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The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

Harjoat S. Bhamra, Lars-Alexander Kuehn and Ilya A. Strebulaev.

in The Review of Financial Studies

December 2010; p ublished online September 2010 .

Journal Article. Subjects: Money and Interest Rates; Economics; Corporate Governance; Bankruptcy. 23516 words.

We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure for a cross-section of firms. Our structural-equilibrium framework embeds a...

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Anomalies

Erica X. N. Li, Dmitry Livdan and Lu Zhang.

in The Review of Financial Studies

November 2009; p ublished online April 2009 .

Journal Article. Subjects: Production and Organizations; Intertemporal Choice and Growth; Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Money and Interest Rates; Economics; Corporate Governance. 14635 words.

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an...

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Bank Liquidity, Interbank Markets, and Monetary Policy

Xavier Freixas, Antoine Martin and David Skeie.

in The Review of Financial Studies

August 2011; p ublished online April 2011 .

Journal Article. Subjects: Banking; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit. 16661 words.

A lesson of the recent financial crisis is that the interbank market is crucial for banks facing uncertainty regarding their liquidity needs. This article studies the efficiency of the...

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Bank profitability, leverage and financial instability: a Minsky–Harrod model

Soon Ryoo.

in Cambridge Journal of Economics

September 2013; p ublished online March 2013 .

Journal Article. Subjects: General Aggregative Models; Prices, Business Fluctuations, and Cycles; Money and Interest Rates. 10667 words.

This paper develops a stock-flow-consistent macroeconomic model where bank profitability and bank leverage play a crucial role in the determination of firms’ liability structure. The model...

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Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards

Angela Maddaloni and José-Luis Peydró.

in The Review of Financial Studies

June 2011; p ublished online June 2011 .

Journal Article. Subjects: Economics; Banking; Financial Regulation; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit. 19069 words.

Using a unique dataset of the Euro-area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards for household and corporate loans....

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Banking: A New Monetarist Approach

Chao Gu, Fabrizio Mattesini, Cyril Monnet and Randall Wright.

in The Review of Economic Studies

April 2013; p ublished online January 2013 .

Journal Article. Subjects: Microeconomics; Banking; Money and Interest Rates; Macroeconomics and Monetary Economics. 14097 words.

We develop a model where: (i) banks take deposits and make investments; (ii) their liabilities facilitate third-party transactions. Other models have (i) or (ii), not both, although we...

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Banking Sector Efficiency in Sub-Saharan Africa

François Boutin-Dufresne, Oral Williams and Tomasz A. Zawisza.

in Journal of African Economies

June 2015; p ublished online October 2014 .

Journal Article. Subjects: Banking; Economics; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 10779 words.

This paper examines the determinants of net interest margins (NIMs) in four regional blocks in Sub-Saharan Africa (SSA). Using bank-level data, we find that countries with a high level of...

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Banking strategy and credit expansion: a post-Keynesian approach

Antonio J. Alves, Gary A. Dymski and Luiz-Fernando de Paula.

in Cambridge Journal of Economics

May 2008; p ublished online December 2007 .

Journal Article. Subjects: General Aggregative Models; Prices, Business Fluctuations, and Cycles; Banking; Money and Interest Rates. 11944 words.

This paper aims to clarify the relationship between individual banks and banking industry behaviour in credit expansion. The authors argue that the balance sheet structure of an individual...

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Bond Liquidity Premia

Jean-Sébastien Fontaine and René Garcia.

in The Review of Financial Studies

April 2012; p ublished online December 2011 .

Journal Article. Subjects: Money and Interest Rates; Public Economics. 18907 words.

Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section...

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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos.

in The Review of Financial Studies

August 2013; p ublished online April 2013 .

Journal Article. Subjects: Money and Interest Rates; Economics; Taxation, Subsidies, and Revenue; National Budget, Deficit, and Debt. 23269 words.

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an...

