… Author links open overlay panel Roger Aliaga-Díaz a 1 , María Pía Olivero b … The VAR
we estimate is:(1) X t = α + μ 1 t + μ 2 t 2 + ∑ l = 1 L β l X t − l + ∑ i = 1 2 δ i R it + ∑ i = 1 3 θ …

… We contribute to the literature by building an empirical model of the countercyclical behavior
of these margins first documented by Aliaga‐Díaz and Olivero (2010a) . Doing so we are …

Recent empirical evidence shows that price‐cost margins in the market for bank credit are
countercyclical in the US economy and that this cyclical behavior can be explained in part …

In this paper we study the role of bank capital adequacy requirements in the transmission of
aggregate productivity shocks. We identify a gap between the empirical and the theoretical …

The accuracy of US stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio
has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that …

In this article, the authors propose a comprehensive framework for simultaneously allocating
assets among active, passive, and factor investments while accounting for the uncertainty in …

The recent world energy crisis raises serious questions about the extent to which the United
States should increase domestic oil production and develop alternative sources of energy. …

A strand of the banking literature studies switching costs for borrowers as a source of market
power for banks. This paper embodies switching costsa la Klemperer (1995) and customer …

The recent financial crisis has focused attention on credit booms and busts and bank credit
procyclicality. The recently agreed Basel III attempts to improve the quality of bank capital …

The paper studies the cyclical behavior of net interest margins (NIMs) in the United States
banking sector, using time series quarterly data for the period 1979-2005. It documents the …