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Tests For Liquidity Constraints
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Book Synopsis Tests for Liquidity Constraints by : Fumio Hayashi
Download or read book Tests for Liquidity Constraints written by Fumio Hayashi and published by . This book was released on 1985 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys recent empirical work on tests for liquidity constraints. The focus of the survey is on the tests based on the Euler equation. After examining the technical aspects of the recent tests on aggregate time-series data and on micro data, the survey tries to evaluate their economic significance. The paper concludes that for a significant fraction of the population the behavior of consumption over time is affected in away predicted by credit rationing and differential borrowing and lending rates. However, the available evidence is shown to have failed in providing information necessary to calculate the response of consumption to changes in the time profile of income. The paper attributes the failure to the fact that not much attention in the literature has been paid to the cause of liquidity constraints.
Book Synopsis Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources by : Tullio Jappelli
Download or read book Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources written by Tullio Jappelli and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous tests for liquidity constraints using consumption Euler equations have frequently split the sample on the basis of wealth arguing that low wealth consumers are more likely to be constrained. We propose alternative tests using different and more direct information on borrowing constraints obtained from the 1983 Survey of Consumer Finances. In a first stage we estimate probabilities of being constrained which are then utilized in a second sample, the Panel Study of Income Dynamics, to estimate switching regression models of the Euler equation. Our estimates indicate stronger excess sensitivity associated with the possibility of liquidity constraints than the sample splitting approach.
Book Synopsis Asymmetric Information and Liquidity Constraints by : Dmytro Holod
Download or read book Asymmetric Information and Liquidity Constraints written by Dmytro Holod and published by . This book was released on 2006 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a novel measure of the degree of information asymmetry across firms, this study shows that information-related financial market imperfections do matter for a firm's access to external finance. Prior studies of the importance of liquidity constraints faced by nonfinancial firms have suffered from a glaring weakness. They have been based on a sample of publicly traded firms, omitting precisely those firms most likely to be liquidity constrained. Furthermore, they have tended to rely on indirect measures of the degree of information asymmetry, such as firm size. We overcome these limitations by focusing on the banking sector. Unlike the nonfinancial sector, the banking sector has balance sheet and income data available for all firms, whether or not they are publicly traded. This allows the use of a superior measure of the degree of information asymmetry across firms by distinguishing between publicly traded and non-publicly traded banks.We focus on changes in monetary policy that represent exogenous (to the banks) changes in the financing constraints they face. We find that publicly traded banks, which exhibit a lower degree of information asymmetry, are better able to overcome information-based financial market frictions, compared to the relatively opaque non-publicly traded banks, when monetary policy is tightened. Lending by the more transparent publicly traded banks is less affected by a monetary policy tightening in large part due to their relative advantage in raising external funds by issuing uninsured large time deposits. These results are obtained controlling for bank (and bank holding company) size, a dimension commonly used in the literature as the measure of the degree of firm access to external finance. Moreover, we show that the distinction between publicly traded and non-publicly traded banks dominates bank size as an indicator of the degree of access to external funds.
Book Synopsis Asymptotic Theory for Econometricians by : Halbert White
Download or read book Asymptotic Theory for Econometricians written by Halbert White and published by Academic Press. This book was released on 2014-06-28 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.
Book Synopsis The Liquidity Constraint and Consumption by : Mei-hsiu Lin
Download or read book The Liquidity Constraint and Consumption written by Mei-hsiu Lin and published by . This book was released on 1992 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Myopia, Liquidity Constraints, and Aggregate Consumption by : John Shea
Download or read book Myopia, Liquidity Constraints, and Aggregate Consumption written by John Shea and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Liquidity Constraints Versus Intertemporal Non-separability of Aggregate Consumer Expenditures by : Klaus Neusser
Download or read book Liquidity Constraints Versus Intertemporal Non-separability of Aggregate Consumer Expenditures written by Klaus Neusser and published by . This book was released on 1989 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Ricardian Equivalence, Liquidity Constraints, and the Yaarl-Blanchard Effect by : Nadeem U. Haque
Download or read book Ricardian Equivalence, Liquidity Constraints, and the Yaarl-Blanchard Effect written by Nadeem U. Haque and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models by : Mr.Fei Han
Download or read book Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models written by Mr.Fei Han and published by International Monetary Fund. This book was released on 2019-11-15 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links haircuts with market volatility and the amount of securities sold by banks. The framework is accompanied by a Matlab program and an Excel-based tool, which allow the calculations to be replicated for any type of traded security and to be used for liquidity and solvency stress testing.
Book Synopsis Liquidity Constraints in Production Based Asset Pricing Models by : William A. Brock
Download or read book Liquidity Constraints in Production Based Asset Pricing Models written by William A. Brock and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
Book Synopsis Ricardian Equivalence, Liquidity Constraints, and the Yaari Blanchard Effect by : Nadeem U. Haque
Download or read book Ricardian Equivalence, Liquidity Constraints, and the Yaari Blanchard Effect written by Nadeem U. Haque and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Liquidity Constraints in Ten Asian Developing Countries: an Error-correction Model Approach by : Muzafar Shah Habibullah
Download or read book Testing Liquidity Constraints in Ten Asian Developing Countries: an Error-correction Model Approach written by Muzafar Shah Habibullah and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: An error-correction model is used to estimate the fraction of consumers who are liquidity-constrained in ten Asian developing countries. Our estimates of the fraction of consumers who are liquidity-constrained range between 0.25 and 0.98. We further investigate whether financial liberalisation has resulted in the reduction of liquidity constraints in these countries. However, the results find support for this only in the cases of South Korea, Sri Lanka and Taiwan
Book Synopsis Liquidity Constraints in Production Based Asset Pricing Models by : William A. Brock
Download or read book Liquidity Constraints in Production Based Asset Pricing Models written by William A. Brock and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
Book Synopsis Stress Testing at the IMF by : Mr.Tobias Adrian
Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2020-02-05 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Book Synopsis Understanding Saving by : Fumio Hayashi
Download or read book Understanding Saving written by Fumio Hayashi and published by MIT Press. This book was released on 1997 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of consumption and saving decisions by households has always been one of the most active areas of research in economics--and with good reason. Private consumption is the most important component of aggregate demand in a capitalist economy, and explaining consumption is the key element in most macroeconomic forecasting models. To evaluate the effect of government policies invariably requires the knowledge of how they change parameters relevant for household decision making. Understanding Saving collects eleven papers by economist Fumio Hayashi, along with two previously unpublished chapters, for a total of thirteen chapters. The monograph, which brings together Hayashi's empirical research on saving, is divided into three sections. Part I, "Liquidity Constraints", contains five studies that test the well-known implication of the Life Cycle-Permanent Income hypothesis that households shield consumption from income fluctuations. Part II, "Risk-Sharing and Altruism", contains three papers that examine the interactions between related and unrelated households predicted by the hypothesis for the US and Japanese households. The three papers in Part III, "Japanese Saving Behavior", present the author's explanation of the high saving rate in postwar Japan.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Liquidity Constraints and the Permanent Income Hypothesis : Pseudo Panel Estimation with German Consumption Survey Data by : Martin Beznoska
Download or read book Liquidity Constraints and the Permanent Income Hypothesis : Pseudo Panel Estimation with German Consumption Survey Data written by Martin Beznoska and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
