currency and reduce net exports. Emerging market policy makers however believe that inflows lead to credit booms and rising …

In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions … addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the … economy and brings down asset prices, risk-tolerant agents' wealth share declines and their leverage rises endogenously. This …

securities … financial institutions have invested the funds in asset-backed securities rather than committed to long-term projects. These … securities can potentially be sold to a large pool of outside investors. The question arises, why these investors require steep …

security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

returns are minimally impacted by wildfire risk even as they supply mortgage credit to wildfire prone areas. Finally, we test …In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … have the skill and expertise to build diversified pools, such as Mortgage-Backed Securities. In diversified pools, exposure …

others blow over. We demonstrate that what makes some bubbles more dangerous than others is credit. When fueled by credit … slower recoveries. Credit-financed housing price bubbles have emerged as a particularly dangerous phenomenon …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

corporate credit risk relative to the US, and when european firms value more than US firms the flexibility and information …We present a dynamic general equilibrium model with agency costs where: i) firms are heterogeneous in the risk of …

enormous gains to trade when asset returns are calibrated to observed risk premia and all agents participate in asset markets …. The gains-to-trade puzzle is closely related to, but distinct from, the equity premium puzzle. High risk aversion merely … both puzzles. We also identify three reasons for limited international risk sharing. First, the requirement that asset …

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 …