Aggregate risk
Aggregate Risk and the Choice between Cash and Lines of Credit
... If aggregate risk (proportion θ of systematic firms in our model) were uncertain, then bank capital or excess liquidity buffers can enable the economy to transfer resources from low aggregate ...
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Public debt and aggregate risk
... corresponding aggregate risk model with preference heterogeneity however the difference in optimal levels between these two models is smaller than what we found between the aggregate and steady state ...
61
Interaction between market and credit risk: Focus on the endogeneity of aggregate risk
... - aggregate demand on export – the exogenous market risk factors is considered in conjunction with the endogenous behaviour of market ...of aggregate risk the framework implies that ERM system ...
12
Aggregate Risk and the Choice between Cash and Lines of Credit
... between aggregate risk and the choice between cash and credit lines holds after controlling for total risk and the variables considered in previous work on credit ...
48
Private information and aggregate risk sharing
... Consumption inequality reduces during recessions, as the consumption of the high income households falls sharply and quickly relative to other households (Giorgi and Gambetti, 2017). This pattern is driven partly by the ...
33
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
... with aggregate risk can be obtained from equilibria of the stationary Bewley model also makes contact with the literature on ...the aggregate en- ...idiosyncratic risk are shut ...
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Clearing, counterparty risk and aggregate risk
... the aggregate by the law of large ...liquidity risk of households. Hellwig (1994) studies aggregate interest rate risk in a Diamond and Dybvig-like ...cient risk–sharing requires that ...
50
The Market Price of Aggregate Risk and the Wealth Distribution
... low risk-free rate and a time-varying market price of risk for reasonable risk aversion ...second risk factor in addition to aggregate consumption growth ...liquidity risk is ...
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Rediscounting Under Aggregate Risk with Moral Hazard
... Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable. However, ...
30
Long-term bank lending and the transfer of aggregate risk
... If one is concerned that raising capital requirements can have large costs in terms of output losses, the question arises if there are cheaper ways to improve financial stability. We find it important to point out that ...
56
Financial Innovation and Aggregate Risk Sharing
... rate risk, liquidity risk and credit risk in a more efficient and ef- fective manner, consequently generating a positive effect to the availability of credit, variety and range of ...that ...
17
Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model
... if aggregate relative risk aversion is ...relative risk aversion would equal aggregate relative risk aversion (Rubinstein, ...Then aggregate relative risk aversion depends ...
34
The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal
... default risk. The interaction term allows the default risk to vary with aggregate risk, under the hypothesis that the greater the aggregate risk the higher the likelihood of ...
61
Federal Reserve Bank of Chicago
... of aggregate risk, agents shift resources from risky, highly procyclical firms to safer, less cyclical ...This risk-shifting behavior endogenously reduces the economy’s responsiveness to exogenous ...
58
Liability-driven investment in longevity risk management
... the risk associated with the diversified strategy diminishes as these liability-driven basis strategies are ...in risk was due to the lia- bility connection, we performed the same computations without ...
15
Multivariate Fréchet copulas and conditional value at risk
... economic risk capital of the aggregate risk using ...“fair” risk allocation in the sense that each risk component becomes allocated to its coherent univariate conditional ...subadditive ...
20
Risk aversion heterogeneity and the investment-uncertainty relationship
... agent’s risk aversion is sufficiently low, the second effect is stronger than the first, so that she decides to hold a larger share of equities, and the expected return on her wealth ...weakly risk averse, ...
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Type II Bivariate Generalized Power Series Poisson Distribution and its Applications in Risk Analysis
... In this paper we consider type II bivariate generalized power series Poisson distribution as a compound Poisson distribution with bivariate generalized power series compounding distribution. We obtain some properties, ...
18
Default Risk Premium and Aggregate Fluctuations in a Small Open Economy
... of risk premium shocks are analyzed in this study for a small open ...temporary risk premium shocks. The risk premium arises in the model due to the existence of a government sector that borrows ...
25
The Decline in Aggregate Share Values: Inflation, Taxation, Risk and Profitability
... With a neutral tax system an increase in observed and anticipated inflation would not be expected to alter either real after—tax yields on bonds and equities or the ratio of the market v[r] ...
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