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Monetary Policy and Risk Taking 

Angeloni, Ignazio; Faia, Ester; Lo Duca, Marco (2016-05-19)
We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel ...
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Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate 

Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, Moritz Christian; Westheide, Christian (2016-06-21)
Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits ...
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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 ...
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Optimal Consumption and Investment with Epstein-Zin Recursive Utility 

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...
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Add-On Pricing in Retail Financial Markets and the Fallacies of Consumer Education 

Kosfeld, Michael; Schüwer, Ulrich (2016-07-11)
We analyze the consequences of consumer education on prices and welfare in retail financial markets when some consumers are naive about shrouded addon prices and banks try to exploit this. Allowing for different information ...
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Direct and Indirect Risk-Taking Incentives of Inside Debt 

Colonnello, Stefano; Curatola, Giuliano; Ngoc Giang Hoang (2016-07-16)
We develop a model of managerial compensation structure and asset risk choice. The model provides predictions about the relation between credit spreads and different compensation components. First, we show that credit ...
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Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods 

Ludwig, Alexander; Schön, Matthias (2016-04-18)
This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different ...
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International Endogenous Growth, Macro Anomalies, and Asset Prices 

Grüning, Patrick (2016-07-20)
"This paper studies a two-country production economy with complete and frictionless financial markets and international trade in which competition in R&D leads to endogenous new firm creation and economic growth. Current ...
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Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? 

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2016-11-18)
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...
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Credit Cycles: Experimental Evidence 

Massenot, Baptiste (2016-06-23)
This paper reports that credit cycles emerged in laboratory economies that were not hit by aggregate shocks and in which information about fundamentals was perfect. This main result is in our view puzzling because standard ...
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AutorCuratola, Giuliano (4)Donadelli, Michael (3)Grüning, Patrick (3)... mehrForschungsbereichFinancial Markets (15)Corporate Finance (10)Household Finance (8)... mehrJEL-KlassifizierungG12 (14)G11 (6)G28 (5)... mehrThemenSaving and Borrowing (19)Monetary Policy (18)Corporate Governance (14)... mehrSchlagwortliquidity (3)asset pricing (2)banking regulation (2)... mehrErscheinungsdatum
2016 (44)
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© 2021  SAFE  hebis Logo
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