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Endogenous Market Thinness and Stock Price Volatility
Pagano, Marco - C.E.P.R. Discussion Papers - 1986
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …
Persistent link: https://www.econbiz.de/10005662005
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Monetary transmission in low income countries
Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio - C.E.P.R. Discussion Papers - 2010
This paper reviews the monetary transmission mechanism in low income countries (LICs). We use monetary transmission in advanced and emerging markets as a benchmark to identify aspects of the transmission mechanism that may operate differently in LICs. In particular, we focus on the effects of...
Persistent link: https://www.econbiz.de/10008466328
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One Money, One Market: Estimating the Effect of Common Currencies on Trade
Rose, Andrew K - C.E.P.R. Discussion Papers - 1999
A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …
Persistent link: https://www.econbiz.de/10005666776
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Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence
Pagano, Marco - C.E.P.R. Discussion Papers - 1986
Market thinness can be an important determinant of the riskiness of stock returns, because it reduces the reliability of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as the outcome of rational expectations equilibrium in a...
Persistent link: https://www.econbiz.de/10005661719
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The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
Hardouvelis, Gikas A; Pericli, Andreas; Theodossiou, … - C.E.P.R. Discussion Papers - 1997
reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear …
Persistent link: https://www.econbiz.de/10005123642
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The Wealth-Consumption Ratio
Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012
We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...
Persistent link: https://www.econbiz.de/10011083953
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...
Persistent link: https://www.econbiz.de/10009293988
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How Effective Is Monetary Transmission in Developing Countries? A Survey of the Empirical Evidence
Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio - C.E.P.R. Discussion Papers - 2011
This paper surveys the evidence on the effectiveness of monetary transmission in developing countries. We summarize the arguments for expecting the bank lending channel to be the dominant means of monetary transmission in such countries, and present a simple model that suggests why this channel...
Persistent link: https://www.econbiz.de/10009322980
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Surprising Similarities: Recent Monetary Regimes of Small Economies
Rose, Andrew K - C.E.P.R. Discussion Papers - 2013
In contrast to earlier recessions, the monetary regimes of many small economies have not changed in the aftermath of the global financial crisis. This is due in part to the fact that many small economies continue to use hard exchange rate fixes, a reasonably durable regime. However, most of the...
Persistent link: https://www.econbiz.de/10011083734
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Do Real Exchange Rate Appreciations Matter for Growth?
Bussière, Matthieu; Lopez, Claude; Tille, Cédric - C.E.P.R. Discussion Papers - 2014
While the impact of exchange rate changes on economic growth has long been an issue of key importance in international macroeconomics, it has received renewed attention in recent years, owing to weaker growth rates and the debate on “currency wars”. However, in spite of its prevalence in the...
Persistent link: https://www.econbiz.de/10011083783