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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
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
We derive the first closed-form optimal mortgage refinancing rule. The expression is derived by using the Lambert …-W function to solve a tractable class of mortgage refinancing problems. We calibrate our solution and show that our quantitative …
Persistent link: https://www.econbiz.de/10012465159