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High Frequency Traders: Taking Advantage of Speed
Ait-Sahalia, Yacine; Saglam, Mehmet - National Bureau of Economic Research (NBER) - 2013
We propose a model of dynamic trading where a strategic high frequency trader receives an imperfect signal about future order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order cancellations, and impact on low frequency traders...
Persistent link: https://www.econbiz.de/10010969242
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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Vayanos, Dimitri; Guibaud, Stéphane; Nosbusch, Yves - National Bureau of Economic Research (NBER) - 2013
the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk …
Persistent link: https://www.econbiz.de/10010969262
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Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
Nakamura, Emi; Steinsson, Jon; Sergeyev, Dmitriy - National Bureau of Economic Research (NBER) - 2012
We provide new estimates of the importance of long-run risks—persistent shocks to growth rates and uncertainty—based on a panel of long-term aggregate consumption data for developed countries. An advantage of our estimation approach, based on macroeconomic data alone, is that the parameter...
Persistent link: https://www.econbiz.de/10010969302
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Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...
Persistent link: https://www.econbiz.de/10010969324
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Misspecified Recovery
Hansen, Lars Peter; Scheinkman, Jose; Borovička, Jaroslav - National Bureau of Economic Research (NBER) - 2014
that interpreting this measure as the true probability distribution may severely bias our inference about risk premia …, investors' aversion to risk, and the welfare cost of economic fluctuations. …
Persistent link: https://www.econbiz.de/10010969325
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Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity
Wright, Randall; Venkateswaran, Venky - National Bureau of Economic Research (NBER) - 2013
-pricing theory, is calibrated to analyze the effects of monetary policy and financial innovation. We show that inflation can raise …
Persistent link: https://www.econbiz.de/10010969326
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Foreign Ownership of U.S. Safe Assets: Good or Bad?
Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn; … - National Bureau of Economic Research (NBER) - 2014
-aged savers may suffer from greater exposure to systematic risk in equity and housing markets. Under the veil of ignorance, a …
Persistent link: https://www.econbiz.de/10010969327
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The Supply and Demand for Safe Assets
Gorton, Gary; Ordonez, Guillermo L. - National Bureau of Economic Research (NBER) - 2013
There is a demand for safe assets, either government bonds or private substitutes, for use as collateral. Government bonds are safe assets, given the government's power to tax, but their supply is driven by fiscal considerations, and does not necessarily meet the private demand for safe assets....
Persistent link: https://www.econbiz.de/10010969335
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Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
Weidenmier, Marc; Bernstein, Asaf; Hughson, Eric - National Bureau of Economic Research (NBER) - 2014
Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play … in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is … after the establishment of clearing. We also show that at least ½ of the average reduction in counterparty risk on the NYSE …
Persistent link: https://www.econbiz.de/10010969403
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Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
Panageas, Stavros; Gârleanu, Nicolae; Yu, Jianfeng - National Bureau of Economic Research (NBER) - 2013
We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Despite the ex-ante symmetry of investors, their strategies...
Persistent link: https://www.econbiz.de/10010969417