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Two Monetary Tools: Interest Rates and Haircuts

Ashcraft, Adam; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2010

We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the...

Persistent link: https://www.econbiz.de/10008642875

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

Persistent link: https://www.econbiz.de/10005662071

When Everyone Runs for the Exit

Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...

Persistent link: https://www.econbiz.de/10005082543

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011

. Overall the cointegration analysis confirms that the two prices should be equal to each other in equilibrium, as theory …

Persistent link: https://www.econbiz.de/10009365646

Asset Pricing under Rational Learning about Rare Disasters

Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011

persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations …

Persistent link: https://www.econbiz.de/10009201120

A Dynamic Model with Import Quota Constraints

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the...

Persistent link: https://www.econbiz.de/10005662103

Duality in Mean-Variance Frontiers with Conditioning Information

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the...

Persistent link: https://www.econbiz.de/10005662199

The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market

Goldreich, David; Hanke, Bernd; Nath, Purnendu - C.E.P.R. Discussion Papers - 2003

This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...

Persistent link: https://www.econbiz.de/10005666511

Insider Trading in Credit Derivatives

Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...

Persistent link: https://www.econbiz.de/10005666591

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