PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2008 | nr 5 | 26
Tytuł artykułu

Banking crises and nonlinear linkages between credit and output

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
The paper presents a method for lottery valuation using the relative utility function. This function was presented by Kontek (2009) as "the aspiration function" and resembles the utility curve proposed by Markowitz (1952A). The paper discusses lotteries with discrete and continuous outcome distributions as well as lotteries with positive, negative and mixed outcomes providing analytical formulas for certainty equivalents in each case. The solution is similar to the Expected Utility Theory approach and does not use the probability weighting function - one of the key elements of Prospect Theory. Solutions to several classical behavioral problems, including the Allais paradox, are presented, demonstrating that the method can be used for valuing lotteries even in more complex cases of outcomes described by a combination of Beta distributions. The paper provides strong arguments against Prospect Theory as a model for describing human behavior and lays the foundations for Relative Utility Theory - a new theory of decision making under conditions of risk. (original abstract)
Rocznik
Numer
Strony
26
Opis fizyczny
Twórcy
Bibliografia
  • Azariadis, Costas, Smith, Bruce, 1998. Financial Intermediation and Regime Switching in Business Cycles . American Economic Review 88 (3), 516-536 (June).
  • Balke, Nathan S., 2000. Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks. Review of Economics and Statistics 82 (2), 344-349 (May).
  • Bernanke, Ben S., Gertler, Mark L., 1989, Agency Costs, Net Worth, and Business Fluctuations. American Economic Review 79 (1), 14-31 (March).
  • Białkowski, Jędrzej, Bohl, Martin T., Serwa, Dobromił, 2006. Testing for financial spillovers in calm and turbulent periods. Quarterly Review of Economics and Finance 46 (3), 397- 412 (July).
  • Blinder, Alan S., 1987. Credit Rationing and Effective Supply Failures. Economic Journal 97 (386), 327-352 (June).
  • Blinder, Alan S., Stiglitz, Joseph E., 1983. Money, Credit Constraints, and Economic Activity. American Economic Review 73 (2), 297-302 (May).
  • Boyd, John H., Kwak, Sungkyu, Smith, Bruce, 2005. The Real Output Losses Associated with Modern Banking Crises. Journal of Money, Credit, and Banking 37 (6), 977-999 (December).
  • Breunig, Robert, Najarian, Serinah, Pagan, Adrian, 2003. Specification Testing of Markov Switching Models. Oxford Bulletin of Economics and Statistics 65 (s1), 703-725(December).
  • Calza, Alessandro, Sousa, João, 2006. Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? Studies in Nonlinear Dynamics & Econometrics 10 (2), Article 3.
  • Caprio, Gerard, Klingebiel, Daniela, 2003. Episodes of systemic and borderline financial crises. World Bank, Washington (January).
  • Cordoba, Juan-Carlos, Ripoll, Marla, 2004, Credit Cycles Redux, International Economic Review 45 (4), 1011-1046 (November).
  • Demirgüç-Kunt, Asli, Detragiache, Enrica, 1998. The determinants of banking crises: evidence from developing and developed countries. IMF Staff Papers 45, 81-109.
  • Demirgüç-Kunt, Asli, Detragiache, Enrica, 2005. Cross-country empirical studies of systemic bank distress: a survey. National Institute Economic Review 192, 68-83 (April).
  • Demirguc-Kunt, Asli, Detragiache, Enrica, Gupta, Poonam, 2006. Inside the crisis: An empirical analysis of banking systems in distress. Journal of International Money and Finance 25 (5), 702-718 (August).
  • Edwards, Sebastian, Susmel, Raul, 2001. Volatility dependence and contagion in emerging equity markets. Journal of Development Economics 66 (2), 505-532 (December).
  • Galbraith, John W, 1996. Credit Rationing and Threshold Effects in the Relation between Money and Output. Journal of Applied Econometrics 11(4), 419-29 (July-August).
  • Granger, Clive W. J., 1980. Testing for causality: A personal viewpoint. Journal of Economic Dynamics and Control 2, 329-352.
  • Hutchison, Michael M., Noy, Ilan, 2005. How Bad Are Twins? Output Costs of Currency and Banking Crises. Journal of Money, Credit and Banking 37 (4), 725-752 (August).
  • Kaminsky, Graciela L., Reinhart, Carmen M., 1999. The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems. American Economic Review 89 (3), 473-500 (June).
  • Kaufmann, Sylvia, Valderrama, Maria T., 2007. The Role of Credit Aggregates and Asset Prices in the Transmission Mechanism. A Comparison between the Euro Area and the US, ECB Working Paper 816 (September).
  • Kiyotaki, Nobuhiro, Moore, John, 1997. Credit Cycles, Journal of Political Economy 105 (2),211-248 (April).
  • McCallum, John, 1991. Credit Rationing and the Monetary Transmission Mechanism.American Economic Review 81 (4), 946-951 (September).
  • Psaradakis, Zacharias, Ravn, Morten O., Sola, Martin, 2005. Markov Switching Causality and the Money-Output Relationship, Journal of Applied Econometrics 20 (5), 665-683.
  • Phillips, Kerk L., 1991. A Two-Country Model of Stochastic Output with Changes in Regime, Journal of International Economics 31 (1-2), 121-142 (August).
  • Ramey, Garey, Ramey, Valerie A., 1995. Cross-Country Evidence on the Link Between Volatility and Growth. American Economic Review 85 (5), 1138-1151 (December).
  • Ranciere, Romain, Tornell, Aaron, Westermann, Frank, 2007. Systemic Crises and Growth. Quarterly Journal of Economics, forthcoming.
  • Ravn, Morten O. Sola, Martin, 1995. Stylized facts and regime changes: Are prices procyclical? Journal of Monetary Economics 36 (3), 497-526 (December).
  • Sola, Martin, Spagnolo, Fabio, Spagnolo, Nicola, 2002. A test for volatility spillovers. Economics Letters 76 (1), 77-84 (June).
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171305831

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.