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Financial frictions and regime switching : the role of collateral asset in emerging stock market

Awijen, Haithem; Hammami, Sami - 2017

This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...

Persistent link: https://www.econbiz.de/10011609272

Housing market dynamics : on the contribution of income shocks and credit constraint

Ortalo-Magné, François; Rady, Sven - 2005

We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria which replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model...

Persistent link: https://www.econbiz.de/10010343962

Housing market dynamics : on the contribution of income shocks and credit constraints (revised version)

Ortalo-Magné, François; Rady, Sven - 2005

Persistent link: https://www.econbiz.de/10010440424

Arbitrage crashes, financial accelerator, and sudden market freezes

Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …

Persistent link: https://www.econbiz.de/10011875637

Behavioural credit cycles

Delli Gatti, Domenico; Iannotta, Gabriele - 2022

We explore the intertwined dynamics of asset prices and the macroeconomy in a Behavioural model of Credit Cycles (BCC) characterized by a credit friction à la Kiyotaki and Moore and heterogeneous expectations cum heuristic switching à la Brock and Hommes. This behavioural approach allows to...

Persistent link: https://www.econbiz.de/10013380476

Behavioural credit cycles

Delli Gatti, Domenico; Iannotta, Gabriele - 2022

Persistent link: https://www.econbiz.de/10013399768

The Aino 3.0 model

Silvo, Aino; Verona, Fabio - 2020

In this paper we present Aino 3.0, the latest vintage of the dynamic stochastic general equilibrium (DSGE) model used at the Bank of Finland for policy analysis. Aino 3.0 is a small-open economy DSGE model at the intersection of the recent literatures on so-called TANK (“Two-Agent New...

Persistent link: https://www.econbiz.de/10012225376

Business Fluctuations and Leverage in the Collateral Constraints

Nah, Won Jun - 2015

of financial leverage. The degree of leverage is shown to be an important factor in the amplifying role of collateral … the interactions between investment and collateral price, the endogenous accumulation of collateral asset is shown to be … an alternative channel through which the business cycle effects of collateral constraints are generated. On the other …

Persistent link: https://www.econbiz.de/10013039013

Interest Rate Dynamics, Variable-Rate Loan Contracts, and the Business Cycle

Pintus, Patrick A. - 2019

The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates forecast booms in GDP, consumption, investment, and employment. We show that a Kiyotaki-Moore...

Persistent link: https://www.econbiz.de/10012903888

Collateral, Leverage, and the Business Cycle

Xing, Xiaochuan - 2022

I construct an infinite-horizon dynamic stochastic general equilibrium model with a collateral constraint and actual … taking into account the non-linear payoffs of the collateralized debt contracts and the scarcity of collateral, borrowers and … the senior tranche to the price of the junior tranche of collateral. Therefore, leverage is pro-cyclical if there is more …

Persistent link: https://www.econbiz.de/10013406066