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he, xiaofeng. "CREDIT CYCLE, CREDIT RISK AND BUSINESS CONDITIONS". NCSU, 2001. http://www.lib.ncsu.edu/theses/available/etd-20010718-110156.
Pełny tekst źródłaWe first present a Complex Singular Value Decomposition (CSVD)analysis of credit cyle and explore the lead-lag relation betweencredit cycle and business cycle, then propose a GeneralizedLinear Model (GLM) of credit rating transition probabilitiesunder the impact of business conditions.To detect the cyclic trend existence of credit condition in U.S.economy, all credit variables and business variables aretransformed to complex values and the transformed data matrix isapproximated by first order of CSVD analysis. We show that theeconomy, represented by both credit conditions and businessconditions, is changing recurrently but with different frequenciesfor different time periods. Credit variables making the greatestlinear contribution to first Principal Component can be identifiedas credit cycle indicators. The result of leading businessvariables to credit variables in an economy provides the basis topredict credit condition by business cycle indicators.The credit rating system is a publicly available measure of theriskiness of financial securities and a rating transition matrixquantifies the risk, by permitting calculation of the probabilityof downgrade or default. Credit migration is observed to beinfluenced both by business conditions and by an issuer's owncredit status. We assume the rating history for a particularinstitution is Markovian, and histories for differentinstitutions are assumed to be statistically independent, in bothcases the history of market conditions are known. With a simpleGLM, we investigate the significance of business conditions andtheir two major impacts - creditworthinessdeterioration/improvement and credit stability. We propose amodel of transition probability in discrete time and a model ofinstantaneous transition rates in continuous time, and fit themby maximum likelihood. Business conditions are shown to have asignificant effect: higher likelihood for credit qualityimprovement and stability under good business conditions whilehigher likelihood for credit quality deterioration and driftunder severe business conditions. The two business impacts aresignificant and business deterioration/improvement impact isgreater than its stability impact on credit rating transitions.Investment-grade rating transitions are more sensitive to longrate risk while speculative-grade rating transitions are moresensitive to short rate risk. Compared to a discrete model, thecontinuous transition model has much greater over-dispersion butis more practical.
Jericevic, Sandra Lynne. "Loan contracting and the credit cycle /". Connect to thesis, 2002. http://eprints.unimelb.edu.au/archive/00000737.
Pełny tekst źródłaKubin, Ingrid, i Thomas Zörner. "Human Capital in a Credit Cycle Model". WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5681/1/wp251.pdf.
Pełny tekst źródłaSeries: Department of Economics Working Paper Series
Santos, João Ramiro Rodrigues Simões dos. "Credit cycle identification: A Markov-switching application". Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11723.
Pełny tekst źródłaThis project aims to study credit dynamics and to identify phases of credit cycles at the country level. We applied a Markov-switching (MS) autoregressive framework and a MS with regime-invariant macroeconomic variables to a broad concept of credit, domestic credit. We used a sample of 10 developed countries. MS identification power is assessed using smooth probabilities of low growth states, collected as a by-product of models estimation, against historical databases of crisis events. Conclusions support that MS is accurate in identifying credit cycle phases, and that domestic credit is a good variable for such identification. Additionally, Credit Gap, excess growth over GDP and Broad Money contribute positively to the MS predictions.
Marchesini, Camilo. "Optimal Monetary Policy, Macroprudential Instruments, and the Credit Cycle". Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-388488.
Pełny tekst źródłaPoudel, Rajeeb. "Single Notch Versus Multi Notch Credit Rating Changes and the Business Cycle". Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc848118/.
Pełny tekst źródłaChiu, Ching-Ngai. "Critical analysis of relationship between real estate cycle and credit ratings". Click to view the E-thesis via HKU Scholars Hub, 2006. http://lookup.lib.hku.hk/lookup/bib/B37937583.
Pełny tekst źródłaPu, Lifen. "Credit ratings and banking regulations in the context of real estate cycle". Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B41895642.
Pełny tekst źródłaPu, Lifen, i 普麗芬. "Credit ratings and banking regulations in the context of real estate cycle". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B41895642.
Pełny tekst źródłaSousa, Maria Inês Ferreira Drumond. "Essays on Macroeconomics of Banking: Credit Frictions, Business Cycle and Bank Capital". Tese, Faculdade de Economia da Universidade do Porto, 2006. http://hdl.handle.net/10216/7418.
