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Content archived on 2024-06-11

Financial markets and the underlying real economy

Objective



The first project, on the term structure, allows nominal distortions to affect capital accumulation. A method that delivers consistent and asymptotically normal estimators of the structural parameters of a multi-factor term structure model is used to estimate an overidentified system with cross-equation restrictions imposed on panel data of nominal bond yields, real consumption, inflation and stock market excess returns. By identifying the common risk factors explaining the stock and bond markets, the underlying factors driving the economy are uncovered. The second project studies different structures of financial intermediation, equilibrium credit rationing, and the effects of financial deregulation. Using a costly output verification framework, the research analyses how alternative market structures, monopolistic and competitive intermediation, affect both the level of economic activity and the efficiency of the economy. The research will also derive the optimal capital structure under different assumptions about the information available to financial markets.

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Programme(s)

Topic(s)

Call for proposal

Data not available

Funding Scheme

RGI - Research grants (individual fellowships)

Coordinator

London Business School
EU contribution
No data
Address
Sussex Place Regent's Park
NW1 4SA London
United Kingdom
Total cost
No data

Participants (1)