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Risk-On Risk-Off : A Multifaceted Approach to Measuring Global Investor Risk Aversion
Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2023
This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...
Persistent link: https://www.econbiz.de/10014437038
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Understanding the Strength of the Dollar
Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony - National Bureau of Economic Research - 2022
We link the sustained appreciation of the U.S. dollar from 2011 to 2019 to international capital flows driven by primitive economic factors. We show that increases in foreign investors' net savings, increases in U.S. monetary policy rates relative to the rest of the world, and shifts in investor...
Persistent link: https://www.econbiz.de/10013435120
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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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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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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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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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Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities
Chari, Anusha - National Bureau of Economic Research - 2023
are inherently more vulnerable to liquidity and redemption risks during periods of global financial market stress …
Persistent link: https://www.econbiz.de/10014250161
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Investment-Cash Flow Sensitivities are not Valid Measures of Financing Constraints
Kaplan, Steven N. - 2000
Kaplan and Zingales [1997] provide both theoretical arguments and empirical evidence that investment-cash flow sensitivities are not good indicators of financing constraints. Fazzari, Hubbard and Petersen [1999] criticize those findings. In this note, we explain how the Fazzari et al. [1999]...
Persistent link: https://www.econbiz.de/10012471108
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Leverage, Moral Hazard and Liquidity
Acharya, Viral V. - 2010
drying up of liquidity. Financial firms raise short-term debt in order to finance asset purchases. When asset fundamentals … worsen, debt induces firms to risk-shift; this limits their funding liquidity and their ability to roll over debt. Firms may … de-lever by selling assets to better-capitalized firms. Thus the market liquidity of assets depends on the severity of …
Persistent link: https://www.econbiz.de/10012462815
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Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity
Robinson, David T. - 2011
liquidity providers (sinks) when market valuations are high (low). Venture cash flows and performance are considerably more …
Persistent link: https://www.econbiz.de/10012461230