Essays about: "market frictions"

Showing result 1 - 5 of 28 essays containing the words market frictions.

  1. 1. Monetary Policy with Credit Market Frictions

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Mambuna Njie; [2023]
    Keywords : Monetary policy; Investments; Credit frictions; Collateral constraints;

    Abstract : I study the role of collateral as a source of financial friction in the transmission of monetary policy towards firms' investments. First, I use a panel of Swedish firms to estimate the heterogeneity in firm investment responses to monetary policy shocks conditional on collateral. READ MORE

  3. 2. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Gyllhamn; Jacob Winberg; [2022]
    Keywords : Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Abstract : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. READ MORE

  4. 3. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

  5. 4. Using FAVAR Model to Test the Credit Channel Monetary Policy Transmission Mechanism in Long-term Credit Cycle

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Zhihao Fu; [2020]
    Keywords : Monetary policy transmission mechanism; enterprise balance sheet channel; bank credit channel; FAVAR model; VAR model;

    Abstract : In this paper, based on the FAVAR model created by Ben Bernanke, 115 groups of economic variables' data from January 1959 to December 2014 were selected for the empirical analysis. From January 1959 to August 2008, the fed funds rate was used to work as the indicator of the monetary policy. READ MORE

  6. 5. Housing Finance and the Transmission of Mortgage Spread Shocks

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Denise Hansson; [2020]
    Keywords : Mortgage spread; credit supply; housing demand; monetary policy; business cycle;

    Abstract : Credit market frictions, captured by mortgage spreads, are potentially an equally important driver behind mortgage rate innovations as monetary policy. Possibly a significant driver of business cycles. Yet, the effect of such shocks on the economy has barely received any attention in empirical research. READ MORE