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Author : Rama Seth
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)
Download or read book Leverage and Cyclicality written by Rama Seth and published by . This book was released on 1990 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cyclicality of Leverage written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven A. Sharpe
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Financial Market Imperfections, Firm Leverage, and the Cyclicality of Employment./ Steven A. Sharpe written by Steven A. Sharpe and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven A. Sharpe
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (848 download)
Download or read book Financial Market Imperfections, Firm Leverage and the Cyclicality of Employment written by Steven A. Sharpe and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyun Song Shin
Publisher : OUP Oxford
ISBN 13 : 0191613835
Total Pages : 205 pages
Book Rating : 4.1/5 (916 download)
Download or read book Risk and Liquidity written by Hyun Song Shin and published by OUP Oxford. This book was released on 2010-05-27 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
Author : Steven A. Sharpe (Economiste.)
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (73 download)
Download or read book Financial Market Imperfections, Firm Leverage and the Cyclicality of Employment written by Steven A. Sharpe (Economiste.) and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher James Niggle
Publisher :
ISBN 13 :
Total Pages : 692 pages
Book Rating : 4.3/5 (121 download)
Download or read book The Cyclical and Long Run Behavior of Leverage for the U.S. Nonfinancial Corporate Sector 1953-1981 written by Christopher James Niggle and published by . This book was released on 1984 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Gianni De Nicolo
Publisher : International Monetary Fund
ISBN 13 : 1475570708
Total Pages : 24 pages
Book Rating : 4.4/5 (755 download)
Download or read book Externalities and Macroprudential Policy written by Mr.Gianni De Nicolo and published by International Monetary Fund. This book was released on 2012-06-07 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note overviews macroprudential policy options that have been proposed to address the systemic risks experienced during the recent financial crisis. It contributes to the policy debate by providing a taxonomy of macroprudential policies in terms of the specific negative externalities in the financial system that these policies are meant to address, and discusses their interrelations and some key implementation issues.
Author : Christoph Aymanns
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Dynamics of the Leverage Cycle written by Christoph Aymanns and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The Value-at-Risk constraint implies that when perceived risk is low, leverage is high and vice versa, a phenomenon that has been dubbed pro-cyclical leverage. We show that this leads to endogenous irregular oscillations, in which gradual increases in stock prices and leverage are followed by drastic market collapses, i.e. a leverage cycle. This phenomenon is studied using simplified models that give a deeper understanding of the dynamics and the nature of the feedback loops and instabilities underlying the leverage cycle. We introduce a flexible leverage regulation policy in which it is possible to continuously tune from pro-cyclical to countercyclical leverage. When the policy is sufficiently countercyclical and bank risk is sufficiently low the endogenous oscillation disappears and prices go to a fixed point. While there is always a leverage ceiling above which the dynamics are unstable, countercyclical leverage can be used to raise the ceiling. We also study the impact on leverage cycles of direct, temporal control of the bank's riskiness via the bank's required Value-at-Risk quantile. Under such a rule the regulator relaxes the Value-at-Risk quantile following a negative stock price shock and tightens it following a positive shock. While such a policy rule can reduce the amplitude of leverage cycles, its effectiveness is highly dependent on the choice of parameters. Finally, we investigate fixed limits on leverage and show how they can control the leverage cycle.
Author : Michael Halling
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (13 download)
Download or read book Leverage Dynamics Over the Business Cycle written by Michael Halling and published by . This book was released on 2015 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samples, empirical models of leverage, and definitions of leverage. There is a fraction of 10 to 25% of firms with pro-cyclical dynamics whose characteristics are consistent with counter-cyclical dynamics for loss-given-default and probability of default.
Author : Henrik Jensen
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (1 download)
Download or read book Leverage and Deepening Business Cycle Skewness written by Henrik Jensen and published by . This book was released on 2017 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that the U.S. economy has been characterized by an increasingly negative business cycle asymmetry over the last three decades. This finding can be explained by the concurrent increase in the financial leverage of households and firms. To support this view, we devise and estimate a dynamic general equilibrium model with collateralized borrowing and occasionally binding credit constraints. Higher leverage increases the likelihood that constraints become slack in the face of expansionary shocks, while contractionary shocks are further amplified due to binding constraints. As a result, booms become progressively smoother and more prolonged than busts. We are therefore able to reconcile a more negatively skewed business cycle with the Great Moderation in cyclical volatility. Finally, in line with recent empirical evidence, financially-driven expansions lead to deeper contractions, as compared with equally-sized non-financial expansions.
