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Asymmetric information, corporate finance, and investment

Hubbard, R. Glenn (ed.) - 1990

Persistent link: https://www.econbiz.de/10013480872

Interest Rate Risk and the Regulation of Financial Institutions

Morrison, Jay B. - 1978

A bank or other financial institution is potentially subject to at least four types of risk: (1) Credit risk -- defaults or delays in repayments. (2) Fraud -- embezzlement or insider abuse. (3) Liquidity risk -- or high cost of obtaining needed cash. (4) Interest rate risk -- differential...

Persistent link: https://www.econbiz.de/10012478883

Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries

McCulloch, J. Huston - 1978

Traditionally, banks and financial intermediaries borrow short and lend long. This causes a risk of negative net worth (and failure, under simplifying assumptions), because the present discounted value of the assets is more volatile than that of the liabilities. This paper utilizes a new option...

Persistent link: https://www.econbiz.de/10012478901

Interest Rate Uncertainty and Sovereign Default Risk

Johri, Alok - 2020

-movements between the volatility of the spread and the process for the world interest rate which is also consistent with the data. Our …

Persistent link: https://www.econbiz.de/10012481187

Interest Rate Uncertainty as a Policy Tool

Ghironi, Fabio - 2020

We study a novel policy tool--interest rate uncertainty--that can be used to discourage inefficient capital inflows and to adjust the composition of external accounts between short-term securities and foreign direct investment (FDI). We identify the trade-offs faced in navigating between...

Persistent link: https://www.econbiz.de/10012481668

The Price and Quantity of Interest Rate Risk

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

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 government bond market to its first two...

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

Bankruptcy and the Collateral Channel

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 and Other Determinants of Post-WWII U.S. Government Debt/GDP Dynamics

Hall, George J. - 2010

This paper uses the sequence of government budget constraints to motivate estimates of interest payments on the U.S. Federal government debt. We explain why our estimates differ conceptually and quantitatively from those reported by the U.S. government. We use our estimates to account for...

Persistent link: https://www.econbiz.de/10012462950

Common Risk Factors in Currency Markets

Lustig, Hanno - 2008

We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies....

Persistent link: https://www.econbiz.de/10012464567

Contagion, Bank Lending Spreads and Output Fluctuations

Agenor, P.R. - 1998

relates the ex ante bank lending spread, the cyclical component of output, the real bank lending rate, and the external … interest rate spread. The effects of a contagious shock (modeled as a positive historical shock in the external interest rate … spread) are analyzed using generalized impulse response functions. The sock is shown to lead to an increase in domestic …

Persistent link: https://www.econbiz.de/10012471962

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