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We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. (...)
This paper analyzes the impact of capital adequacy regulation on bank insolvency and aggregate investment.
Eine Unternehmung ist liquide, wenn sie zu jedem Zeitpunkt alle zwingend fälligen Zahlungsverpflichtungen uneingeschränkt erfüllen kann. Liquidität wird als notwendige Bedingung für die Existenz einer Unternehmung gesehen. (...)
This paper studies ’Stylised Facts’ and ’Determinants’ of short-and long-termCDS-spreads of banks. As short-term spreads we choose 6M-, as long-termspreads we choose 5Y-spreads. In the section ’Stylised Facts’ we found thatthe correlation between short- and long-term spreads for the...
Some traders estimate precipitation derivatives to have a potential which increases even thatof temperature derivatives. Precipitation derivatives can be used both for hedging and marketingpurposes for a diverse number of possible end users. However, the complex way ofmeasuring precipitation,...
The aim of this note is to provide an overview of various measures of “excess liquidity”,which can be defined as the deviation of the actual stock of money from an estimated equilibriumlevel. Given their dynamic nature, the excess liquidity measures under review are - in thelight of long and...
One major outcome of the review of the ECB’s “two pillar monetary policy strategy”, whichwas published on 8 May 2003, has been the de facto downgrading of the hitherto prominentrole assigned to the stock of money. According to the authors’ judgement, however, there is astrong theoretical...
We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...
´Die Finanzkrise hat gezeigt, dass ein Systemmit immer ungleicherer Einkommens- undVermögensverteilung nicht stabil ist. DieÜberwindung muss an dieser Krisenursacheansetzen und sollte nicht das Modellkreditgetriebenen Wachstums an sichuntergraben. Die Einkommen der Schuldnermüssen wachsen...
Global liquidity expansion has been very dynamic since 2001. Contrary to conventionalwisdom, high money growth rates have not coincided with a concurrent rise in goodsprices. At the same time, however, asset prices have increased sharply, significantlyoutpacing the subdued development in...