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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2010
increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …
Persistent link: https://www.econbiz.de/10013152555
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Liquidity and Trading Dynamics
Guerrieri, Veronica - 2010
question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …
Persistent link: https://www.econbiz.de/10012759970
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Predatory Trading
Pedersen, Lasse Heje - 2004
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10012785459
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'. Besides...
Persistent link: https://www.econbiz.de/10013145248
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Excess Volatility : Beyond Discount Rates
Giglio, Stefano - 2016
We document a form of excess volatility that is irreconcilable with standard models of prices, even after accounting …
Persistent link: https://www.econbiz.de/10012997883
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How Crashes Develop : Intradaily Volatility and Crash Evolution
Bates, David S. - 2016
This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …
Persistent link: https://www.econbiz.de/10012997899
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Is Idiosyncratic Risk Conditionally Priced?
Mehra, Rajnish - 2016
his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …
Persistent link: https://www.econbiz.de/10012997911
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Pricing Assets in an Economy with Two Types of People
Farmer, Roger E. A. - 2016
This paper constructs a general equilibrium model with two types of people where asset price fluctuations are caused by random shocks to the price level that reallocate consumption across generations. In this model, asset prices are volatile, and price-earnings ratios are persistent, even though...
Persistent link: https://www.econbiz.de/10012992653
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Monetary Policy and Asset Price Volatility
Bernanke, Ben; Gertler, Mark - 2021
We explore the implications of asset price volatility for the management of monetary policy. We show that it is …
Persistent link: https://www.econbiz.de/10013245101