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We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...
Persistent link: https://www.econbiz.de/10014356281
We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...
Persistent link: https://www.econbiz.de/10014350910
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This paper provides evidence on the strategic lending decisions made by banks facing a negative funding shock. Using bank-firm level credit data, we show that banks reallocate credit within their loan portfolio in at least three different ways. First, banks reallocate to sectors where they have...
Persistent link: https://www.econbiz.de/10012893790
We use a standard macrofinancial no-arbitrage term structure model to forecast key macroeconomic variables such as GDP. Simple adaptations to the model are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the...
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