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Embedded Leverage
Frazzini, Andrea - 2012
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10013097662
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Smooth Landing or Crash? Model-Based Scenarios of Global Current Account Rebalancing
Faruqee, Hamid - 2012
accounts through the lens of a dynamic, multi-region model of the global economy. In the baseline scenario, world macroeconomic … sustainable level. An alternative scenario, involving a sudden portfolio reshuffling in the rest of the world, would result in …
Persistent link: https://www.econbiz.de/10013101490
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Capital Flows, Cross-Border Banking and Global Liquidity
Bruno, Valentina - 2013
We investigate global factors associated with cross-border capital flows. We formulate a model of gross capital flows through the international banking system and derive a closed form solution that highlights the leverage cycle of global banks as being a prime determinant of the transmission of...
Persistent link: https://www.econbiz.de/10013082151
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Corporate Liquidity Management : A Conceptual Framework and Survey
Almeida, Heitor - 2013
Ensuring that a firm has sufficient liquidity to finance valuable projects that occur in the future is at the heart of the practice of financial management. Yet, while discussion of these issues goes back at least to Keynes (1936), a substantial literature on the ways in which firms manage...
Persistent link: https://www.econbiz.de/10013074911
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A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds
Carroll, Christopher D. - 2010
We model the motives for residents of a country to hold foreign assets, including the precautionary motive that has been omitted from much previous literature as intractable. Our model captures many of the principal insights from the existing specialized literature on the precautionary motive,...
Persistent link: https://www.econbiz.de/10013151293
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2010
1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk …
Persistent link: https://www.econbiz.de/10013152552
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
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Ethical Foundations of Financial Regulation
Kane, Edward J. - 2008
Regulation consists of rulemaking and enforcement. Economic theory offers two complementary rationales for regulating … and efficiency across society as a whole. Agency-cost theory recognizes that incentive conflicts and coordination problems …
Persistent link: https://www.econbiz.de/10012774887
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Consumption, Stock Returns, and the Gains from International Risk-Sharing
Lewis, Karen K. - 2008
Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption...
Persistent link: https://www.econbiz.de/10012774983
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International Capital Flows, Returns and World Financial Integration
Evans, Martin D.D. - 2005
in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …
Persistent link: https://www.econbiz.de/10012784163