Author : Elena Beccalli
Publisher :
ISBN 13 : 9788834323670
Total Pages : 44 pages
Book Rating : 4.3/5 (236 download)
Download or read book Leverage Pro-cyclicality and Securitization in US Banking written by Elena Beccalli and published by . This book was released on 2012 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Galo Nuño
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (834 download)
Download or read book Bank Leverage Cycles written by Galo Nuño and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The authors document the cyclical dynamics in the balance sheets of US leveraged financial intermediaries in the post-war period. Leverage has contributed more than equity to fluctuations in total assets. All three variables are several times more volatile than GDP. Leverage has been positively correlated with assets and (to a lesser extent) GDP, and negatively correlated with equity. These findings are robust across financial subsectors. They then build a general equilibrium model with banks subject to endogenous leverage constraints, and assess its ability to replicate the facts. In the model, banks borrow in the form of collateralized risky debt. The presence of moral hazard creates a link between the volatility in bank asset returns and bank leverage. They find that, while standard total factor productivity (TFP) shocks fail to replicate the volatility and cyclicality of leverage, volatility shocks are relatively successful in doing so."--Abstract.
Author : Emin M. Dinlersoz
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (18 download)
Download or read book Leverage Over the Life Cycle and Implications for Firm Growth and Shock Responsiveness written by Emin M. Dinlersoz and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the leverage of U.S. firms over their life-cycles, and the connection between firm leverage, firm growth, and aggregate shocks. We construct a new dataset that combines private and public firms' balance sheets with firm-level data from U.S. Census Bureau's Longitudinal Business Database (LBD) for the period 2005-2012. Public and private firms exhibit different leverage dynamics over their life-cycles. Firm age and size are systematically related to leverage for private firms, but not for public firms. We show that private firms, but not public ones, deleveraged during the Great Recession, and that this deleveraging is associated with a reduction in firm revenue and employment growth. Exploiting sectoral variation, we find that the leverage dynamics of firms is also relevant for aggregate fluctuations.
Author : W. Brian Arthur
Publisher : CRC Press
ISBN 13 : 0429976267
Total Pages : 437 pages
Book Rating : 4.4/5 (299 download)
Download or read book The Economy As An Evolving Complex System II written by W. Brian Arthur and published by CRC Press. This book was released on 2018-05-04 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new view of the economy as an evolving, complex system has been pioneered at the Santa Fe Institute over the last ten years, This volume is a collection of articles that shape and define this view?a view of the economy as emerging from the interactions of individual agents whose behavior constantly evolves, whose strategies and actions are always adapting.The traditional framework in economics portrays activity within an equilibrium steady state. The interacting agents in the economy are typically homogenous, solve well-defined problems using perfect rationality, and act within given legal and social structures. The complexity approach, by contrast, sees economic activity as continually changing?continually in process. The interacting agents are typically heterogeneous, they must cognitively interpret the problems they face, and together they create the structures?markets, legal and social institutions, price patters, expectations?to which they individually react. Such structures may never settle down. Agents may forever adapt and explore and evolve their behaviors within structures that continually emerge and change and disappear?structures these behaviors co-create. This complexity approach does not replace the equilibrium one?it complements it.The papers here collected originated at a recent conference at the Santa Fe Institute, which was called to follow up the well-known 1987 SFI conference organized by Philip Anderson, Kenneth Arrow, and David Pines. They survey the new study of complexity and the economy. They apply this approach to real economic problems and they show the extent to which the initial vision of the 1987 conference has come to fruition.
Author : Emin Murat Dinlersoz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Leverage Over the Firm Life Cycle, Firm Growth, and Aggregate Fluctuations written by Emin Murat Dinlersoz and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the leverage of U.S. firms over their life cycles and the connection between firm leverage, firm growth, and aggregate shocks. We construct a new dataset that combines private and public firms' balance sheets with firm-level data from U.S. Census Bureau's Longitudinal Business Database for the period 2005-12. Public and private firms exhibit different leverage dynamics over their life cycles. Firm age and size are systematically related to leverage for private firms but not for public firms. We show that private firms, but not public ones, deleveraged during the Great Recession and that this deleveraging is associated with a reduction in firm revenue and employment growth. Exploiting sectoral variation, we find that the leverage dynamics of firms is also relevant for aggregate fluctuations.
Author : Sebnem Kalemli-Ozcan (ǂe author)
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (16 download)
Download or read book Leverage Over the Life Cycle and Implications for Firm Growth and Shock Responsiveness written by Sebnem Kalemli-Ozcan (ǂe author) and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the leverage of U.S. firms over their life-cycle and implications for firm growth and responses to shocks. We use a new dataset that matches private firms' balance sheets to U.S. Census Bureau's Longitudinal Business Database (LBD) for the period 2005-2012. A number of stylized facts emerge. First, firm size and leverage are strongly positively correlated for private firms, both in the cross section of firms and over time for a given firm. For public firms, there is a weak negative relation between leverage and size. Second, young private firms borrow more, but firm age has no relation to public firms' leverage. Third, while private firms switch from debt to equity financing as they age, public firms slightly reduce equity financing as they age. Building on this "normal times" benchmark and using the "Great Recession" as a shock to financial conditions, we show that, for private firms, firm size can serve as a good predictor of financial constraints. During the Great Recession, leverage declines for private firms, but not for public firms. We also provide evidence that private firms' growth is positively related to leverage, as they finance their growth during normal times with short-term borrowing, whereas the relationship between leverage and firm growth is negative for public firms. These results suggest that public firms are not financially constrained during normal times or during crisis, but private firms are
