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Follow the Money: Methods for Identifying Consumption and Investment Responses to a Liquidity Shock

Karlan, Dean S.; Osman, Adam; Zinman, Jonathan - C.E.P.R. Discussion Papers - 2013

theory, practice, and policy. Using seven different methods on microenterprise loan applicants, we find striking results …

Persistent link: https://www.econbiz.de/10011083720

The Misfortune of Non-financial Firms in a Financial Crisis: Disentangling Finance and Demand Shocks

Tong, Hui; Wei, Shang-Jin - C.E.P.R. Discussion Papers - 2009

If a non-financial firm does not do well in a financial crisis, it could be due to either a contraction of demand for its output or a contraction of supply of external finance. We propose a framework to assess the relative importance of the two shocks, making use of a measure of a firm's...

Persistent link: https://www.econbiz.de/10005661997

Arbitrage, Hedging and Financial Innovation

Davidson, Malcolm - C.E.P.R. Discussion Papers - 1996

in a standard framework in which uninformed traders with hedging needs interact with risk-averse informed traders in … hedging and speculative demands: risk-averse arbitrageurs can hedge in the new market to lower the risk of speculative … traders with pure hedging motives in that market to withdraw, so reducing liquidity in the old market. The general point …

Persistent link: https://www.econbiz.de/10005504789

The Elephant in the Ground: Managing Oil and Sovereign Wealth

Van Den Bremer, Ton; van der Ploeg, Frederick; Wills, Samuel - C.E.P.R. Discussion Papers - 2014

a fund’s portfolio through additional leverage and hedging. First-best spending should be a share of total wealth, and …

Persistent link: https://www.econbiz.de/10011084308

Risking Other People’s Money

Andersson, Ola; Holm, Håkan J.; Tyran, Jean-Robert; … - C.E.P.R. Discussion Papers - 2013

We study risk taking on behalf of others in an experiment on a large random sample. The decision makers in our experiment are facing high-powered incentives to increase the risk on behalf of others through hedged compensation contracts or with tournament incentives. Compared to a baseline...

Persistent link: https://www.econbiz.de/10011084365

Asset Return Predictability in a Heterogeneous Agent Equilibrium Model

Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - C.E.P.R. Discussion Papers - 2015

We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The advantage of this approach, relative to the existing...

Persistent link: https://www.econbiz.de/10011145396

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Acharya, Viral V; Lochstoer, Lars; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2009

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

Persistent link: https://www.econbiz.de/10005016244

Hedging and Gambling: Corporate Risk Choice when Informing the Market

Degeorge, François; Moselle, Boaz; Zeckhauser, Richard - C.E.P.R. Discussion Papers - 1996

This paper analyses corporate risk choice when firms and their managers have private information regarding firm quality. Managers – representing themselves or shareholders – have a short time horizon and wish to boost the firm’s reputation in the market. Investors observe the firm’s...

Persistent link: https://www.econbiz.de/10005656404

Hedging and Financial Fragility in Fixed Exchange Rate Regimes

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 1999

Currency crises that coincide with banking crises tend to share four elements. First, governments provide guarantees to domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before the crises. Finally, when the currency/banking...

Persistent link: https://www.econbiz.de/10005666882

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