CEMFI

About: CEMFI is a based out in . It is known for research contribution in the topics: Unemployment & Estimator. The organization has 71 authors who have published 499 publications receiving 46553 citations. The organization is also known as: Center for Monetary and Financial Studies.

How excessive is banks’ maturity transformation?

Abstract: We quantify the gains from regulating banks’ maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors’ preference for short maturities with the risk of systemic crises. As in Stein (2012), pecuniary externalities make unregulated debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for 2006. Lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion.

Business Creation and the Stock Market

Abstract: We claim that the stock market encourages business creation, innovation, and growth by allowing the recycling of ‘informed capital’. Due to incentive and information problems, start-ups face larger costs of going public than mature firms. Sustaining a tight relationship with a monitor (bank, venture capitalist) allows them to postpone their going public decision until profitability prospects are clearer or incentive problems are less severe. However, the earlier young firms go public, the quicker monitors’ informed capital is redirected towards new start-ups. Hence, when informed capital is in limited supply, factors that accelerate firms’ access to the stock market encourage business creation. Technological spill-overs associated with business creation and thick market externalities in the young firms segment of the stock market provide prima facie cases for encouraging young firms to go public.

Job bust, baby bust?: Evidence from Spain

Abstract: The unemployment rate in Spain has been exceptionally high for more than two decades by now. During the same period the fertility rate dropped dramatically reaching the lowest level in the world. In this study we look for evidence of a link between the `unemployment crisis’ and the `fertility crisis’ in Spain. We examine the factors that affect individuals’ ages at marriage and childbirth, focusing on the effects ofmaleemployment status. Our results show that spells of non-employment have a strong negative effect on the hazard of marriage. We also find negative (but smaller) effects of part-time or temporal employment on the hazard of marriage. The estimated direct effects of joblessness and part-time work on birth hazards conditional on marriage are smaller and/or not significant for most birth intervals and sample groups. Simulations based on the estimated models confirm the potential for large ‘delaying’ effects of joblessness on marriage. However, the delaying effect is not so large in simulations which control for the actual incidence of non-employment in the sample.

Recovery rates, default probabilities, and the credit cycle

Abstract: In recessions, the number of defaulting firms rises. On top of this, the average amount recovered on the bonds of defaulting firms tends to decrease. This paper proposes an econometric model in which this joint time-variation in default rates and recovery rate distributions is driven by an unobserved Markov chain, which we interpret as the “credit cycle”. This model is shown to fit better than models in which this joint time-variation is driven by observed macroeconomic variables. We use the model to quantitatively assess the importance of allowing for systematic time-variation in recovery rates, which is often ignored in risk management and pricing models.