Anzeige der Dokumente 21-40 von 334

    • Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs 

      Buss, Adrian; Uppal, Raman; Vilkov, Grigory (2015-02-01)
      In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
    • Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk 

      Harenberg, Daniel (2018-09-17)
      This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy ...
    • Asset Pricing Under Uncertainty About Shock Propagation 

      Branger, Nicole; Grüning, Patrick; Kraft, Holger; Meinerding, Christoph (2014-03-25)
      We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift ...
    • Asymmetric Social Norms 

      Camera, Gabriele; Gioffré, Alessandro (2017-01-10)
      Studies of cooperation in infinitely repeated matching games focus on homogeneous economies, where full cooperation is efficient and any defection is collectively sanctioned. Here we study heterogeneous economies where ...
    • Austerity 

      Dellas, Harris; Niepelt, Dirk (2014-11-19)
      We shed light on the function, properties and optimal size of austerity using the standard sovereign model augmented to include incomplete information about credit risk. Austerity is defined as the shortfall of consumption ...
    • Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries 

      Curatola, Giuliano; Donadelli, Michael; Gioffré, Alessandro; Grüning, Patrick (2014-08-08)
      Recent empirical evidence suggests that during the last years fiscally weak European countries significantly cut their R&D budgets in an effort to reduce their deficit, according to the spirit of the Fiscal Compact. We ...
    • Back to the Future: A Sovereign Debt Standstill Mechanism IMF Article VIII, Section 2 (b) 

      Munevar, Daniel; Pustovit, Grygoriy (2020-06-22)
      This article provides a proposal to use IMF Article VIII, Section 2 (b) to establish a binding mechanism on private creditors for a sovereign debt standstill. The proposal builds on the original idea by Whitney Deveboise ...
    • Bank and Sovereign Debt Risk Connection 

      Darracq Pariès, Matthieu; Faia, Ester; Rodriguez Palenzuela, Diego (2013-01-01)
      Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...
    • Bank Networks: Contagion, Systemic Risk and Prudential Policy 

      Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester (2015-07-01)
      We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the ...
    • Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis 

      Hett, Florian; Schmidt, Alexander (2016-10-01)
      We design a novel test for changes in market discipline based on the relation between firm-specific risk, credit spreads, and equity returns. We use our method to analyze the evolution of bailout expectations during the ...
    • Bank Response To Higher Capital Requirements: Evidence From A Quasi-Natural Experiment 

      Gropp, Reint E.; Mosk, Thomas; Ongena, Steven; Wix, Carlo (2016-12-07)
      We study the impact of higher capital requirements on banks’ balance sheets and its transmission to the real economy. The 2011 EBA capital exercise is an almost ideal quasi-natural experiment to identify this impact with ...
    • Banking Union and the Governance of Credit Institutions - A Legal Perspective 

      Binder, Jens-Hinrich (2015-04-08)
      The creation of the Banking Union is likely to come with substantial implications for the governance of Eurozone banks. The European Central Bank, in its capacity as supervisory authority for systemically important banks, ...
    • Banks’ financial distress, lending supply and consumption expenditure 

      Damar, H. Evren; Gropp, Reint E.; Mordel, Adi (2014-02-01)
      We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We ...
    • Bargaining with a Bank 

      Mosk, Thomas (2018-01-01)
      This paper examines bargaining as a mechanism to resolve information problems. To guide the analysis, I develop a parsimonious model of a credit negotiation between a bank and firms with varying levels of impatience. In ...
    • Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments 

      Li, Wenhui; Wilde, Christian (2019-09-21)
      Decisions under ambiguity depend on both the belief regarding possible scenarios and the attitude towards ambiguity. This paper exclusively focuses on beliefs, measured independent from attitudes. We use laboratory experiments ...
    • Biases in Information Selection and Processing: Survey Evidence from the Pandemic 

      Faia, Ester; Fuster, Andreas; Pezone, Vincenzo; Zafar, Basit (2021-02-10)
      How people form beliefs is crucial for understanding decision-making un- der uncertainty. This is particularly true in a situation such as a pandemic, where beliefs will affect behaviors that impact public health as well ...
    • Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 

      Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max (2020-03-01)
      We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...
    • Call of duty: Designated market maker participation in call auctions 

      Theissen, Erik; Westheide, Christian (2021-08-21)
      Many equity markets combine continuous trading and call auctions. Oftentimes designated market makers (DMMs) supply additional liquidity. Whereas prior research has focused on their role in continuous trading, we provide ...
    • Can Firms see into the Future? Survey evidence from Germany 

      Massenot, Baptiste; Pettinicchi, Yuri (2017-11-03)
      This paper presents new evidence on the expectation formation process of firms from a survey of the German manufacturing sector. It focuses on the expectation about their future business conditions, which enters the widely ...
    • Can Households See into the Future? Survey Evidence from the Netherlands 

      Massenot, Baptiste; Pettinicchi, Yuri (2018-07-14)
      This paper presents new evidence on the expectation formation process from a Dutch household survey. Households become too optimistic about their future income after their income has improved, consistent with the ...