We study the development of bank lending in the U.S. after four large jumps in uncertainty using an event study approach. We find that more liquid banks reduce lending less than banks with smaller liquidity ratios after a surge in uncertainty. Lending by smaller banks is also less responsive to...

We estimate the effects of stock market volatility on the growth rates of durable consumption, non-durable consumption and invest- ment using post-war US data. Our results indicate that high levels of stock market volatility exert large adverse effects on the growth rates of investment and...

We study the development of bank lending in the U.S. after four large jumps in uncertainty using an event study approach. We find that more liquid banks reduce lending less than banks with smaller liquidity ratios after a surge in uncertainty. Lending by smaller banks is also less responsive to...

This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD countries. We find that, with the exception of the United States, money market uncertainty has only a modest impact on the conditional...

In this paper we provide a review of the literature on the link between stock market volatility and aggregate demand. In particular, we focus on the implications of the so-called uncertainty hypothesis according to which it is primarily the uncertainty associated with stock market fluctuations...

This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of 10 OECD countries. We find that, with the exception of the US, money market uncertainty has only a modest impact on the conditional volatility of...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

This paper tests whether the results from standard structure-conduct-performance [SCP] models estimated at the industry level are sensitive to the degree of heterogeneity of the firms in the industries. Industries are separated into homogeneous and heterogeneous categories depending on whether...

Volatility of financial returns as a measure of risk is a key parameter in asset pricing and risk management and holding periods for financial instruments of several weeks or month are common. Nevertheless, little is known about the predictability of return volatility at longer horizons. This...

This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. We study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial...