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Displaying results 1 to 25 of 36.

  1. Notes on bonds
    illiquidity feedback during the financial crisis
    Author: Musto, David K.; Nini, Gregory P.; Schwarz, Krista
    Published: September 28, 2016
    Publisher:  Rodney L. White Center for Financial Research], [Philadelphia, PA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Media type: Book
    Format: Online
    Series: [Working papers / Rodney L. White Center for Financial Research ; 07-16]
    Subjects: Staatspapier; Finanzkrise; Liquidität; Versicherung; USA
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  2. Rumors and runs in opaque markets
    evidence from the panic of 1907
    Author: Fohlin, Caroline; Gehrig, Thomas; Haas, Marlene
    Published: August 5, 2016
    Publisher:  [Emory College of Arts and Sciences, Department of Economics], [Atlanta, Georgia, USA]

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    Series: [Working paper series / Emory College of Arts and Sciences, Department of Economics ; 16, 05]
    Subjects: Aktienmarkt; Liquidität; Asymmetrische Information; Geld-Brief-Spanne; Finanzkrise; USA
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  3. The fiscal multiplier in small open economy
    the role of liquidity frictions
    Author: Sin, Jasmin
    Published: July 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper studies the fiscal multiplier using a small-open-economy DSGE model enriched with financial frictions. It shows that the multiplier is large when frictions are present in domestic and international financial markets. The reason is that in... more

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    This paper studies the fiscal multiplier using a small-open-economy DSGE model enriched with financial frictions. It shows that the multiplier is large when frictions are present in domestic and international financial markets. The reason is that in the model government bonds are more liquid than private financial assets and that entrepreneurs face liquidity constraints. A bond-financed fiscal expansion eases these constraints and stimulates investment and hence growth. This mechanism, however, breaks down under the assumption of perfect international capital mobility, suggesting that conventional models which ignore the presence of frictions in international capital markets tend to underestimate the fiscal multiplier

     
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  4. Wage-price dynamics and structural reforms in Japan
    Author: Porcellacchia, Davide
    Published: February 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Structural reforms in the liquidity trap need not be deflationary. This paper develops a simple framework to study the role that key characteristics of Japan's labor and product markets-labor-market duality and weak corporate governance-play in... more

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    Structural reforms in the liquidity trap need not be deflationary. This paper develops a simple framework to study the role that key characteristics of Japan's labor and product markets-labor-market duality and weak corporate governance-play in generating unfavorable wage-price dynamics. The model allows a discussion of whether and in what form structural reforms may contribute to Japan's short-run goal of reflating the economy. It finds that boosting inflation with structural reforms implies an unusual trade-off with employment, that is an inverted Phillips curve. Simultaneous implementation of labor-market and product-market reforms is most effective in terms of reflating the economy

     
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  5. Stock market liquidity in Chile
    Author: Brandao Marques, Luis
    Published: November 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Chile has a large but relatively illiquid stock market. Global factors such as global risk appetite and monetary policy in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of emerging... more

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    Chile has a large but relatively illiquid stock market. Global factors such as global risk appetite and monetary policy in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of emerging markets suggests strong protection of minority shareholders can help improve stock market liquitidity. Currently, illiquid in Chilean may have to pay 3 1\2 percent more as cost of equity. Corporate governance should be improved, namely through the adoption of a stewardship code

     
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  6. The welfare cost of inflation and the regulations of money substitutes
    Author: Eden, Benjamin; Eden, Maya
    Published: January 11, 2016
    Publisher:  Vanderbilt University, Department of Economics, Nashville, TN

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    Language: English
    Media type: Book
    Format: Online
    Series: Vanderbilt University Department of Economics working papers ; 16-00001
    Subjects: Inflation; Wohlfahrtsanalyse; Liquidität; Geldsubstitut; Finanzmarktregulierung
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  7. Liquidity and counterparty risks tradeoff in money market networks
    Author: León, Carlos; Sarmiento, Miguel
    Published: 20 April 2016
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Language: English
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    Series: Discussion paper / CentER, Center for Economic Research ; no. 2016-017
    Subjects: Finanzkrise; Liquidität; Interbankenmarkt; Kolumbien
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  8. Short-term liquidity contagion in the interbank market
    Author: León, Carlos; Martínez, Constanza; Cepeda L., Freddy
    Published: 20 April 2016
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Language: English
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    Edition: Early version, also known as pre-print
    Series: Discussion paper / CentER, Center for Economic Research ; no. 2016-018
    Subjects: Finanzkrise; Liquidität; Ansteckungseffekt; Interbankenmarkt; Kolumbien
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  9. The macroeconomic risks of undesirably low inflation
    Author: Arias, Jonas E.; Erceg, Christopher J.; Trabandt, Mathias
    Published: April 2016
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    This paper investigates the macroeconomic risks associated with undesirably low inflation using a medium-sized New Keynesian model. We consider different causes of persistently low inflation, including a downward shift in long-run inflation... more

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    This paper investigates the macroeconomic risks associated with undesirably low inflation using a medium-sized New Keynesian model. We consider different causes of persistently low inflation, including a downward shift in long-run inflation expectations, a fall in nominal wage growth, and a favorable supply-side shock. We show that the macroeconomic effects of persistently low inflation depend crucially on its underlying cause, as well as on the extent to which monetary policy is constrained by the zero lower bound. Finally, we discuss policy options to mitigate these effects

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: International finance discussion papers ; number1162
    Subjects: Inflationserwartung; Lohnniveau; Produktivitätsentwicklung; Inflationsbekämpfung; Geldpolitik; Liquidität; DSGE-Modell; Neoklassische Synthese; Theorie
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  10. Wage-price dynamics and structural reforms in Japan
    Author: Porcellacchia, Davide
    Published: February 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Structural reforms in the liquidity trap need not be deflationary. This paper develops a simple framework to study the role that key characteristics of Japan's labor and product markets-labor-market duality and weak corporate governance-play in... more

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    Structural reforms in the liquidity trap need not be deflationary. This paper develops a simple framework to study the role that key characteristics of Japan's labor and product markets-labor-market duality and weak corporate governance-play in generating unfavorable wage-price dynamics. The model allows a discussion of whether and in what form structural reforms may contribute to Japan's short-run goal of reflating the economy. It finds that boosting inflation with structural reforms implies an unusual trade-off with employment, that is an inverted Phillips curve. Simultaneous implementation of labor-market and product-market reforms is most effective in terms of reflating the economy

     
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  11. The welfare cost of inflation and the regulations of money substitutes
    Author: Eden, Benjamin; Eden, Maya
    Published: February 2016
    Publisher:  World Bank Group, Development Research Group, Macroeconomics and Growth Team, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 2 (7553)
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    Source: Union catalogues
    Language: English
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    Format: Online
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    Series: Policy research working paper ; 7553
    Subjects: Inflation; Wohlfahrtsanalyse; Liquidität; Geldsubstitut; Finanzmarktregulierung
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  12. Liquidity risk and expected option returns
    Author: Choy, Siu Kai; Wei, Jason
    Published: January 4, 2016
    Publisher:  [University of Toronto - Rotman School of Management], [Toronto]

    Using data from OptionMetrics for the period of 1996 to 2013, we establish the existence of liquidity risk premium in option returns via both sorting analyses and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Using data from OptionMetrics for the period of 1996 to 2013, we establish the existence of liquidity risk premium in option returns via both sorting analyses and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to liquidity risk ranges from 11.2 basis points to 19.7 basis points per month. In hedged returns unadjusted for leverage, the alpha ranges from 88.8 basis points to 254 basis points per month. In contrast to the findings for stocks and bonds, the liquidity risk premium uncovered in option returns is negative. The negative premium is due to the fact that end-users of options write options in net and they care more about liquidity risk than market makers. Our results are robust to alternative data screening criteria and liquidity measure/factor constructions

     
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    Language: English
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    Format: Online
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    Series: Rotman School of Management working paper ; no. 2713915
    Subjects: Liquidität; Risikoprämie; Optionsgeschäft; Erwartungsbildung
    Scope: 1 Online-Ressource (circa 44 Seiten)
  13. Essays on financial stability
    Author: Luck, Stephan
    Published: 2016

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    A 271282
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    Source: Union catalogues
    Contributor: Hellwig, Martin (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Bankenliquidität; Öffentliche Anleihe; Fälligkeit; Risiko; Marktliquidität; Staatsbankrott; Bankenkrise; Ansteckungseffekt; International; Bankenregulierung; Arbitrage; Liquidität; Systemrisiko; Theorie; Welt; Eurozone
    Scope: ix, 111 Seiten, Diagramme
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    Dissertation, Rheinische Friedrich-Wilhelms-Universität Bonn, 2015
  14. Interest rates, corporate lending and growth in the Euro area
    Author: Tondl, Gabriele
    Published: June 2016
    Publisher:  Vienna University of Economics and Business, Wien

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    VS 257 (227)
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    Series: Department of Economics working paper / Vienna University of Economics and Business ; no. 227
    Subjects: Geldpolitische Transmission; Unternehmensfinanzierung; Marktsegmentierung; Kreditgeschäft; Liquidität; Wirtschaftswachstum; Eurozone; EU-Staaten
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  15. Funding liquidity risk and the cross-section of MBS returns
    Author: Kitsul, Yuriy; Ochoa, Marcelo
    Published: June 7, 2016
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect... more

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    This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect security-level costs of financing positions in the MBS market. We show that factors representing higher net MBS supply are generally associated with higher IFRs, or higher funding costs. In addition, we find that exposure to systematic funding liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better hedges to funding liquidity shocks on average deliver lower excess returns-and that these premiums are separate from the premiums associated with prepayment risks

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2016-052
    Subjects: Asset-Backed Securities; Liquidität; Risiko; Schock; USA
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  16. Liquidity risk, bank networks, and the value of joining the federal reserve system
    Author: Calomiris, Charles W.; Jaremski, Matthew; Park, Haelim; Richardson, Gary
    Published: February 2016
    Publisher:  The Federal Reserve Bank of Richmond, Richmond

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    Source: Union catalogues
    Language: English
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    Series: Working paper series / The Federal Reserve Bank of Richmond ; WP 16-06
    Subjects: Liquidität; Systematischer Fehler; Saisonale Schwankungen; Kredit; Nachfrage; Zentralbank; Bankgeschichte; USA
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  17. Private money creation and equilibrium liquidity
    Author: Benigno, Pierpaolo; Robatto, Roberto
    Published: 2016
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (11242)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 11242
    Subjects: Geldsubstitut; Informeller Finanzsektor; Liquidität; Gleichgewichtsmodell; Theorie
    Scope: 47 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  18. An equilibrium model of institutional demand and asset prices
    Author: Koijen, Ralph S. J.; Yogo, Motohiro
    Published: 2016
    Publisher:  Federal Reserve Bank, Research Dep., Minneapolis

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised October 2016
    Series: Staff report / Federal Reserve Bank of Minneapolis, Research Department ; 510
    Subjects: CAPM; Institutioneller Investor; Nachfrage; Aktienmarkt; Liquidität; Volatilität; Prognoseverfahren; Theorie
    Scope: Online-Ressource (53 S.), graph. Darst.
  19. Stock market liquidity in Chile
    Author: Brandao Marques, Luis
    Published: November 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Chile has a large but relatively illiquid stock market. Global factors such as global risk appetite and monetary policy in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of emerging... more

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    Chile has a large but relatively illiquid stock market. Global factors such as global risk appetite and monetary policy in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of emerging markets suggests strong protection of minority shareholders can help improve stock market liquitidity. Currently, illiquid in Chilean may have to pay 3 1\2 percent more as cost of equity. Corporate governance should be improved, namely through the adoption of a stewardship code

     
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  20. The fiscal multiplier in small open economy
    the role of liquidity frictions
    Author: Sin, Jasmin
    Published: July 2016
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper studies the fiscal multiplier using a small-open-economy DSGE model enriched with financial frictions. It shows that the multiplier is large when frictions are present in domestic and international financial markets. The reason is that in... more

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    This paper studies the fiscal multiplier using a small-open-economy DSGE model enriched with financial frictions. It shows that the multiplier is large when frictions are present in domestic and international financial markets. The reason is that in the model government bonds are more liquid than private financial assets and that entrepreneurs face liquidity constraints. A bond-financed fiscal expansion eases these constraints and stimulates investment and hence growth. This mechanism, however, breaks down under the assumption of perfect international capital mobility, suggesting that conventional models which ignore the presence of frictions in international capital markets tend to underestimate the fiscal multiplier

     
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  21. The implications of liquidity expansion in China for the US Dollar
    Author: Kang, Wensheng; Ratti, Ronald A.; Vespignani, Joaquin
    Published: 2016
    Publisher:  Tasmanian School of Business and Economics, University of Tasmania, Hobart

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 274 (2016,2)
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781862958838
    Series: Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania ; N 2016, 02
    Subjects: Geldmenge; Preisniveau; China; Wechselkurs; US-Dollar; Liquidität; Internationale Wirtschaft; Welt
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  22. Unsecured and secured funding
    Author: Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan
    Published: August 2016
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

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    VS 314 (2016,16)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers on finance ; no. 2016, 16
    Subjects: Geldmarkt; Finanzkrise; Kreditrisiko; Liquidität; Ansteckungseffekt; Eurozone
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  23. Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?
    Author: Carlson, Mark; Wheelock, David C.
    Published: 2016
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank... more

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    As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but the system also transmitted shocks during banking panics. The Federal Reserve was established in 1914 to reduce reliance on the interbank market and correct other defects that caused banking system instability. Drawing on recent theoretical work on interbank networks, we examine how the Fed's establishment affected the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply reduced their liquidity after the Fed's founding. The industry's response illustrates how the introduction of a lender of last resort can alter private behavior in a way that increases the likelihood that the lender will be needed

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Draft: July 18, 2016
    Series: Finance and economics discussion series ; 2016, 059
    Subjects: Zentralbank; Liquidität; Interbankenmarkt; Kreditrisiko; Ansteckungseffekt; Systemrisiko; Bankenkrise; USA
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  24. Optimal monetary policy at the zero lower bound on nominal interest rates in a cost channel economy
    Author: Pathberiya, Lasitha R. C.
    Published: 2016
    Publisher:  University of Queensland, School of Economics, Brisbane

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 17 (568)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: School of Economics discussion paper series ; [568]
    Subjects: Niedrigzinspolitik; Geldpolitische Transmission; Liquidität; Mathematische Optimierung; Neoklassische Synthese
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  25. Financial supply index and financial supply cycles in new EU member states
    Author: Globan, Tomislav
    Published: December 2016
    Publisher:  Verein "Wiener Institut für Internationale Wirtschaftsvergleiche" (wiiw), Wien

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 832 (133)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / WIIW, The Vienna Institute for International Economic Studies ; 133 (December 2016)
    Subjects: Refinanzierung; Finanzkrise; Kapitalmobilität; Liquidität; EU-Staaten; Refinancing risk ratio
    Scope: 28 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe