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How Much Do Banks Use Credit Derivatives to Reduce Risk?

Minton, Bernadette A.; Stulz, René; Williamson, Rohan - National Bureau of Economic Research (NBER) - 2005

This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess … only 19 large banks out of 345 use credit derivatives. Though few banks use credit derivatives, the assets of these banks … buyers of credit protection and disclose using credit derivatives to hedge loans. Banks are more likely to be net protection …

Persistent link: https://www.econbiz.de/10005718877

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

Diebold, Francis; Strasser, Georg - National Bureau of Economic Research (NBER) - 2010

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10008683258

Financial Development and Output Growth in Developing Asia and Latin America: A Comparative Sectoral Analysis

Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun - National Bureau of Economic Research (NBER) - 2015

We use data from the Groningen Growth and Development Centre (GGDC) database to perform preliminary empirical analysis of the interplay between quality and quantity of finance in accounting for the output growth of ten sectors. We review the existing literature and some salient open questions...

Persistent link: https://www.econbiz.de/10011159905

Do Funds Make More When They Trade More?

Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A. - National Bureau of Economic Research (NBER) - 2014

We find that active mutual funds perform better after trading more. This time-series relation between a fund’s turnover and its subsequent benchmark-adjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify...

Persistent link: https://www.econbiz.de/10011166131

Retail Financial Advice: Does One Size Fit All?

Foerster, Stephen; Linnainmaa, Juhani T.; Melzer, Brian T. - National Bureau of Economic Research (NBER) - 2014

Using unique data on Canadian households, we assess the impact of financial advisors on their clients' portfolios. We find that advisors induce their clients to take more risk, thereby raising expected returns. On the other hand, we find limited evidence of customization: advisors direct clients...

Persistent link: https://www.econbiz.de/10011085476

Credit, Financial Stability, and the Macroeconomy

Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2015

-run historical work has uncovered a range of important stylized facts concerning financial instability and the role of credit in …

Persistent link: https://www.econbiz.de/10011207908

Convective Risk Flows in Commodity Futures Markets

Xiong, Wei; Cheng, Ing-Haw; Kirilenko, Andrei - National Bureau of Economic Research (NBER) - 2012

This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial...

Persistent link: https://www.econbiz.de/10011188540

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - National Bureau of Economic Research (NBER) - 2014

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...

Persistent link: https://www.econbiz.de/10011196774

Effects of Unconventional Monetary Policy on Financial Institutions

Chodorow-Reich, Gabriel - National Bureau of Economic Research (NBER) - 2014

Monetary policy affects the real economy in part through its effects on financial institutions. High frequency event studies show the introduction of unconventional monetary policy in the winter of 2008-09 had a strong, beneficial impact on banks and especially on life insurance companies. I...

Persistent link: https://www.econbiz.de/10010822020

Measuring Managerial Skill in the Mutual Fund Industry

Berk, Jonathan B.; Binsbergen, Jules H. van - National Bureau of Economic Research (NBER) - 2012

Using the dollar-value a mutual fund manager adds as the measure of skill, we find that not only does skill exist (the average mutual fund manager adds about $2 million per year), but this skill is persistent, as far out as 10 years. We further document that investors recognize this skill and...

Persistent link: https://www.econbiz.de/10010822029