Pełny tekst źródłaDOCTORAL PROGRAMME IN ECONOMICS
O papel das imperfeições do sistema financeiro na propagação de choques exógenos na economia tem sido tema de debate constante na literatura, com implicações significativas ao nível institucional. A principal questão em jogo é saber se as referidas imperfeições são capazes de transformar choques exógenos de pequena magnitude em movimentos amplificados e persistentes do produto agregado. Esta dissertação insere-se nesta linha de investigação analisando a forma como as estruturas microeconómicas, tais como a forma de financiamento dos bancos e a relação entre estes e os seus clientes, interagem com as condições macroeconómicas. Este trabalho contribui para clarificar o papel do capital dos bancos e da sua regulação na propagação dos ciclos económicos, tendo em conta a presente alteração nos requisitos mínimos de capital proposta pelo Acordo de Basileia II. Após o Capítulo 1, que articula a literatura teórica sobre a relação entre o capital dos bancos e os ciclos económicos com a literatura sobre os requisitos de capital exigidos pelos Acordos de Basileia, o Capítulo 2 propõe um modelo dinâmico de equilíbrio geral no qual os bancos estão sujeitos a requisitos mínimos de capital ajustados pelo risco. Tendo em conta que a emissão de capital pelos bancos é mais onerosa do que os depósitos, devido à preferência das famílias por liquidez, e que esta diferença de custo tende a aumentar (diminuir) durante uma recessão (expansão), exploramos, neste capítulo, um canal adicional através do qual os efeitos dos choques exógenos na actividade económica são amplificados o bank capital channel. Este efeito de amplificação é mais forte quando introduzimos as regras propostas por Basileia II (por oposição a Basileia I). Para avaliar com mais exactidão os potenciais efeitos pró-cíclicos de Basileia II, integramos, no Capítulo 3, a relação entre o banco e as empresas às quais este empresta num modelo de agentes heterogéneos, de acordo com o qual as condições de acesso ao crédito por parte de cada uma dessas empresas dependem do seu risco de crédito. Este modelo permite-nos concluir que, na medida em que (i) é mais dispendioso deter capital dos bancos durante uma recessão e (ii) o portfolio do banco é caracterizado por uma fracção significativa de pequenas empresas fortemente dependentes do crédito bancário, a introdução de Basileia II acentua as tendências pró-cíclicas do sistema bancário, amplificando as flutuações dos ciclos económicos.
The role of financial frictions in the propagation of exogenous shocks in the economy has been subject of much debate in the literature and of significant implications at the institutional level. The main issue at stake is whether financial frictions are able to transform small exogenous shocks to the economy into amplified and persistent movements in aggregate output. This dissertation fits in this line of research by centering its attention on how microeconomic structures, such as the bank funding structure and the relationship between banks and borrowers, interact with macroeconomic conditions. It contributes to clarify the role of bank capital and its regulatory environment in the propagation of business cycles, taking into account the current institutional changeover from Basel I to Basel II bank capital requirements. After Chapter 1, that brings together the theoretical literature on the relationship between bank capital and the business cycle with the literature on the regulatory capital requirements under the Basel Accords, Chapter 2 proposes a dynamic general equilibrium model in which banks are constrained by a risk-based capital requirement. Taking into account that bank capital is more expensive to raise than deposits, due to households' preferences for liquidity, and that this difference tends to widen (narrow) during a recession (expansion), we explore an additional channel through which the effects of exogenous shocks on real activity are amplified - the bank capital channel. This amplification effect is larger under Basel II than under Basel I rules. To evaluate more accurately the potential procyclical effects of Basel II, we embed, in Chapter 3, the bank-borrower relationship into a heterogeneous-agent model, in which firms have different access to bank credit depending on their credit risk. We conclude that, to the extent that it is more costly to hold bank capital during recessions and that the bank's loan portfolio is characterized by a significant fraction of highly leveraged and small firms, the introduction of Basel II accentuates the procyclical tendencies of banking, amplifying business cycle fluctuations.
Sousa, Maria Inês Ferreira Drumond. "Essays on Macroeconomics of Banking: Credit Frictions, Business Cycle and Bank Capital". Doctoral thesis, Faculdade de Economia da Universidade do Porto, 2006. http://hdl.handle.net/10216/7418.
