- The New School University, Department of Economics, Graduate Studentadd
- Postdoc researcher with international work experience and policy research skills. Significant expertise in macroeconomic and time-series analysisedit
This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as... more
This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as “peripheral” economies. We analyze the effects of financial fragmentation on the monetary transmission mechanism through the traditional interest rate channel. To gauge the impact of changes in policy rates on the behavior of real variables such as aggregate output and employment we use a Smooth Transition VAR (VSTAR) model. Employing a nonlinear multivariate time series approach helps us capture the regime-dependent dynamics of the variables under study. The results obtained show that money market rates targeted by the central bank do not completely pass through to banks’ lending rates to firms, particularly in a financially fragmented environment. This finding supports the hypothesis of an impairment of the monetary transmission mechanism as a result of financial fragmentation. Given this impairment in some sectors and regions an accompanying credit volume policy might have been appropriate.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
We study the relative attractiveness of long-term projects in a stylized framework with decreasing absolute risk aversion, consumption smoothing and uninsurable, undiversifiable risk. We find that, in the presence of such risks, a... more
We study the relative attractiveness of long-term projects in a stylized framework with decreasing absolute risk aversion, consumption smoothing and uninsurable, undiversifiable risk. We find that, in the presence of such risks, a decreasing absolute risk aversion can interact with the payoff structure of long-term projects creating an endogenous discounting of delayed payoffs. In contrast to traditional treatments of short-termism, the resulting discounting depends positively on risk, implying that risk exacerbates short-termist behavior. Our setting treats investment as a long-term commitment of resources that, once committed, become unavailable in the short term. We discuss what determines long-term investment in such a setting and also explore supportive policy measures that can be implemented, in particular, during times of increased uncertainty.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
This paper analyzes the implications of investors’ short-term oriented asset holding and portfolio decisions (or short-termism), and its consequences on green investments. We adopt a dynamic portfolio model, which contrary to conventional... more
This paper analyzes the implications of investors’ short-term oriented asset holding and portfolio decisions (or short-termism), and its consequences on green investments. We adopt a dynamic portfolio model, which contrary to conventional static mean-variance models, allows us to study optimal portfolios for different decision horizons. Our baseline model contains two assets, one asset with fluctuating returns and another asset with a constant risk-free return. The asset with fluctuating returns can arise from fossil-fuel based sectors or from clean energy related sectors. We consider different drivers of short-termism: the discount rate, the nature of discounting (exponential vs. hyperbolic), and the decision horizon of investors itself. We study first the implications of these determinants of short-termism on the portfolio wealth dynamics of the baseline model. We find that portfolio wealth declines faster with a higher discount rate, with hyperbolic discounting, and with shorter ...
Research Interests:
This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as... more
This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as “peripheral” economies. We analyze the effects of financial fragmentation on the monetary transmission mechanism through the traditional interest rate channel. To gauge the impact of changes in policy rates on the behavior of real variables such as aggregate output and employment we use a Smooth Transition VAR (VSTAR) model. Employing a nonlinear multivariate time series approach helps us capture the regime-dependent dynamics of the variables under study. The results obtained show that money market rates targeted by the central bank do not completely pass through to banks’ lending rates to firms, particularly in a financially fragmented environment. This finding supports the hypothesis of an impairment of the monetary transmission mechanism as a resul...