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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis note considers Tobin's average Q in a framework where firms finance investment by equities and debt. The determination of its long-run equilibrium value Q o is based on positing equality of the loan rate and, adjusted for a risk premium, the return on equities. Q o can thus be characterized as a ratio of two rates representing the somewhat modified interest costs and profits of the firms. The familiar benchmark value Q o =1 obtains if another condition on the risk premium holds true, which may or may not be the case. An elementary numerical check demonstrates that possible deviations of Q o from unity are not overly dramatic.JEL classification: C 02, D84, E12, E30.

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Abstract:We study the structural correlations in the Italian overnight money market over the period [1999][2000][2001][2002][2003][2004][2005][2006][2007][2008][2009][2010]. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and examine whether higher-level characteristics of the observed network can be statistically reconstructed by maximizing the entropy of a randomized ensemble of networks restricted only by the lower-order features of the observed network. We find that often many of the high order correlations in the observed network can be considered emergent from the information embedded in the degree sequence in the binary version and in both the degree and strength sequences in the weighted version. However, this information is not enough to allow the models to account for all the patterns in the observed higher order structural correlations. In particular, one of the main features of the observed network that remains unexplained is the abnormally high level of weighted clustering in the years preceding the crisis, i.e., the huge increase in various indirect exposures generated via more intensive interbank credit links.

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During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure in the real sector gives rise to a strong non-linearity and is responsible for the emergence of endogenous business cycles in the model. In the context of this model, we find that a timid or ineffective monetary policy allows the stock market to be dominated by the fluctuations of profits in the real sector. We model the potential ineffectiveness of monetary policy in terms of an endogenous risk premium. The model is calibrated to fit key properties of the data. In particular, it can generate a pro-cyclical stock market in the presence of a counter-cyclical monetary policy.