Showing 1 - 10 of 23
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a general equilibrium in finite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in the economy which can be used as collateral for...
Persistent link: https://www.econbiz.de/10010258788
We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and welfare within an infinite-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to re-use frees up collateral that can be used to back more...
Persistent link: https://www.econbiz.de/10011626567
Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...
Persistent link: https://www.econbiz.de/10011875645
Persistent link: https://www.econbiz.de/10014480329
Persistent link: https://www.econbiz.de/10014517299
Persistent link: https://www.econbiz.de/10015192712
Persistent link: https://www.econbiz.de/10015142179
We develop a general model of decentralized exchange. Our model allows for any number of traders and traded assets, and any form of market decentralization, including trading environments determined by an arbitrary network structure. We study how the equilibrium allocation and liquidity depend...
Persistent link: https://www.econbiz.de/10010257513
Recent evidence suggests that younger people update beliefs more in response to aggregate shocks than older people. We embed this generational learning bias in an equilibrium model where agents have recursive preferences and are uncertain about exogenous aggregate dynamics. The departure from...
Persistent link: https://www.econbiz.de/10010258329
We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...
Persistent link: https://www.econbiz.de/10010412872