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[BOOK] Monetary policy and stock market boom-bust cycles

[PDF] from nber.org
L Christiano, C Ilut, R Motto, M Rostagno… - 2008 - nber.org
Abstract W e explore the dynamic effects ofnews about a future technology improvement
whichturns out expost to be overoptimistic. W e find that it is difficult to generate a boom-bust
cycle (a period in whichstock prices, consumption, investment and employment all rise ...
Cited by 208 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 60 versions

Monetary policy and stock market booms

[PDF] from kansascityfed.com
L Christiano, CL Ilut, R Motto… - 2010 - nber.org
... Lawrence Christiano Department of Economics Northwestern University 2003 Sheridan Road
Evanston, IL 60208 and NBER l-christiano@northwestern.edu Cosmin L. Ilut Duke University
213 Social Sciences Bldg., Box 90097 Durham, NC, 27708 cosmin.ilut@duke.edu ...
Cited by 23 - Related articles - Library Search - All 37 versions

[PDF] Ambiguity aversion: implications for the uncovered interest rate parity puzzle

[PDF] from nber.org
C Ilut - Unpublished manuscript, Duke Univ, 2009 - nber.org
Abstract Empirically, high-interest-rate currencies tend to appreciate in the future relative to
low-interest-rate currencies instead of depreciating as uncovered interest rate parity (UIP)
states. The explanation for the UIP puzzle that I pursue in this paper is that the agents' ...
Cited by 17 - Related articles - View as HTML - All 21 versions

[CITATION] Signals: Implications for business cycles and monetary policy

L Christiano, C Ilut, R Motto… - 2007 - mimeo, Northwestern University
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Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History

[PDF] from mnb.hu
P Benczur… - CEU&Economics WP, 2005 - papers.ssrn.com
Abstract: This paper is an empirical investigation into the role of credit history in determining
the spread on sovereign bank loans. It employs an error-in-variables approach used in
rational-expectations-macro-econometrics to set up a structural model that links sovereign ...
Cited by 7 - Related articles - All 36 versions

Monetary/fiscal policy mix and agents' beliefs

[PDF] from wustl.edu
F Bianchi… - 2012 - papers.ssrn.com
Abstract: We estimate a model for the US economy that allows for a switch from a non-
Ricardian to a Ricardian regime. We find that the change occurred in the early'80s and we
point out the following results. First, if the Ricardian regime had been in place since 1955 ...
Cited by 4 - Related articles - All 8 versions

Ambiguous Business Cycles

[PDF] from duke.edu
C Ilut… - 2012 - papers.ssrn.com
Abstract: This paper considers business cycle models with agents who dislike both risk and
ambiguity (Knightian uncertainty). Ambiguity aversion is described by recursive multiple
priors preferences that capture agents' lack of con fidence in probability assessments. ...
Cited by 3 - Related articles - All 11 versions

[PDF] Evidence for Relational Contracts in Sovereign Bank Lending

[PDF] from duke.edu
P Benczur… - Unpublished Paper, Duke University, 2009 - public.econ.duke.edu
Abstract This paper presents direct evidence for relational (self-enforcing dynamic) contracts
in sovereign bank lending. Unlike the existing empirical literature, its instrumental variables
method allows for distinguishing a direct influence of past repayment problems on current ...
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[CITATION] a Stock Market Boom&Bust Cycle, nmimeo

L Christiano, C Ilut, R Motto… - Northwestern University, 2007
Cited by 2 - Related articles

Monetary Policy and Stock Market Booms

CL Ilut, LJ Christiano, R Motto… - Working Papers, 2010 - ideas.repec.org
... [Downloadable!]; Ramón Adalid & Carsten Detken, 2007. "Liquidity shocks and asset price
boom/bust cycles," Working Paper Series 732, European Central Bank. [Downloadable!];
Lawrence Christiano & Cosmin Ilut & Roberto Motto & Massimo Rostagno, 2008. ...
Cached - Get it from MIT Libraries - All 3 versions

Evidence for dynamic contracts in sovereign bank lending

[PDF] from duke.edu
P Benczur… - Economics Working Paper, 2011 - papers.ssrn.com
Abstract: This paper presents direct evidence for self-enforcing dynamic contracts in
sovereign bank lending. Unlike the existing empirical literature, its instrumental variables
method allows for distinguishing a direct influence of past repayment problems on current ...
Related articles - All 8 versions

[PDF] The Role of Credit History in Sovereign Bank Lending

[PDF] from crei.eu
P Benczur… - 2007 - crei.eu
Abstract This paper is an empirical investigation into the role of credit history in determining
the spread on sovereign bank loans. It employs an error-in-variables approach used in
rationalexpectations-macro-econometrics to set up a structural link between sovereign ...
Related articles - View as HTML - All 6 versions

[PDF] Limited Information, Expectations and Pricing in (primary) Sovereign Bond Markets

[PDF] from eea-esem.com
C Ferreira, P Benczur… - 2011 - eea-esem.com
Abstract In the context of sovereign debt (foreign currency denominated) market for
emerging economies (EE), we propose a way to identify investor's default expectations and
their explanatory power for the bond spread at the time that a bond is issued. The ...
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[PDF] Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (Job Market Paper)

[PDF] from chicagofed.org
CL Ilut - 2008 - chicagofed.org
Page 1. Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (Job Market
Paper) ∗ Cosmin L. Ilut † November 2008 Abstract A positive domestic-foreign interest rate
differential predicts that the domestic currency will appreciate in the future. ...
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[PDF] 1. in-class students' presentations/discussions of articles chosen in advance. 2. a research proposal. Each student will present three times during this class: one …

[PDF] from duke.edu
C Ilut - 2010 - econ-dev.econ.duke.edu
Notes: 1. papers with (*) are part of the set of choice for what to present during lectures. 2. I
am open and encourage students to suggest other papers related to ambiguity for which
they may have a strong interest in presenting. 3. there are 2 subsections for choice (asset ...
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News and expectations formation: Some implications for macroeconomic models

CL Ilut - 2009 - gradworks.umi.com
UMI, ProQuest ® Dissertations & Theses. The world's most comprehensive collection
of dissertations and theses. Learn more... ProQuest, News and expectations formation:
Some implications for macroeconomic models. by Ilut ...
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