skip to content
Fire sales and the financial accelerator Preview this item
ClosePreview this item
Checking...

Fire sales and the financial accelerator

Author: Woon Gyu Choi; David Cook; IMF Institute,
Publisher: [Washington, D.C.] : International Monetary Fund, ©2010.
Series: IMF working paper, WP/10/141.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
During periods of financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and endogenous recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Consistent with empirical evidence, we find that recovery rates are pro-cyclical when collateral is costly to liquidate.  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Choi, Woon Gyu, 1960-
Fire sales and the financial accelerator.
[Washington, D.C.] : International Monetary Fund, ©2010
(OCoLC)654787043
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Woon Gyu Choi; David Cook; IMF Institute,
ISBN: 9781455255597 1455255599 1282846159 9781282846159
OCLC Number: 694141453
Description: 1 online resource (29 pages) : illustrations.
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Recovery and Default Rates; II. The Model; A. Competitive Firms; B. Household; C. Capitalists; D. Retailers and Wholesalers; E. Central Bank and Shocks; F. Calibration; G. Discussion: Financial Shocks and Liquidity Spirals; 2. Financial Shocks and Liquidity Spirals; III. Model Results; A. Impacts of Financial Shocks and the Role of Collateral Liquidity; 3. Responses to a Financial Uncertainty Shock: Liquid Model versus Illiquid Model; B. Interest Rate Policy Response: Concerns about Recession Risk. 4. Responses to a Financial Uncertainty Shock: Pure Inflation Targeting versus Taylor RuleC. Government Subsidy for Collateral Liquidation; 5. Responses to a Financial Uncertainty Shock: No Subsidy versus Subsidy for Collateral Liquidation; D. Endogenous Accumulation of Liquidity Inventory; 6. Responses to a Financial Uncertainty Shock: No Inventory versus Liquidity Inventory Collateral Liquidation; IV. Concluding Remarks; References; Footnotes.
Series Title: IMF working paper, WP/10/141.
Responsibility: prepared by Woon Gyu Choi and David Cook.

Abstract:

