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to aggregate demand or supply shocks that induce macroeconomic imbalances (as in the late stages of the Covid-19 recovery …
Persistent link: https://www.econbiz.de/10013334351
We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...
Persistent link: https://www.econbiz.de/10014322805
We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure … bond arbitrageurs who must absorb shocks to the supply and demand for bonds from other "preferred-habitat" agents. We …
Persistent link: https://www.econbiz.de/10014437010
purchases if needed ("the Fed put"); (ii) when the Fed is constrained, negative financial shocks cause demand recessions, (iii …) the Fed's response to aggregate demand shocks increases asset price volatility, but this volatility plays a useful … macroeconomic stabilization role; (iv) the Fed's beliefs about the future aggregate demand and supply drive the aggregate asset …
Persistent link: https://www.econbiz.de/10014468253
We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...
Persistent link: https://www.econbiz.de/10014250137
We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … is strongly related to the amount of maturity-transformation risk that these deposit accounts create. The cost is also …
Persistent link: https://www.econbiz.de/10014635687
Inspired by the Silicon Valley Bank run and building on Diamond- Dybvig (1993), we develop a model in which asset price fluctuations can trigger bank runs. Liquidation amounts to selling assets at their market price. Depositors can buy and hold the assets after paying an idiosyncratic cost. We...
Persistent link: https://www.econbiz.de/10015421906
We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage … refinancing when rates drop sufficiently. Key factors affecting the optimal decision are the cost of refinancing and the …
Persistent link: https://www.econbiz.de/10012468271
leverage, precautionary saving in liquid assets and illiquid home equity, debt repayment, mortgage refinancing, and default …
Persistent link: https://www.econbiz.de/10012459239
This paper explores the practice of mortgage refinancing in a dynamic competitive lending model with risky borrowers … prevents the mortgage pools from becoming disproportionately composed of the riskiest borrowers over time. Mortgages with … prepayment penalties allow lenders to lower mortgage rates and extend credit to the least creditworthy, with the largest benefits …
Persistent link: https://www.econbiz.de/10012462071