| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6559 |
| DP6559 The Economic Effects of Energy Price Shocks | |
| Lutz Kilian | |
| 发表日期 | 2007-11-09 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the effect of creditor protection on the volatility of stock market returns. Our application of the Tobin?s q model predicts that credit protection reduces the probability of oscillations between binding and nonbinding states of the credit constraint, which result from liquidity crises and their aftermath. In this way creditor protection regulation reduces the stock market price volatility. We test this prediction by using cross-country panel regressions of the stock return volatility, in 40 countries, over the period from 1984 to 2004. Estimated probabilities of big shocks to liquidity are used as a forecast of a switch from a credit?unconstrained to a credit-constrained regime. We find support for the hypothesis that creditor protection institutions reduce the probability of oscillations between binding and nonbinding states of the credit constraint and thereby help reduce the asset price volatility. |
| 主题 | International Macroeconomics |
| 关键词 | Collateral Credit constrained regimes Probability of liquidity crisis |
| URL | https://cepr.org/publications/dp6559 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535398 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian. DP6559 The Economic Effects of Energy Price Shocks. 2007. |
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