Resultados da Busca
Creator: Glosten, Lawrence R., Jagannathan, Ravi, and Runkle, David Edward Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 505 Abstract:
Earlier researchers have found either no relation or a positive relation between the conditional expected return and the conditional variance of the monthly excess return on stocks when they used the standard GARCH-M model. This is in contrast to the negative relation found when other approaches were used to model conditional variance. We show that the difference in the estimated relation arises because the standard GARCH-M model is misspecified. When the standard model is modified allow for (i) the presence for seasonal patterns in volatility, (ii) positive and negative innovations to returns to having different impacts on conditional volatility, and (iii) nominal interest rates to affect conditional variance, we once again find support for a negative relation. Using the modified GARCH-M model, we also show that there is little evidence to support the traditional view that conditional volatility is highly persistent. Also, positive unanticipated returns result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility of a similar magnitude. Hence the time series properties of the monthly excess return on stocks appear to be substantially different from that of the daily excess return on stocks.
Palavra-chave: Rate of return, Asset valuation, Stocks, Return rate, Stock market, and Risk Sujeito: G12 - Asset Pricing; Trading Volume; Bond Interest Rates and G11 - Portfolio Choice; Investment Decisions
Creator: Smith, Bruce D. (Bruce David), 1954-2002 and Stutzer, Michael J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 410 Palavra-chave: Adverse selection, Farm Credit System, Risk, Assets, FCS, Dividends, and Mutuals Sujeito: H81 - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts
Creator: Boyd, John H. and Graham, Stanley L. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 398 Abstract:
This study estimates the effects of allowing bank holding companies (BHCs) to enter several lines of financial business not now permitted. A simulation technique is used to estimate the risk and return of hypothetical financial corporations after merger between a BHC and a large firm in each of these industries: securities, real estate, life insurance, property and casualty insurance, and insurance agencies. The study concludes that a merger between a BHC and a life insurance company may decrease the probability of bankruptcy for the merged firm relative to the BHC alone. This result does not hold true, however, for BHC mergers with firms in the other industries. In particular, BHC mergers with securities or real estate firms are found to increase the probability of bankruptcy.
Palavra-chave: Merger, Bankruptcy, Securities, Bank holding companies, Insurance, Bank holding company, Risk, and Real estate Sujeito: G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill, G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages, and G28 - Financial Institutions and Services: Government Policy and Regulation
Creator: Atkeson, Andrew Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 381 Abstract:
This paper examines the optimal debt contract between lenders and a sovereign borrower when the borrower is free to repudiate the debt and when his decision to invest or consume borrowed funds is unobservable. We show that recurrent debt crises are a necessary part of the incentive structure which supports the optimal pattern of lending.
Palavra-chave: Debt crisis, Optimal debt contract, Credit market, Moral hazard, International capital, International debt, International loans, Foreign lending, and Risk Sujeito: F34 - International Lending and Debt Problems
Creator: Boyd, John H. and Graham, Stanley L. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 378 Palavra-chave: Real estate, Bank holding companies, Insurance, Nonbank activities, Risk, and Securities Sujeito: G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages and C15 - Statistical Simulation Methods: General
Creator: Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 367 Palavra-chave: Dynamic economy, Shocks, Equilibrium, Stockman, Stochastic comparative statistics, and Risk Sujeito: C19 - Econometric and Statistical Methods: Other and E13 - General Aggregative Models: Neoclassical
Creator: Stutzer, Michael J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 300 Palavra-chave: Uncertainty, Risk, Equilibrium analysis, Infinite hyperreal number, and Hyperinfinite probability theory Sujeito: C68 - Computable General Equilibrium Models and D81 - Criteria for Decision-Making under Risk and Uncertainty
Creator: Smith, Bruce D. (Bruce David), 1954-2002 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 228 Abstract:
"Summary of Recommendations: . . . Repeal present control by the System over interest rates that member banks may pay on time deposits and present prohibition of interest payments by member banks on demand deposits." Milton Friedman (1960, p. 100) "I conclude that the over-all monetary effects of ceiling regulations are small and easy to neutralize by traditional monetary controls. The allocative and distributive effects are, however, unfortunate. The root of the policy was an exaggerated and largely unnecessary concern for the technical solvency of savings and loan associations." James Tobin (1970, p. 5) The regulation of deposit interest rates has received little support from economists. The same is true for the original rationale for such regulation: that bank competition for deposits generates inherent "instability" in the banking system. This paper develops an "adverse selection" model of banking in which this rationale is correct. Moreover, in this model instability in the banking system can arise despite the presence of a "lender of last resort," and despite the absence of any need for "deposit insurance." However, in the world described, the regulation of deposit interest rates is shown to be an appropriate response to "instability" in the banking system. Finally, it is argued that "adverse selection" models of deposit interest rate determination can confront a number of observed phenomena that are not readily explained in other contexts.
Palavra-chave: Banking Act, Banking panics, Risk, Instability, Bank regulation, Unregulated banks, Banking Act of 1935, and Banking Act of 1933 Sujeito: G11 - Portfolio Choice; Investment Decisions, E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems, D82 - Asymmetric and Private Information; Mechanism Design, and G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Creator: Danforth, John P. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 090 Palavra-chave: Income, Salary, Risk, Employment, and Job hunting Sujeito: J64 - Unemployment: Models, Duration, Incidence, and Job Search
Creator: Danforth, John P. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 069 Palavra-chave: Income distribution, Wealth, Risk, and Employment Sujeito: J31 - Wage Level and Structure; Wage Differentials and J01 - Labor Economics: General