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Mortgage-Backed Securities and the Financial Crisis of 2008 : A Post Mortem

Ospina, Juan - 2018

We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS … securities, per carefully assembling source data from Bloomberg and other sources. We compare these payoffs to their ex …-ante ratings as well as other characteristics. We establish seven facts. First, the bulk of these securities was rated AAA. Second …

Persistent link: https://www.econbiz.de/10012921533

Fixing Capital Gains : Symmetry, Consistency and Correctness in the Taxation of Financial Instruments

Bradford, David F. - 2021

A great deal of effort and ingenuity has been addressed to patching holes in the income tax attributable to realization accounting. A classic instance of the problem is the headachescreated by capital gains, whereby the taxpayer can choose to postpone recognition of gain and accelerate...

Persistent link: https://www.econbiz.de/10013237937

Suppressing Asset Price Inflation : The Confederate Experience, 1861-1865

Weidenmier, Marc D.; Burdekin, Richard C. K. - 2021

Confederate monetary reforms encouraged holders of Treasury notes to exchange these notes for bonds by imposing deadlines on their convertibility. We show that Confederate funding acts aimed at precipitating the conversion of currency into bonds did temporarily suppress currency depreciation....

Persistent link: https://www.econbiz.de/10013238691

Two Monetary Tools : Interest Rates and Haircuts

Ashcraft, Adam B. - 2010

We study a production economy with multiple sectors financed by issuing securities to agents who face capital … tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering …

Persistent link: https://www.econbiz.de/10013138470

Security Baskets and Index-Linked Securities

Gorton, Gary - 2010

Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of … other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate … them. In this paper we study the existence and optimal design of composite securities. We first show that when some …

Persistent link: https://www.econbiz.de/10013138948

Household Ownership of Variable Annuities

Brown, Jeffrey R. - 2012

Variable annuities have been one of the most rapidly growing financial products of the last two decades. Between 1996 and 2004, nominal sales of variable annuities in the U.S. more than doubled, from $51 billion to $130 billion. Variable annuities now account for approximately nearly two thirds...

Persistent link: https://www.econbiz.de/10013114116

Household Ownership of Variable Annuities

Brown, Jeffrey R. - 2012

Persistent link: https://www.econbiz.de/10013114330

Liquidity and the Threat of Fraudulent Assets

Li, Yiting - 2011

We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...

Persistent link: https://www.econbiz.de/10013119606

What Ties Return Volatilities to Price Valuations and Fundamentals?

David, Alexander - 2010

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...

Persistent link: https://www.econbiz.de/10013149979

Asset Prices in the Measurement of Inflation

Bryan, Michael F.; Cecchetti, Stephen G.; O'Sullivan, … - 2021

The debate over including asset prices in the construction of an inflation statistic has attracted renewed attention in recent years. Virtually all of this (and earlier) work on incorporating asset prices into an aggregate price statistic has been motivated by a presumed, but unidentified...

Persistent link: https://www.econbiz.de/10013233847