Now showing items 41-50 of 243
The integration ofcredit default swapmarkets in the pre andpost-subprime crisis incommon stochastic trends
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across ...
Localising ForwardIntensities forMultiperiod CorporateDefault
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and ...
Government Bond Liquidity and Sovereign-Bank Interlinkages
Banks in the euro area typically hold a large amount of government debt in their bond portfolios, which are valued both for their low credit risk and high liquidity. During the sovereign debt crisis, these characteristics ...
Not Working at Work: Loafing, Unemployment and Labor Productivity
Using the American Time Use Survey (ATUS) 2003-12, we estimate time spent by workers in non-work while on the job. Non-work time is substantial and varies positively with the local unemployment rate. While the average time ...
Crowdfunding, demand uncertainty, and moral hazard - a mechanism design approach
Crowdfunding challenges the traditional separation between finance and marketing. It creates economic value by reducing demand uncertainty, which enables a better screening of positive NPV projects. Entrepreneurial moral ...
The Role of Shadow Banking in the Monetary Transmission Mechanism and the Business Cycle
This paper investigates the heterogeneous impact of monetary policy shocks on financial in- termediaries. I distinguish between banks and shadow banks based on their funding constraints. Because credit creation by banks ...
Price discovery in the markets for credit risk
A Markov switching approach
We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares dur- ing tranquil and crisis ...