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How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads
Eichengreen, Barry - 2009
How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...
Persistent link: https://www.econbiz.de/10012463744
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International Liquidity Management : Sterilization Policy in Illiquid Financial Markets
Caballero, Ricardo J. - 2000
the international liquidity management aspect of sterilization over the traditional monetary one, a re-focus that seems … liquidity management issues more generally …
Persistent link: https://www.econbiz.de/10012471010
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'
Persistent link: https://www.econbiz.de/10012462797
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Liquidity, Institutional Quality and the Composition of International Equity Flows
Goldstein, Itay - 2010
economy-wide sales of external assets. Consistent with our theory, we find that the predicted liquidity shock has a strong … liquidity shocks, the liquidation price they can get will be lower when buyers know that they have more information on … expectation of future liquidity problems export relatively more FPI than FDI, and (2) this effect strengthens as the source …
Persistent link: https://www.econbiz.de/10012462924
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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10012462978
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2009
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10012463434
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Amplification Mechanisms in Liquidity Crises
Krishnamurthy, Arvind - 2009
I describe two amplifications mechanisms that operate during liquidity crises and discuss the scope for central bank … disengage from markets and increase their demand for liquidity. This behavior leads to a loss of liquidity and a crisis …
Persistent link: https://www.econbiz.de/10012463609
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Bankruptcy and Collateral in Debt Constrained Markets
Kehoe, Timothy J. - 2006
Typical models of bankruptcy and collateral rely on incomplete asset markets. In fact, bankruptcy and collateral add contingencies to asset markets. In some models, these contingencies can be used by consumers to achieve the same equilibrium allocations as in models with complete markets. In...
Persistent link: https://www.econbiz.de/10012466005
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Gârleanu, Nicolae - 2011
. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …
Persistent link: https://www.econbiz.de/10012461880
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
Lagos, Ricardo - 2015
anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity … prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to …. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on …
Persistent link: https://www.econbiz.de/10012457141