Auflistung LIF-SAFE Working Papers nach Forschungsbereich "Macro and Finance"

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    • 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 ...

    • Collateral Eligibility of Corporate Debt in the Eurosystem 

      Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, Marti G. (2020-04-01)
      We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ...

    • Depressed Demand  

      Massenot, Baptiste; Nghiem, Giang (2020-02-14)
      Using a survey of Dutch households, we find that individuals who have experienced higher national unemployment rates over their lifetime save more and borrow less, after controlling for aggregate shocks, income, wealth, ...

    • Does Monetary Policy Impact International Market Co-Movements? 

      Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto (2020-05-11)
      We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ...

    • Higher-Order Income Risk over the Business Cycle: A Parametric Approach 

      Busch, Christopher; Ludwig, Alexander (2020-03-24)
      We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ...

    • Rigid Wages and Contracts: Time- versus State-Dependent Wages in the Netherlands 

      Grajales-Olarte, Anderson; Uras, Burak R.; Vellekoop, Nathanael (2019-09-01)
      We study nominal wage rigidity in the Netherlands using administrative data, which has three key features: (1) high-frequency (monthly), (2) high-quality (administrative records), and (3) high coverage (the universe of ...

    • Risk Pooling, Leverage, and the Business Cycle 

      Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana (2020-02-25)
      This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ...