Similar Search Results

A special focus on credit derivatives : where's the risk? ; [Atlanta Fed's 2007 Financial Markets Conference, "Credit Derivatives : where's the risk?" held May 14-16, 2007]

2007

Persistent link: https://www.econbiz.de/10003702303

A special focus on hedge funds : creators of risk? ; [Atlanta Fed's 2006 Financial Markets Conference, "Hedge Funds: Creators of Risk?" held May 15-18, 2006]

Dwyer, Gerald P. <jun.> (contributor) - 2006

Persistent link: https://www.econbiz.de/10003417628

Perturbation methods for Markov-switching DSGE models

Foerster, Andrew T.; Rubio-Ramirez, Juan F; Waggoner, … - Federal Reserve Bank of Atlanta - 2014

Markov-switching DSGE (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method, called...

Persistent link: https://www.econbiz.de/10011027061

The surprising use of credit scoring in small business lending by community banks and the attendant effects on credit availability and risk

Berger, Allen N.; Cowan, Adrian M.; Frame, W. Scott - Federal Reserve Bank of Atlanta - 2009

The literature has documented a positive relationship between the use of credit scoring for small business loans and small business credit availability, broadly defined. However, this literature is hampered by the fact that all of the studies are based on a single 1998 survey of the very largest...

Persistent link: https://www.econbiz.de/10004965424

Bubbles in experimental asset markets: Irrational exuberance no more

Ackert, Lucy F.; Church, Bryan K.; Deaves, Richard - Federal Reserve Bank of Atlanta - 2002

The robustness of bubbles and crashes in markets for finitely lived assets is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders will pay even higher prices for the asset...

Persistent link: https://www.econbiz.de/10005514535

Circuit breakers with uncertainty about the presence of informed agents: I know what you know . . . I think

Ackert, Lucy F.; Church, Bryan K.; Jayaraman, Narayanan - Federal Reserve Bank of Atlanta - 2002

This study conducts experimental asset markets to examine the effects of circuit breaker rules on market behavior when agents are uncertain about the presence of private information. Our results unequivocally indicate that circuit breakers fail to temper unwarranted price movements in periods...

Persistent link: https://www.econbiz.de/10005514565

Firm-level evidence on international stock market movement

Brooks, Robin; Negro, Marco Del - Federal Reserve Bank of Atlanta - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in twenty countries, we estimate a factor model that decomposes stock returns into global, country- and industry-specific...

Persistent link: https://www.econbiz.de/10005514572

The price of inflation and foreign exchange risk in international equity markets

Robotti, Cesare - Federal Reserve Bank of Atlanta - 2001

of international equity markets in which only global market risk appears to be priced. When using the Hansen … performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk. …

Persistent link: https://www.econbiz.de/10005514580

Minimum-variance kernels, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2001

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …

Persistent link: https://www.econbiz.de/10005514591

Settlement risk under gross and net settlement

Kahn, Charles M.; McAndrews, James; Roberds, William - Federal Reserve Bank of Atlanta - 1999

Previous comparative analyses of gross and net settlement have focused on the credit risk of the central counterparty … in net settlement arrangements and on the incentives for participants to alter the risk of the portfolio under net …

Persistent link: https://www.econbiz.de/10005401844