During periods of financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and endogenous recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Consistent with empirical evidence, we find that recovery rates are pro-cyclical when collateral is costly to liquidate. Through links between recovery rates, risk premia, and default risk, the model generates an additional liquidity spiral, a feedback loop for the financial accelerator. We illustrate how collateral liquidation and monetary policy alter the impacts of a financial shock. We also show that a government subsidy on collateral liquidity and the endogenous accumulation of liquidity inventory help dampen the liquidity spiral by shoring up recovery rates.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/694141453> # Fire sales and the financial accelerator
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
    library:oclcnum "694141453" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/503326795#Place/washington_d_c> ; # Washington, D.C.
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/dcu> ;
    schema:about <http://id.worldcat.org/fast/999682> ; # Liquidity (Economics)
    schema:about <http://id.worldcat.org/fast/924607> ; # Financial crises
    schema:author <http://viaf.org/viaf/19272572> ; # Woon Gyu Choi
    schema:author <http://viaf.org/viaf/266991985> ; # David Cook
    schema:bookFormat schema:EBook ;
    schema:contributor <http://viaf.org/viaf/156767341> ; # IMF Institute,
    schema:copyrightYear "2010" ;
    schema:datePublished "2010" ;
    schema:description "Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Recovery and Default Rates; II. The Model; A. Competitive Firms; B. Household; C. Capitalists; D. Retailers and Wholesalers; E. Central Bank and Shocks; F. Calibration; G. Discussion: Financial Shocks and Liquidity Spirals; 2. Financial Shocks and Liquidity Spirals; III. Model Results; A. Impacts of Financial Shocks and the Role of Collateral Liquidity; 3. Responses to a Financial Uncertainty Shock: Liquid Model versus Illiquid Model; B. Interest Rate Policy Response: Concerns about Recession Risk."@en ;
    schema:description "During periods of financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and endogenous recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Consistent with empirical evidence, we find that recovery rates are pro-cyclical when collateral is costly to liquidate. Through links between recovery rates, risk premia, and default risk, the model generates an additional liquidity spiral, a feedback loop for the financial accelerator. We illustrate how collateral liquidation and monetary policy alter the impacts of a financial shock. We also show that a government subsidy on collateral liquidity and the endogenous accumulation of liquidity inventory help dampen the liquidity spiral by shoring up recovery rates."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/503326795> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/503326795#Series/imf_working_paper> ; # IMF working paper ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/654787043> ;
    schema:name "Fire sales and the financial accelerator"@en ;
    schema:productID "694141453" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/694141453#PublicationEvent/washington_d_c_international_monetary_fund_2010> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/503326795#Agent/international_monetary_fund> ; # International Monetary Fund
    schema:url <http://www.imf.org/external/pubs/ft/wp/2010/wp10141.pdf> ;
    schema:url <http://site.ebrary.com/id/10397638> ;
    schema:url <http://bibpurl.oclc.org/web/24285/2010/2010/wp10141.pdf> ;
    schema:url <http://elibrary.imf.org/view/IMF001/11031-9781455201242/11031-9781455201242/11031-9781455201242.xml> ;
    schema:url <http://www.myilibrary.com?id=284615> ;
    schema:url <http://www.myilibrary.com?id=284615&ref=toc> ;
    schema:url <http://ebookcentral.proquest.com/lib/ucm/detail.action?docID=1586897> ;
    schema:url <http://proxy.library.carleton.ca/login?url=http://elibrary.imf.org/view/IMF001/11031-9781455201242/11031-9781455201242/11031-9781455201242.xml> ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=1586897> ;
    schema:workExample <http://worldcat.org/isbn/9781282846159> ;
    schema:workExample <http://worldcat.org/isbn/9781455255597> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/694141453> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/503326795#Agent/international_monetary_fund> # International Monetary Fund
    a bgn:Agent ;
    schema:name "International Monetary Fund" ;
    .

<http://experiment.worldcat.org/entity/work/data/503326795#Place/washington_d_c> # Washington, D.C.
    a schema:Place ;
    schema:name "Washington, D.C." ;
    .

<http://experiment.worldcat.org/entity/work/data/503326795#Series/imf_working_paper> # IMF working paper ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/694141453> ; # Fire sales and the financial accelerator
    schema:name "IMF working paper ;" ;
    .

<http://id.worldcat.org/fast/924607> # Financial crises
    a schema:Intangible ;
    schema:name "Financial crises"@en ;
    .

<http://id.worldcat.org/fast/999682> # Liquidity (Economics)
    a schema:Intangible ;
    schema:name "Liquidity (Economics)"@en ;
    .

<http://viaf.org/viaf/156767341> # IMF Institute,
    a schema:Organization ;
    schema:name "IMF Institute," ;
    .

<http://viaf.org/viaf/19272572> # Woon Gyu Choi
    a schema:Person ;
    schema:birthDate "1960" ;
    schema:familyName "Choi" ;
    schema:givenName "Woon Gyu" ;
    schema:name "Woon Gyu Choi" ;
    .

<http://viaf.org/viaf/266991985> # David Cook
    a schema:Person ;
    schema:familyName "Cook" ;
    schema:givenName "David" ;
    schema:name "David Cook" ;
    .

<http://worldcat.org/isbn/9781282846159>
    a schema:ProductModel ;
    schema:isbn "1282846159" ;
    schema:isbn "9781282846159" ;
    .

<http://worldcat.org/isbn/9781455255597>
    a schema:ProductModel ;
    schema:isbn "1455255599" ;
    schema:isbn "9781455255597" ;
    .

<http://www.worldcat.org/oclc/654787043>
    a schema:CreativeWork ;
    rdfs:label "Fire sales and the financial accelerator." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/694141453> ; # Fire sales and the financial accelerator
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.