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Bond Returns and Market Expectations

Carlo Altavilla, Raffaella Giacomini and Riccardo Costantini.

in Journal of Financial Econometrics

September 2014; p ublished online April 2014 .

Journal Article. Subjects: Financial Forecasting and Simulation; Econometric Modelling; Money and Interest Rates. 7744 words.

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary...

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Bond Supply and Excess Bond Returns

Robin Greenwood and Dimitri Vayanos.

in The Review of Financial Studies

March 2014; p ublished online January 2014 .

Journal Article. Subjects: Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit; Economics; National Budget, Deficit, and Debt. 23179 words.

We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which...

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Bubbly Liquidity

Emmanuel Farhi and Jean Tirole.

in The Review of Economic Studies

April 2012; p ublished online November 2011 .

Journal Article. Subjects: Macroeconomics: Consumption, Saving, Production, Employment, and Investment; Money and Interest Rates. 13352 words.

This paper analyses the possibility and the consequences of rational bubbles in a dynamic economy where financially constrained firms demand and supply liquidity. Bubbles are more likely to...

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Can Changes in the Cost of Carry Explain the Dynamics of Corporate “Cash” Holdings?

José A. Azar, Jean-François Kagy and Martin C. Schmalz.

in The Review of Financial Studies

August 2016; p ublished online April 2016 .

Journal Article. Subjects: Corporate Governance; Money and Interest Rates. 18617 words.

Firms until recently were effectively constrained to hold liquid assets in non-interest-bearing accounts. As a result, the cost of capital of firms’ liquid-assets portfolios exceeded the...

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Change-Points in Affine Arbitrage-Free Term Structure Models

Siddhartha Chib and Kyu Ho Kang.

in Journal of Financial Econometrics

March 2013; p ublished online October 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics; Money and Interest Rates. 9708 words.

In this paper, we investigate the timing of structural changes in yield curve dynamics in the context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure...

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The characteristics of a monetary economy: a Keynes–Schumpeter approach

Giancarlo Bertocco.

in Cambridge Journal of Economics

January 2007; p ublished online March 2006 .

Journal Article. Subjects: General Aggregative Models; Banking; Money and Interest Rates. 13159 words.

Mainstream monetary theory considers money only as an instrument meant to facilitate trading without having any effect on income or on the evolution of the economic system. The aim of this...

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Cognition, market sentiment and financial instability

Sheila C. Dow.

in Cambridge Journal of Economics

March 2011; p ublished online August 2010 .

Journal Article. Subjects: Economic Methodology; Economics; Money and Interest Rates. 8802 words.

The purpose of this paper is to explore the role for psychology within an open-system structural theory of financial instability, and to consider the implications for policy. While...

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Commodity Price Responses to Monetary Policy Surprises

Dean Scrimgeour.

in American Journal of Agricultural Economics

January 2015; p ublished online June 2014 .

Journal Article. Subjects: Agricultural, Environmental, and Natural Resource Economics; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 8639 words.

Information contained in high-frequency financial market data reveals that a 10 basis-point surprise increase in interest rates causes commodity prices to fall immediately by approximately...

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Common Currencies vs. Monetary Independence

Thomas F. Cooley and Vincenzo Quadrini.

in The Review of Economic Studies

October 2003; p ublished online October 2003 .

Journal Article. Subjects: Prices, Business Fluctuations, and Cycles; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 9476 words.

We study the optimal monetary policy in a two-country open-economy model under two monetary arrangements: (a) multiple currencies controlled by independent policy makers; (b) common...

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A comparative analysis of macroprudential policies

Yaprak Tavman.

in Oxford Economic Papers

April 2015; p ublished online January 2015 .

Journal Article. Subjects: Financial Regulation; Banking; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 8633 words.

The global financial crisis has clearly shown that macroeconomic stability is not sufficient to guarantee the stability of the financial system. Hence, the recent policy debate has focused...

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