Pełny tekst źródłaDOCTORAL PROGRAMME IN ECONOMICS
O papel das imperfeições do sistema financeiro na propagação de choques exógenos na economia tem sido tema de debate constante na literatura, com implicações significativas ao nível institucional. A principal questão em jogo é saber se as referidas imperfeições são capazes de transformar choques exógenos de pequena magnitude em movimentos amplificados e persistentes do produto agregado. Esta dissertação insere-se nesta linha de investigação analisando a forma como as estruturas microeconómicas, tais como a forma de financiamento dos bancos e a relação entre estes e os seus clientes, interagem com as condições macroeconómicas. Este trabalho contribui para clarificar o papel do capital dos bancos e da sua regulação na propagação dos ciclos económicos, tendo em conta a presente alteração nos requisitos mínimos de capital proposta pelo Acordo de Basileia II. Após o Capítulo 1, que articula a literatura teórica sobre a relação entre o capital dos bancos e os ciclos económicos com a literatura sobre os requisitos de capital exigidos pelos Acordos de Basileia, o Capítulo 2 propõe um modelo dinâmico de equilíbrio geral no qual os bancos estão sujeitos a requisitos mínimos de capital ajustados pelo risco. Tendo em conta que a emissão de capital pelos bancos é mais onerosa do que os depósitos, devido à preferência das famílias por liquidez, e que esta diferença de custo tende a aumentar (diminuir) durante uma recessão (expansão), exploramos, neste capítulo, um canal adicional através do qual os efeitos dos choques exógenos na actividade económica são amplificados o bank capital channel. Este efeito de amplificação é mais forte quando introduzimos as regras propostas por Basileia II (por oposição a Basileia I). Para avaliar com mais exactidão os potenciais efeitos pró-cíclicos de Basileia II, integramos, no Capítulo 3, a relação entre o banco e as empresas às quais este empresta num modelo de agentes heterogéneos, de acordo com o qual as condições de acesso ao crédito por parte de cada uma dessas empresas dependem do seu risco de crédito. Este modelo permite-nos concluir que, na medida em que (i) é mais dispendioso deter capital dos bancos durante uma recessão e (ii) o portfolio do banco é caracterizado por uma fracção significativa de pequenas empresas fortemente dependentes do crédito bancário, a introdução de Basileia II acentua as tendências pró-cíclicas do sistema bancário, amplificando as flutuações dos ciclos económicos.
The role of financial frictions in the propagation of exogenous shocks in the economy has been subject of much debate in the literature and of significant implications at the institutional level. The main issue at stake is whether financial frictions are able to transform small exogenous shocks to the economy into amplified and persistent movements in aggregate output. This dissertation fits in this line of research by centering its attention on how microeconomic structures, such as the bank funding structure and the relationship between banks and borrowers, interact with macroeconomic conditions. It contributes to clarify the role of bank capital and its regulatory environment in the propagation of business cycles, taking into account the current institutional changeover from Basel I to Basel II bank capital requirements. After Chapter 1, that brings together the theoretical literature on the relationship between bank capital and the business cycle with the literature on the regulatory capital requirements under the Basel Accords, Chapter 2 proposes a dynamic general equilibrium model in which banks are constrained by a risk-based capital requirement. Taking into account that bank capital is more expensive to raise than deposits, due to households' preferences for liquidity, and that this difference tends to widen (narrow) during a recession (expansion), we explore an additional channel through which the effects of exogenous shocks on real activity are amplified - the bank capital channel. This amplification effect is larger under Basel II than under Basel I rules. To evaluate more accurately the potential procyclical effects of Basel II, we embed, in Chapter 3, the bank-borrower relationship into a heterogeneous-agent model, in which firms have different access to bank credit depending on their credit risk. We conclude that, to the extent that it is more costly to hold bank capital during recessions and that the bank's loan portfolio is characterized by a significant fraction of highly leveraged and small firms, the introduction of Basel II accentuates the procyclical tendencies of banking, amplifying business cycle fluctuations.
Rawat, Umang. "Essays on macroeconomic dynamics, credit intermediation and financial stability". Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/275970.
Pełny tekst źródłaHolmberg, Ulf. "Essays on credit markets and banking". Doctoral thesis, Umeå universitet, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53494.
Pełny tekst źródłaGiovannini, Massimo. "Essays on credit frictions and incomplete markets". Thesis, Boston College, 2012. http://hdl.handle.net/2345/2872.
