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PAOLO ANGELINI ANDREA NOBILI CRISTINA PICILLO 《Journal of Money, Credit and Banking》2011,43(5):923-958
After the onset of the financial crisis, spreads between interbank interest rates on unsecured and secured deposits for the major world currencies became exceptionally large and volatile. First, we find that the phenomenon was mainly driven by aggregate—rather than bank‐specific—factors, notably risk aversion, and accounting practices; by contrast, funding liquidity, capital shortage, and central bank interventions were not important determinants. Second, prior to August 2007, the spread was broadly insensitive to key borrower characteristics, whereas afterward it became somewhat more reactive to measures of creditworthiness. Third, conditions for big borrowers became relatively more favorable during the crisis, suggesting that moral hazard risks related to the “too‐big‐to‐fail” argument have increased. These results are discussed in the light of theories on the interbank market during a crisis. 相似文献
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CRISTINA FUENTES‐ALBERO 《Journal of Money, Credit and Banking》2019,51(6):1581-1621
The Great Moderation was accompanied by an increase in financial volatility. We explore the sources of these divergent patterns in volatilities by estimating a model with time‐varying financial rigidities subject to structural breaks in the size of shocks, the monetary policy rule coefficients, and the average size of the financial rigidity. Institutional changes are key in accounting for the Great Moderation and in shaping the transmission mechanism of financial shocks. The increase in financial volatilities is accounted for by larger financial shocks, but the vulnerability of the economy to these shocks is significantly alleviated by the estimated changes in institutions. 相似文献
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In this paper, we build a framework where the interplay between the lobby power of special interest groups and the voting power of the majority of the population leads to political business cycles. We apply our setup to explain electoral cycles in government expenditure composition, aggregate expenditures, and real exchange rates. 相似文献
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