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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
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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
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Security Baskets and Index-Linked Securities
Gorton, Gary B. - 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
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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
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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/10013114330
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and Lsaps
Caballero, Ricardo J. - 2020
In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems...
Persistent link: https://www.econbiz.de/10012835752
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Do Security Analysts Speak in Two Tongues?
Malmendier, Ulrike - 2007
Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue...
Persistent link: https://www.econbiz.de/10012776841
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Market Liquidity and Funding Liquidity
Pedersen, Lasse Heje - 2007
empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is …
Persistent link: https://www.econbiz.de/10012777582
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On the Gains to International Trade in Risky Financial Assets
Davis, Steven J. - 2001
This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...
Persistent link: https://www.econbiz.de/10012788068
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Is Home Bias in Assets Related to Home Bias in Goods?
van Wincoop, Eric - 2010
Obstfeld and Rogoff (2000) have reinvigorated an old literature on the link between home bias in the goods market and home bias in the asset market by arguing that trade costs in the goods market can account for the observed portfolio home bias. The key link between home bias in the two markets...
Persistent link: https://www.econbiz.de/10012760513