Pełny tekst źródłaThesis advisor: Matteo Iacoviello
The dissertation is composed by two chapters. In the first one, I study the role of credit constraints and incomplete markets in the short run transmission of monetary shocks, using the superneutrality result that would obtain from preference separability in the Sidrauski model under complete markets as a benchmark. I find that money demand heterogeneity stemming from binding credit constraints invalidates the superneutrality result. I show this result under two alternative settings. In a simple two agents model, with heterogeneity in the rates of time preference, whether positive shocks to the growth rate of money are expansionary or contractionary crucially depends on the transfer scheme adopted by the monetary authority to rebate seigniorage transfers: redistributional effects implied by symmetric lump-sum transfers are contractionary, while wealth-neutral transfers are expansionary. In a model with uninsurable idiosyncratic risk, the approximate aggregation property fails to hold due to the high degree of heterogeneity of money demand and to the properties of the cross-sectional distribution of money holdings, suggesting the inadequacy of the representative agent assumption and the need for a more elaborate approximation of the wealth distribution to predict prices. In the second chapter, we propose a real business cycle model with labor and credit market frictions in which borrowing is conditional on employment status. Relative to a conventional set up, and as long as credit is valued positively, our model generates a non-standard labor/leisure trade off that induces job applicants to accept lower wages and firms to post more vacancies, ultimately increasing employment. A shock to the demand of durable goods, by increasing the collateral value, reduce the opportunity cost of working, and generates an increase in employment and output. The transmission of a financial shock that increases the loan to value ratio, is dampened by the costs, in terms of leisure, incurred by the borrowers. We show that this mechanism is able to generate the positive comovement between outstanding household debt and employment observed in the data, whereas a conventional model, in which employment status is irrelevant for obtaining credit, predicts a counterfactual negative comovement
Thesis (PhD) — Boston College, 2012
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Hagemann, Harald. "L. Albert Hahn's Economic Theory of Bank Credit". WU Vienna University of Economics and Business, 2010. http://epub.wu.ac.at/2948/1/wu_wp134.pdf.
Pełny tekst źródłaSeries: Department of Economics Working Paper Series
Бульбах, О. О. "Оцінка кредитоспроможності підприємства". Master's thesis, Cумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81870.
Pełny tekst źródłaОсновной результат работы состоит в том, что проведенный анализ дал возможность выяснить недостатки в методиках оценки кредитоспособности заемщика, используемые различными банками, поэтому разработка рекомендаций по улучшению качества такой оценки являются обоснованными и подтвержденными с помощью расчетов.
The main result of the work is that the analysis made it possible to identify shortcomings in the methods of assessing the borrower's creditworthiness used by different banks, so the development of recommendations to improve the quality of such assessment is justified and confirmed by calculations.
Лакоза, М. В. "Кредитний цикл в банківській системі". Master's thesis, Сумський державний університет, 2019. http://essuir.sumdu.edu.ua/handle/123456789/76232.
Pełny tekst źródłaThe main scientific result of the work is to establish influence credit cycles for banking system activities and methods eliminate the effects of credit cycles.
Sandström, Emma. "The credibility of a journal : The notion of credit in the world of scientific publishing". Thesis, Umeå universitet, Sociologiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-66119.
Pełny tekst źródłaLardeau, Thomas Laurent. "Equilibre du marché du crédit et cycle économique : un nouvel accélérateur financier". Thesis, Paris 13, 2014. http://www.theses.fr/2014PA131027/document.
Pełny tekst źródłaWith the renewal of financial cycles and the subprime crisis, literature had focused on the macroeconomic influence of the financial factors. From the credit market, it mainly developed along the theory of financial accelerator (Bernanke and Gertler [1989], Bernanke, Gertler and Gilchrist [1999]) which is based on the hypothesis of asymmetric information. This thesis gives aim to complete this literature by considering that credit supply must be also considered in radical uncertainty and to return on it by proposing, from some of its own limits, another mechanism of financial accelerator which can be viewed as more macroeconomic. So, it leads us to improve our understanding of the credit market in the explanation of macroeconomic fluctuations and to reconsider economic policy related
Zhao, Jing. "Household debt service burden outlook an exploration on the effect of credit constraints /". Connect to this title online, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1054650767.
Pełny tekst źródłaTitle from first page of PDF file. Document formatted into pages; contains xii, 210 p.; also includes graphics (some col.) Includes bibliographical references (p. 203-210). Available online via OhioLINK's ETD Center
Kubesa, Lukáš. "Úvěrové riziko a jeho řízení v kontextu hospodářského cyklu". Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-9237.
Pełny tekst źródłaWen, Shen, i Wu Simin. "The Relationship between Credit Constraints and Household Risky Assets : The Case of China". Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36750.
Pełny tekst źródłaLešková, Michaela. "Finančný cyklus a jeho indikátory". Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-264318.
Pełny tekst źródłaJůza, Jaromír. "Souvislosti úvěrového a hospodářského cyklu". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199001.
Pełny tekst źródłaBrianti, Marco. "Essays in Macroeconomics:". Thesis, Boston College, 2021. http://hdl.handle.net/2345/bc-ir:109064.
