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Financial Frictions

Cel

"Financial economics is at a crossroads: Academics are struggling to redefine the theory of finance and practitioners and regulators to restructure the financial industry. The current financial crisis will have significant impact on how we regulate financial markets and how we manage risk in companies and financial institutions. It will continue to inspire an intense discussion and research agenda over the next decade in academics, in industry, and among financial regulators and a central focus will be the role of frictions in financial markets. Nowhere are these issues more pertinent than in Europe right now.
To take up the challenge presented by this crossroad of financial economics, my research project seeks to contribute to the knowledge of financial frictions and what to do about them. FRICTIONS will explore how financial frictions affect asset prices and the economy, and the implications of frictions for financial risk management, the optimal regulation, and the conduct of monetary policy.
Whereas economists have traditionally focused on the assumption of perfect markets, a growing body of evidence is leading to a widespread recognition that markets are plagued by significant financial frictions. FRICTIONS will model key financial frictions such as leverage constraints, margin requirements, transaction costs, liquidity risk, and short sale constraints. The objective is to develop theories of the origins of these frictions, study how these frictions change over time and across markets, and, importantly, how they affect the required return on assets and the economy.
The project will test these theories using data from global equity, bond, and derivative markets. In particular, the project will measure these frictions empirically and study the empirical effect of frictions on asset returns and economic dynamics. The end result is an empirically-validated model of economic behavior subject to financial frictions that yields qualitative and quantitative insights."

Zaproszenie do składania wniosków

ERC-2012-StG_20111124
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System finansowania

ERC-SG - ERC Starting Grant

Instytucja przyjmująca

COPENHAGEN BUSINESS SCHOOL
Wkład UE
€ 1 307 160,00
Adres
SOLBJERG PLADS 3
2000 Frederiksberg
Dania

Zobacz na mapie

Region
Danmark Hovedstaden Byen København
Rodzaj działalności
Higher or Secondary Education Establishments
Kontakt administracyjny
Lise Damsgaard Joergensen (Ms.)
Kierownik naukowy
Lasse Heje Pedersen (Prof.)
Linki
Koszt całkowity
Brak danych

Beneficjenci (1)