 | Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide Author/Editor: Nicolas R Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama. Release Date:July, 2013 There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The SysMo project takes stock of the current toolkit more...
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 | Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Author/Editor: Tiago Severo. Release Date:July, 2012 I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 more...
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| Intangible Capital, Relative Asset Shortages and Bubbles Author/Editor: Stefano Giglio, Tiago Severo. Release Date:November, 2011 We analyze an overlapping generations economy with financial frictions and accumulation of both physical and intangible capital. The key difference between them is that intangible capital cannot be more...
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| Shocks, Financial Dependence, and Efficiency : Evidence From U.S. and Canadian Industries Author/Editor: Marcello M. Estevão, Tiago Severo. Release Date:August, 2011 The paper investigates how changes in industries'' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, more...
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| Financial Shocks and TFP Growth Author/Editor: Tiago Severo, Marcello M Estevão. Release Date:January, 2010 The paper investigates how changes in industries' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, more...
| Price: $18.00
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