Pełny tekst źródłaThe dissertation studies the primary sources of business-cycle fluctuations and their interaction with uncertainty and financial frictions. In my work, I examine the degree to which changes in uncertainty and financial conditions can be independent drivers of economic fluctuations; I study the sources of boom-bust cycles and whether they are linkedto credit market sentiments; and I ask how financial frictions affect economic fluctuations in terms of prices and quantities. In "Financial and Uncertainty Shocks", I separately identify financial and uncertainty shocks using a novel SVAR procedure and discuss their distinct monetary policy implications. The procedure relies on the qualitatively different responses of corporate cash holdings: after a financial shock, firms draw down their cash reserves as they lose access to external finance, while uncertainty shocks drive up cash holdings for precautionary reasons. Although both financial and uncertainty shocks are contractionary, my results show that the former are inflationary while the latter generate deflation. I rationalize this pattern in a New-Keynesian model: after a financial shock, firms increase prices to raise current liquidity; after an uncertainty shock, firms cut prices in response to falling demand. These distinct channels have stark monetary policy implications: conditional on uncertainty shocks the divine coincidence applies, while in case of financial shocks the central bank can stabilize inflation only at the cost of more unstable output fluctuations. In "What are the Sources of Boom-Bust Cycles?", joint with Vito Cormun, we provide a synthesis of two major views on economic fluctuations. One view maintains that expansions and recessions arise from the interchange of positive and negative persistent exogenous shocks to fundamentals. This is the conventional view that gave rise to the profusion of shocks used in modern dynamic stochastic general equilibrium models. In contrast, a second view, which we call the endogenous cycles view, holds that business cycle fluctuations are due to forces that are internal to the economy and that endogenously favor recurrent periods of boom followed by a bust. In this environment, cycles can occur after small perturbations of the long run equilibrium. We find empirical evidence pointing at the coexistence of both views. In particular, we find that the cyclical behaviour of economic aggregates is due in part to strong internal mechanisms that generate boom-bust phenomena in response to small changes in expectations, and in part to the interchange of positive and negative persistent fundamental shocks. Motivated by our findings, we build a theory that unifies the dominant paradigm with the endogenous cycles approach. Our theory suggests that recessions and expansions are intimately related phenomena, and that understanding the nature of an expansion, whether it is driven by fundamentals or by beliefs, is a first order issue for policy makers whose mandate is to limit the occurrance of inefficient economic fluctuations. In "COVID-19 and Credit Constraints'', joint with Pierluigi Balduzzi, Emanuele Brancati, and Fabio Schiantarelli, we investigate the economic effects of the COVID-19 pandemic and the role played by credit constraints in the transmission mechanism, using a novel survey of expectations and plans of Italian firms, taken just before and after the outbreak. Most firms revise downward their expectations for sales, orders, employment, and investment, while prices are expected to increase at a faster rate, with geographical and sectoral heterogeneity in the size of the effects. Credit constraints amplify the effects on factor demand and sales of the COVID-19 generated shocks. Credit-constrained firms also expect to charge higher prices, relative to unconstrained firms. The search for and availability of liquidity is a key determinant of firms' plans. Finally, both supply and demand shocks play a role in shaping firms' expectations and plans, with supply shocks being slightly more important in the aggregate
Thesis (PhD) — Boston College, 2021
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Kenttä, Tony. "When Belongings Secure Credit… : Pawning and Pawners in Interwar Borås". Doctoral thesis, Uppsala universitet, Ekonomisk-historiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-303601.
Pełny tekst źródłaJaníčko, Martin. "Essays on Financial Innovation, Credit Constraints, and Welfare". Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-165930.
Pełny tekst źródłaConti, Antoniomaria. "Essays on Monetary Policy, Low Inflation and the Business Cycle". Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/260933.
Pełny tekst źródłaDoctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
Hansson, Denise. "Housing Finance and the Transmission of Mortgage Spread Shocks". Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-415538.
Pełny tekst źródłaHammerová, Jitka. "Problematika hypotečního úvěrování v České republice". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4455.
Pełny tekst źródłaKábelková, Lenka. "Souvislosti hospodářského cyklu a vývoje na trhu s hypotéčními úvěry". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113683.
Pełny tekst źródłaMendicino, Caterina. "Financial market imperfections, business cycle fluctuations and economic growth". Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2006. http://www2.hhs.se/EFI/summary/705.htm.
Pełny tekst źródłaNinou, Bozou Caroline. "Aversion au risque et concurrence bancaire : disponibilité des crédits et cycle économique". Thesis, Paris 2, 2019. http://www.theses.fr/2019PA020052.
