Showing 1 - 10 of 16
Since the Fall of 2008, out-of-the money puts on high interest rate currencies have become significantly more expensive than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we propose a parsimonious structural model that includes both...
Persistent link: https://www.econbiz.de/10014046577
This paper studies the role of time-varying risk premia as a channel for generating and propagating fluctuations in housing markets, aggregate quantities, and consumption and wealth heterogeneity. We study a two-sector general equilibrium model of housing and non-housing production where...
Persistent link: https://www.econbiz.de/10013038440
This paper studies the role of time-varying risk premia as a channel for generating and propagating fluctuations in housing markets, aggregate quantities, and consumption and wealth heterogeneity. We study a two-sector general equilibrium model of housing and non-housing production where...
Persistent link: https://www.econbiz.de/10013038446
This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact ofuncertainty about the likelihood of governmental bailouts on leverage,interest rates,...
Persistent link: https://www.econbiz.de/10013113858
The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...
Persistent link: https://www.econbiz.de/10013090904
This paper studies the role of time-varying risk premia as a channel for generating and propagating fluctuations in housing markets, aggregate quantities, and consumption and wealth heterogeneity. We study a two-sector general equilibrium model of housing and non-housing production where...
Persistent link: https://www.econbiz.de/10013037352
A conspicuous amount of aggregate tail risk is missing from the price of financial sector crash insurance during the 2007-2009 crisis. The difference in costs of out-of-the-money put options for individual banks, and puts on the financial sector index, increases fourfold from its pre-crisis...
Persistent link: https://www.econbiz.de/10013008346
The paper presents a simple model arguing that the pecking order theory is an extreme when there is only asymmetric information about value. We show how asymmetric information about both, value and risk, transforms the adverse selection logic underlying the pecking order into a general theory of...
Persistent link: https://www.econbiz.de/10012768565
This paper is intended to measure Reisz's (1999) empirical implication about bond yields against data: yields demanded on corporate debt should be higher the later the uncertainty facing the firm is resolved. We conduct our study looking at new bond issues made by industrial corporations between...
Persistent link: https://www.econbiz.de/10012768726
The paper presents a simple model arguing that the pecking order theory is an extreme when there is only asymmetric information about value. We show how asymmetric information about both, value and risk, transforms the adverse selection logic underlying the pecking order into a general theory of...
Persistent link: https://www.econbiz.de/10012768917