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Securitization and asset prices
Aksoy, Yunus; Basso, Henrique S. - 2015
bond and equity premia. We then build a model of bank portfolio choice where the creation of synthetic securities may occur …
Persistent link: https://www.econbiz.de/10010479921
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …
Persistent link: https://www.econbiz.de/10011743065
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
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Cash flow duration and the term structure of equity returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10011521939
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On creditor seniority and sovereign bond prices in Europe : conference paper
Steinkamp, Sven; Westermann, Frank - 2013
variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We … between senior tranche lending including Target2 balances and recent developments in the sovereign bond market, both …
Persistent link: https://www.econbiz.de/10010341164
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On creditor seniority and sovereign bond prices in Europe
Steinkamp, Sven; Westermann, Frank - 2012
variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We … between senior tranche lending - including Target2 balances - and recent developments in the sovereign bond market, both … graphically and in a formal regression analysis. -- government bond spreads ; Eurozone ; senior tranche lending ; multiple …
Persistent link: https://www.econbiz.de/10009630117
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IMF surveillance and financial markets : a political economy analysis
Fratzscher, Marcel; Reynaud, Julien - 2010
The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...
Persistent link: https://www.econbiz.de/10003976542
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Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …
Persistent link: https://www.econbiz.de/10015197299
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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, initially, the desire to diversify assets...
Persistent link: https://www.econbiz.de/10012258563