Pełny tekst źródłaIn this thesis, we focus on two determinants of credit availability and more broadly, the business cycle: banking market structure, and risk and time preferences. First, in an empirical chapter, we demonstrate a negative relationship between the concentration of the banking sector and the availability of credit. We also show that this relationship depends on the specific characteristics of firms and banks. Secondly, in a theoretical chapter, we compare, in the framework of a nonlinear Dynamic Stochastic General Equilibrium (DSGE) model, different banking market structures and we analyse their respective impact on the business cycle and households’ welfare. We find that a concentrated oligopolistic structure mitigates the transmission mechanism of financial shocks and improves the households’ welfare compared to other market structures. In the final chapter, we analyse, through a nonlinear DSGE model, the impact of an increase in the degree of risk aversion on the transmission mechanisms of economic shocks. Moreover, considering the time-varying nature of risk aversion, we evaluate the transmission mechanisms of risk aversion shocks to the whole economy
Řídký, Jan. "Řízení a regulace úvěrového rizika a jejich vliv na hospodářství USA v období od 80. let minulého století do současnosti". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-136332.
Pełny tekst źródłaKavalírek, Jan. "Role bankovních úvěrů nefinančním podnikům v hospodářském cyklu". Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360161.
Pełny tekst źródłaBinderová, Anna. "Analýza makroekonomických dopadů zadluženosti českých domácností". Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15734.
Pełny tekst źródłaSobolčik, Lukáš. "Řízení kreditního rizika". Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360192.
Pełny tekst źródłaAhlqvist, Sigge, i Matteus Arriaza-Hult. "How to measure the degree of PIT-ness in a credit rating system for a low default portfolio?" Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273632.
Pełny tekst źródłaFör att uppfylla Basel regelverken behöver banker beräkna två sannolikheter för fallissemang (PD): point-in-time (PIT) och through-the-cycle (TTC). Målet är att förklara fluktuationer i betygssystemet, som förväntas påverkas av systematiska och idiosynkratiska faktorer. Att på ett objektivt sätt kunna avgöra om betygssystemet tar hänsyn till affärscykeln - dvs de systematiska faktorerna - när man tilldelar en kredittagare ett kreditbetyg är användbart för att utvärdera PD-modeller. Detta är också nödvändigt för att banker ska få använda sina egna riskparametrar och modeller istället för standardiserade modeller, vilket är önskvärt för de flesta banker eftersom det kan sänka kapitalkraven. Denna avhandling föreslår ett nytt mått för att mäta graden av PIT-ness. Detta mått syftar till att vara särskilt användbart när man utvärderar en kreditportfölj med få fallissemang. Det föreslagna måttet är byggt på en Markov tillämpning på kreditbetygssystemet. För att hitta ett lämpligt mått för en kreditportfölj med få fallissemang, tar det föreslagna måttet hänsyn till kreditbetygsmigrationer, säsongskomponenten i affärscykeln och tidsserieanalys. En analys utfördes mellan två olika kreditportföljer för att tolka resultaten. Resultaten visade att graden av PIT-ness var lägre i en kreditportfölj med få fallissemang jämfört med en testportfölj som uppvisade en större mängd kreditbetygsmigrationer med en större magnitud. Vikten av att beakta relevanta makroekonomiska variabler för att representera affärscykeln nämndes bland de viktigaste faktorerna att beakta för att få tillförlitliga resultat givet det föreslagna måttet.
Borsi, Mihály Tamás. "Essays on Empirical Macroeconomics". Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/51005.
Pełny tekst źródłaEriksson, Julia, i Julia Jordeby. "Today's Credit Market - How to Avoid a House of Cards? : Austrian Full Reserves and the Chicago Plan as Alternatives to the Current Fractional Reserves". Thesis, Södertörns högskola, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-33700.
