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Results for “Volcker” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2006

Econophysics of interest rates and the role of monetary policy

This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramatically according to Chairman Tenure in the Federal Reserve Board and also with changes in the conduc…

Daniel O. Cajueiro, Benjamin M. Tabak
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arXiv · arXiv q-fin · 2026

Multiplicative Contractions, Additive Recoveries: Functional-Form Restrictions on Risk Exposure Dynamics

We test a regime-conditional functional-form restriction on aggregate risk-exposure dynamics implied by VaR-constrained intermediary models: exposures contract multiplicatively when capital constraints bind and grow additively (level-independent) when slack. The contraction half follows from binding VaR constraints (Brunnermeier and Pedersen 2009; Adrian and Shin 2010; He and Krishnamurthy 2013). The additive-rebuild…

Liang Chen
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Wiki Entities · 1
Financial Crises

Latin American Debt Crisis 1982

The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.

Option Blackboard · 0
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Encyclopedia · 1
Financial Crises · Foundations

Latin American Debt Crisis 1982

The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.

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