We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U ….S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during …-for-sale securities, unhedged securities, and banks that must include unrealized gains and losses in their regulatory capital. A …

In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions … addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the … economy and brings down asset prices, risk-tolerant agents' wealth share declines and their leverage rises endogenously. This …

on international capital flows, asset prices, risk aversion and liquidity in the financial system. We analyse the co …

We study a production economy with multiple sectors financed by issuing securities to agents who face capital … tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering …