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The Hunt for Duration : Not Waving but Drowning?
Domanski, Dietrich - 2017
interest rates. Evidence from the German insurance sector is consistent with such an amplification mechanism …
Persistent link: https://www.econbiz.de/10012962082
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The Hunt for Duration : Not Waving But Drowning?
Domanski, Dietrich - 2015
pressure on interest rates. Evidence from the German insurance sector is consistent with such an amplification mechanism …
Persistent link: https://www.econbiz.de/10013014073
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Distress Selling and Asset Market Feedback
Shim, Ilhyock - 2013
This paper examines the process of distress selling and asset market feedback. It splits this process into several stages, in order to analyse what triggers distress selling, why asset prices fall, and how falling prices generate additional rounds of selling. This framework enables us to...
Persistent link: https://www.econbiz.de/10012711359
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Debt-Deflation : Concepts and a Stylised Model
von Peter, Goetz - 2013
This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...
Persistent link: https://www.econbiz.de/10012711958
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Unmitigated Disasters? New Evidence on the Macroeconomic Cost of Natural Catastrophes
von Peter, Goetz - 2014
extent to which risk transfer to insurance markets facilitates economic recovery. Our main results are that major natural …
Persistent link: https://www.econbiz.de/10013064802
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An Explanation of Negative Swap Spreads : Demand for Duration from Underfunded Pension Plans
Klingler, Sven - 2018
The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints,...
Persistent link: https://www.econbiz.de/10012927397
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Over-the-Counter Market Liquidity and Securities Lending
Foley-Fisher, Nathan - 2019
corporate bond market trades with securities lending transactions and individual corporate bond holdings by U.S. insurance …
Persistent link: https://www.econbiz.de/10012891875
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Central Counterparty Capitalization and Misaligned Incentives
Huang, Wenqian - 2019
Financial stability depends on the effective regulation of central counterparties (CCPs), which must take account of the incentives that drive CCP behavior. This paper studies the incentives of a for-profit CCP with limited liability. It faces a trade-off between fee income and counterparty...
Persistent link: https://www.econbiz.de/10012893046
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Risk and Liquidity in a System Context
Shin, Hyun Song - 2013
This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting. It is possible...
Persistent link: https://www.econbiz.de/10012711729
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A Disaster Under-(Re)Insurance Puzzle : Home Bias in Disaster Risk-Bearing
Ito, Hiro - 2019
at home with low participation in insurance. Regression analysis points to economic development and institutional …/legal quality as important determinants of insurance participation. We propose a new method to measure international reinsurance … fiscal space. Thus, the governments under more pressure to provide ex post government insurance through the budget have less …
Persistent link: https://www.econbiz.de/10012863475