Pełny tekst źródłaStörsta delen av hushållens skuldsättning består idag av kreditpengar, och detta generella fenomen finns inte bara i Sverige. Pengarna i ekonomin är för det mesta skapade av affärsbankerna, så mycket som 97 procent i USA, medan centralbanken endast skapar en liten del av dessa pengar. Detta är anledningen till de höga hushållsskulderna. Under den här perioden av hög skuldsättning i Sverige så har även hushållens konsumtion ökat i förhållande till tidigare år. Syftet med denna studie är att jämföra hur penningmängden i två olika hundraprocentiga reservsystem, den österrikiska konjunkturcykeln, genom konvertibilitet, och Chicago planen, genom kvantitetskontroll, skulle reducera hushållens skulder i relation till dagens bråkdelsreservsystem. Metoden som används i denna studie är en tidsserieanalys där data från hushållens skulder, sparande, penningmängd; M1 och M3, BNP, tillgångar, guldreserver, valutareserver och repo räntan har samlats in under åren 2005-2013. Dessa variabler är studerade i tre olika ekvationer och all data har samlats in från SCB; IMF, Ekonomifakta och the World Data Bank. Den första teorin som används är Wicksells kumulativa process som beskriver hur penningmängden M3 påverkar hushållens skulder i dagens bråkdelsreservsystem. Den andra teorin är den österrikiska konjunkturcykel teorin och kommer att undersöka penningmängden M1 effekt på hushållens skulder med ett hundraprocentigt reservsystem med konvertibilitetskontroll. Den tredje teorin är Friedmans regel, där effekten på hushållens skulder kommer att bli undersökt med hjälp av penningmängden M1. Denna regel förklarar hur Chicagoplanen påverkar hushållens skulder via ett hundraprocentigt reservsystem med kvantitetskontroll. Hushållens skuldsättning ökade i samtliga regressioner och resultaten visar att med hundraprocentiga reserver så skulle hushållens skulder vara backade med sparande, jämfört med bråkdelsreserver, där hushållens skulder skulle vara backade med krediter. Därför skulle hundraprocentiga reserver bidra till en mer välmående ekonomi. Eftersom det skulle tillkomma höga kostnader att övergå till ett österrikiskt system med konvertibilitet, så är slutsatsen av denna studie att istället implementera Chicagoplanen baserad på kvantitetsprincipen.
Ніколаєва, К. В. "Макропруденційне регулювання кредитної діяльності банку". Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12358.
Pełny tekst źródłaThesis deals with theoretical aspects of systemic risk, its main sources, in particular the problems of bank lending, the concept of macroprudential policy, credit instruments of macroprudential regulation, which are used depending on the phase of the economic cycle Author analysis and influence of the main sources of systemic risk of the banking sector of Ukraine on the main indicators of financial stability is assessed. The influence of the credit cycle on the economic one is proved. The influence of certain factors on the change in the level of overdue debt on the loan portfolio of Ukraine as the main source of credit risk is analyzed.
Nam, Min-Ho. "Essays on housing and monetary policy". Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/3681.
Pełny tekst źródłaDaudignon, Sandra. "Three essays in monetary and financial economics". Thesis, Paris 1, 2020. http://www.theses.fr/2020PA01E063.
Pełny tekst źródłaThe first chapter analyses the impact of the central clearing requirement for swaps, which entered into force in 2013, on the derivatives activity of US banks. Part of treated banks, ie banks that are not eligible to the "end-user exception", reallocate their portfolio by substituting OTC interest rate swaps (regulated products) for OTC interest rate options (unregulated products). This suggests that these banks might engage in regulatory arbitrage. The second chapter allows for an integrated natural rate of interest in a new Keynesian mode! and studies its implications for optimal monetary policy under commitment. It shows that systematic increases in the optimal rate of inflation become warranted in response to downward shocks to the long-run natural rate, once this drifts below 1%. Nevertheless a constant price level targeting rule of the form put forward in Eggertsson and Woodford (2003) continues providing a good approximation to optimal commitment, as long as the long-run natural rate remains in positive territory. The third chapter investigates the link between micro-uncertainty, defined as the cross sectional dispersion of firms' idiosyncratic productivity, and the allocation of credit across firms. It analyses the equilibrium of a collateralized debt market where banks and financial investors internet in presence of adverse selection and signaling. The mode) predicts that a jump in micro uncertainty may generate a change of the information regime which may translate into a credit crunch. In this case, a high micro uncertainty restores the efficient allocation of credit as banks finance only high quality projects
Lilja, Kristina. "Marknad och hushåll : Sparande och krediter i Falun 1820-1910 utifrån ett livscykelperspektiv". Doctoral thesis, Uppsala University, Department of Economic History, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-4630.
Pełny tekst źródłaThe primary aim of this thesis has been to analyse the transformation of the Swedish capital market from a household perspective. The investigation shows that the transition from a mostly private credit market to a more institutionalised credit market took place at the end of the nineteenth century. At this time there were several actors in the credit market that were able to fulfil the diverse needs of credit that different households might have. This need was very much correlated to the household’s particular stage in its life-cycle. In accordance with the life-cycle theory and the permanent income hypothesis, households displayed a savings and consumption pattern that was dependent on income and the burden of expenditure. Households also seemed to have particular difficulty meeting expenditures, so-called life-cycle squeezes, when the household was first started, when the household size was at its peak and when the head of family reached old age, which coincided with a declining capacity to work. The investigation also shows that household savings were meant for old age. Contrary to the assumption made in life-cycle theory, households seemed to intend to provide heirs with an inheritance. This finding is more in keeping with the permanent income hypothesis, which states that households were expected to maintain their assets intact over the course of a life-time.
