampened power-law. Distribution parameter estimates indicate that yen appreciation jumps belong to a Levy process with unbounded variation, suggesting that same mechanism may be responsible for...
Persistent link: https://www.econbiz.de/10008864867
Price limits are automated mechanisms that pre-specify the maximum daily percentage range - upwards and downwards - in which security prices are allowed to move within a single day. I examine if the price limits /-8% of the Athens Stock Exchange (ASE) for the bubble period 1998-2001 had an...
Persistent link: https://www.econbiz.de/10012712927
Persistent link: https://www.econbiz.de/10005462254
This study examines the response of aggregate consumption to active labor market policies that reduce unemployment. We develop a dynamic general equilibrium model with heterogeneous agents and uninsurable unemployment as well as policy regime shocks to quantify the consumption effects of policy....
Persistent link: https://www.econbiz.de/10011096091
This paper presents a dynamic general equilibrium model with heterogeneous firms and entrepreneur's portfolio choice. We analytically show that this model generates the Pareto distribution of top income earners and Zipf's law of firms at the steady state. The differential equation for the...
Persistent link: https://www.econbiz.de/10011111065
In science, research teams are increasing in size, which suggests that science is becoming more organisational. This paper aims to empirically investigate the effects of the division of labour in management and science on serendipity, which has been considered one of the great factors in...
Persistent link: https://www.econbiz.de/10011263814
This paper demonstrates that the interactions of firm-level indivisible investments give rise to aggregate fluctuations without aggregate exogenous shocks. I develop a method to derive the distribution of aggregate capital growth rate by embedding a fictitious tatonnement in a branching process....
Persistent link: https://www.econbiz.de/10011081763
This paper quantifies the spillover effect of local exogenous shocks, such as earthquakes, to other firms through supply chain networks. Combining micro data on a large-scale inter-firm transaction network and geographic information on firm location, we examine the firm level impact of supply...
Persistent link: https://www.econbiz.de/10011085149