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Shiller, Robert J. - 2008

The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the...

Persistent link: https://www.econbiz.de/10012464687

On the Gains to International Trade in Risky Financial Assets

Davis, Steven J. - 2000

This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...

Persistent link: https://www.econbiz.de/10012470954

A Disaggregated Structural Model of the Treasury Securities, Corporate Bond, and Equity Markets : Estimation and Simulation Results

Roley, V. Vance - 1980

Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities …

Persistent link: https://www.econbiz.de/10012478544

Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and LSAPs

Caballero, Ricardo J. - 2020

In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems...

Persistent link: https://www.econbiz.de/10012482001

Two Monetary Tools : Interest Rates and Haircuts

Ashcraft, Adam - 2010

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 …

Persistent link: https://www.econbiz.de/10012462319

What Ties Return Volatilities to Price Valuations and Fundamentals?

David, Alexander - 2009

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...

Persistent link: https://www.econbiz.de/10012463086

Do Security Analysts Speak in Two Tongues?

Malmendier, Ulrike - 2007

Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue...

Persistent link: https://www.econbiz.de/10012465530

Market Liquidity and Funding Liquidity

Brunnermeier, Markus K. - 2007

empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is …

Persistent link: https://www.econbiz.de/10012465717

Is Home Bias in Assets Related to Home Bias in Goods?

van Wincoop, Eric - 2006

Obstfeld and Rogoff (2000) have reinvigorated an old literature on the link between home bias in the goods market and home bias in the asset market by arguing that trade costs in the goods market can account for the observed portfolio home bias. The key link between home bias in the two markets...

Persistent link: https://www.econbiz.de/10012465932

Agency Conflicts, Asset Substitution, and Securitization

Gan, Yingjin Hila - 2006

Asset-backed securities represent one of the largest and fastest growing financial markets. Under securitization … a whole loan. We examine how outsourcing impacts performance using data on 357 commercial mortgage-backed securities …, including conflicts between junior and senior securities holders (the asset substitution problem) and risk aversion among …

Persistent link: https://www.econbiz.de/10012466306