Ben, Mohamed Imen. "Credit market imperfections and business cycles". Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010002/document.
Pełny tekst źródłaThe crisis of 2009 raised the question whether the financial conditions matter for the business cycles and the propagation of shocks originating in the financial sphere. I tried to drive a fine analysis of this issue using micro-founded general equilibrium models. The modelling choice was backed by empirical motivations. In three essays, i study the impact of monetary and financial shocks on growth and labour market dynamics. First, an expansionary monetary policy eases credit conditions, raises risk tolerance and the quality of borrowers and generates a liquidity effect. The potency of the monetary policy and the size of the credit channel depend considerably on the degree of financial frictions in the credit market. Second, a restrictive monetary policy shock, an positive credit shock and a positive uncertainty shocks have similar effects on the economy: they plunge the economy in a recession, with output, job creations, and hours worked decreasing, while unemployment and job destructions increase. In all cases the interest rate spread increase, therefore indicating that financial conditions deteriorate, which is interpreted as a sign that financial frictions play a critical role in the propagation of these shocks. Third, the interaction between financial and labour market frictions does exist. The interplay between the two indeed plays a role in propagating the shocks. A shock to net worth, a credit shock and an uncertainty shock play a non-trivial role for the dynamics on the labour market
Tůma, Aleš. "Měnové příčiny hospodářského cyklu". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-10550.
Pełny tekst źródłaZivanovic, Jelena. "Essays on Credit Markets and Business Cycles". Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19356.
Pełny tekst źródłaThis thesis examines the role of corporate debt financing for the real economy. First, I study the conditional dynamics of the external finance premium using US data and find that the premium is countercyclical following supply and monetary policy shocks. Second, I analyze to which extent bank and bond financing affect the transmission of economic shocks in the context of a DSGE model. To the extent that large firms predominantly use capital market finance, whereas small firms rely on bank loans, the model predicts that the composition of corporate debt is relevant for the propagation of shocks. Contractionary monetary policy and financial shocks impair the ability of leveraged banks to provide loans, which adversely affects small firms. Bond financing dependent firms can nevertheless issue bonds in times of rising bond finance premia. These firms do not reduce their investments as strongly as bank financing dependent firms. As a consequence, the economy that relies only on bank credit is affected more by shocks than the economy with bank and bond finance. Finally, the model is used to evaluate the optimal mix of conventional, unconventional and macroprudential policies for segmented credit markets. I find that the optimal policy mix attains the highest welfare gains following financial shocks.
Jo, In Hwan. "Essays on Business Cycles with Credit Shocks". The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1429292314.
Pełny tekst źródłaGhiaie, Hamed. "Essais sur l’Économie Financière et la Modélisation des Politiques Économiques". Thesis, Cergy-Pontoise, 2018. http://www.theses.fr/2018CERG0965/document.
Pełny tekst źródłaThe modern economy, which is a result of intricate human society, compels economists and policy makers to build complex economic models. In addition to this complexity, each country requires its own economic policies. This thesis addresses these intricacies of modern economies. In the first three chapters of this thesis, I improve the current literature to assess the role of financial intermediary agents, housing and credit markets in the economy, using Dynamic Stochastic General Equilibrium (DSGE) models. Data from three periods in the US economy, including the economic climate before the Great Rescission, the systemic collapse in 2008, and post-crisis fiscal policies, are imputed into the models. Simple DSGE models havebeen criticized for not placing more emphasis on financial frictions. Here, I have included financial frictions on different sides of economy to resolve the failures of previous models.The results of simulations indicate that introducing these features to the economy reveals new channels and mechanisms which are neglected in simple models. As a result, my model gives a more accurate means to forecast economic movements. In addition, this thesis documents the significance of macroprudential policy regulations in financial stability, sustainability and welfare. Lastly, in the final two chapters of my thesis, I move away from the study of advanced markets and focus on developing economies. These chapters build new models and address a variety of economic questions pertaining to financial, public and labor economics in developing countries, through the lens of multi-agent dynamic general equilibrium models. I examine the impacts of real, monetary, fiscal and oil price shocks on the economic environment of developing countries. I then propose appropriate policy recommendations
Morozumi, Atsuyoshi. "Credit market imperfections, nominal rigidities, and business cycles". Thesis, University of Warwick, 2009. http://wrap.warwick.ac.uk/3178/.
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