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Banks' Loan Portfolio and the Monetary Transmission Mechanism
Den Haan, Wouter; Sumner, Steven; Yamashiro, Guy - C.E.P.R. Discussion Papers - 2004
the supply of commercial and industrial (C&I) loans is constrained. Hedging and bank capital regulation provide reasons …
Persistent link: https://www.econbiz.de/10005136784
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The Econometric Analysis of Risk Terms
Pagan, Adrian; Ullah, Aman - C.E.P.R. Discussion Papers - 1986
This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most … procedure used in the paper is to directly estimate the conditional variance (risk) by non-parametric estimators. Applications … are made to foreign exchange markets, interest rates and unemployment/inflation risk relations. …
Persistent link: https://www.econbiz.de/10005498189
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Demand-Based Option Pricing
Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
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Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?
Miller, Marcus; Stiglitz, Joseph E - C.E.P.R. Discussion Papers - 2009
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to ‘overshoot’ equilibrium when an asset bubble bursts - threatening widespread insolvency and what Richard Koo calls a ‘balance sheet recession’....
Persistent link: https://www.econbiz.de/10008528524
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A Quantitative Exploration of the Opportunistic Approach to Disinflation
Aksoy, Yunus; Orphanides, Athanasios; Small, David; … - C.E.P.R. Discussion Papers - 2003
This Paper explores the quantitative implications of an approach to monetary policy that gained prominence in the United States during the 1990s. Proponents of this approach recommend that, when inflation is moderate but still above the long-run objective, the central bank should not move...
Persistent link: https://www.econbiz.de/10005123544
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Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates
Svensson, Lars E O - C.E.P.R. Discussion Papers - 1992
The paper argues that real world fixed exchange rate regimes usually have finite bands instead of completely fixed exchange rates between realignments because exchange rate bands, contrary to the textbook result, give central banks some monetary independence even with free international capital...
Persistent link: https://www.econbiz.de/10005123566
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Courts and Banks: Effects of Judicial Enforcement on Credit Markets
Bianco, Magda; Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 2002
The cost of enforcing contracts is a key determinant of market performance. We document this point with reference to the credit market in a model of opportunistic debtors and inefficient courts. According to the model, improvements in judicial efficiency should reduce credit rationing and...
Persistent link: https://www.econbiz.de/10005123567
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Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?
Hodrick, Robert J; Vassalou, Maria - C.E.P.R. Discussion Papers - 2001
This Paper examines characterizations of the dynamics for first and second moments of the one-month interest rate, the 12-month excess bond return and exchange rates. The countries considered are the US, Germany, Japan and the UK. Our tests are based on the implications of multi-country versions...
Persistent link: https://www.econbiz.de/10005123846
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Government Risk Premiums in the Bond Market: EMU and Canada
Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - C.E.P.R. Discussion Papers - 2007
This paper focuses on risk premiums paid by central governments in Europe and sub-national governments in Germany … that risk premiums incurred by central governments of EU member states respond positively to central government debts and … the financial markets before EMU as their risk premiums did not respond to fiscal balances. This special status seems to …
Persistent link: https://www.econbiz.de/10005067641
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Testing Uncovered Interest Parity: A Continuous-Time Approach
Diez de los Rios, Antonio; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007
Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate...
Persistent link: https://www.econbiz.de/10005067657