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The Market for OTC Derivatives
Atkeson, Andrew G. - 2013
We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...
Persistent link: https://www.econbiz.de/10012459749
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Banks and Derivatives
Gorton, Gary - 1995
In the last ten to fifteen years financial derivative securities have become an important, and controversial, product …, the difficulties with accurately reporting timely information concerning the value of firms' derivative positions, and the … concentration of activity in a small number of firms, has substantially increased the risk of collapse of the world banking system …
Persistent link: https://www.econbiz.de/10012473787
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Aggregate Income Risks and Hedging Mechanisms
Shiller, Robert J. - 1993
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the variability of returns is of a magnitude comparable to that of returns in stock markets. Evidence...
Persistent link: https://www.econbiz.de/10012474555
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Carry Trade and Systemic Risk : Why are FX Options so Cheap?
Caballero, Ricardo J. - 2012
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...
Persistent link: https://www.econbiz.de/10012460016
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Notes for a Contingent Claims Theory of Limit Order Markets
Lehmann, Bruce N. - 2005
This paper provides a road map for building a contingent claims theory of limit order markets grounded in a simple … flow. However, limit orders are not conventional derivative securities: order flow is an endogenous, non-price state …
Persistent link: https://www.econbiz.de/10012467147
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Measuring Margin
McDonald, Robert L. - 2013
Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more...
Persistent link: https://www.econbiz.de/10012459937
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Pandemic-Era Inflation Drivers and Global Spillovers
Di Giovanni, Julian; Kalemli-Ozcan, Sebnem; Silva, Álvaro - National Bureau of Economic Research - 2023
We estimate a multi-country multi-sector New Keynesian model to quantify the drivers of domestic inflation during 2020-2023 in several countries, including the United States. The model matches observed inflation together with sector-level prices and wages. We further measure the relative...
Persistent link: https://www.econbiz.de/10014437018
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The Global Energy Outlook
Newell, Richard G. - 2013
We explore the principal trends that are shaping the future landscape of energy supply, demand, and trade. We take a long-term view, assessing trends on the time scale of a generation by looking 25 years into the past, taking stock of the current situation, and projecting 25 years into the...
Persistent link: https://www.econbiz.de/10012459695
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The Determinants of Cross-Border Equity Flows
Portes, Richard - 1999
We apply a new approach to a new panel data set on bilateral gross cross-border equity flows between 14 countries, 1989-96. The remarkably good results have strong implications for theories of asset trade. We find that the geography of information heavily determines the pattern of international...
Persistent link: https://www.econbiz.de/10012471448
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Multi-Product Firms in Electricity Markets : Implications for Climate Policy
Buchsbaum, Jesse F. - 2020
In electricity markets, generators are rewarded both for providing energy and for enabling grid reliability. The two functions are compensated in separate markets: energy markets and ancillary services markets. We provide evidence of changes in the fuel mix in the energy market that is driven by...
Persistent link: https://www.econbiz.de/10012482246