Similar Search Results

Benmelech, Efraim - 2010

Do bankrupt firms impose negative externalities on their non-bankrupt competitors? We propose and analyze a collateral channel in which a firm's bankruptcy reduces collateral values of other industry participants, thereby increasing the cost of external debt finance industry wide. To identify...

Persistent link: https://www.econbiz.de/10012462944

Interest Rate Risk in Banking

DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - National Bureau of Economic Research - 2024

We develop a framework to estimate bank franchise value. Contrary to existing models, sticky deposits and low deposit rate betas do not imply negative duration. While operating costs could generate negative duration, they are offset by fixed interest rate spreads from lending activity....

Persistent link: https://www.econbiz.de/10015171709

Banks' Risk Exposures

Begenau, Juliane - 2015

This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as...

Persistent link: https://www.econbiz.de/10012457333

Housing Dynamics

Glaeser, Edward L. - 2006

. The model predicts the positive serial correlation of new construction that we see in the data and the volatility of both … prices and quantities in the typical market, but not the volatility of the nation's more extreme markets. The strong serial … correlation in annual house price changes and the high volatility of prices in coastal markets are the two biggest housing market …

Persistent link: https://www.econbiz.de/10012465875

The Price and Quantity of Interest Rate Risk

Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - National Bureau of Economic Research - 2021

volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to … interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the …

Persistent link: https://www.econbiz.de/10012482660

Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief

Froot, Kenneth A. - 1988

We compare various forms of market-based debt relief with coordinated debt forgiveness on the part of creditors. These schemes lead to different allocations of resources and levels of debtor and creditor welfare, but all attempt to stimulate debtor investment through reductions in the level of...

Persistent link: https://www.econbiz.de/10012476389

Endogenous Liquidity and Defaultable Bonds

He, Zhiguo - 2012

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …

Persistent link: https://www.econbiz.de/10012460252

The Alchemy of CDO Credit Ratings

Benmelech, Efraim - 2009

Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried...

Persistent link: https://www.econbiz.de/10012463769

Taxes, Default Risk, and Yield Spreads

Yawitz, Jess B. - 1983

This paper represents an extension and integration of recent empirical and theoretical research on default risk and taxability. The purpose of the paper is to develop and test a model of interest rate spreads which incorporates both the effect of taxes and differences in default probabilities in...

Persistent link: https://www.econbiz.de/10012477884

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Collin-Dufresne, Pierre - 2004

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

Persistent link: https://www.econbiz.de/10012467934