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Rumors and Runs in Opaque Markets : Evidence from Panic of 1907

Fohlin, Caroline - 2016

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

Persistent link: https://www.econbiz.de/10012981593

Optimal Risk-Sharing in Mortgage Contracts : The Effects of Potential Prepayment and Default

Brueckner, Jan K. - 2014

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...

Persistent link: https://www.econbiz.de/10013046055

Basel Accord and Financial Intermediation : The Impact of Policy

Berka, Martin - 2013

This paper studies loan activity in a context where banks must follow Basel Accord-type rules and acquire financing from households. Loan activity typically decreases when entrepreneurs' investment returns decline, and we study which type of policy could revigorate an economy in a trough. We...

Persistent link: https://www.econbiz.de/10013091686

Endogenous Systemic Liquidity Risk

Cao, Jin - 2013

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

Persistent link: https://www.econbiz.de/10013095988

Creditor Passivity : The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings

Hainz, Christa - 2021

Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information about a firm's type to its competitors. Thereby,...

Persistent link: https://www.econbiz.de/10013316824

Illiquidity and Under-Valuation of Firms

Gale, Douglas M. - 2012

We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...

Persistent link: https://www.econbiz.de/10013116475

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012955752

Portfolio Sales and Signaling

Bougheas, Spiros - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10012960474

The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance

Spiritus, Kevin - 2017

We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

Persistent link: https://www.econbiz.de/10012962987

Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach

Rankovic, Vladimir - 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...

Persistent link: https://www.econbiz.de/10012997323

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