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Arbitrage crashes, financial accelerator, and sudden market freezes
Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft
We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of …), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether …
Persistent link: https://www.econbiz.de/10011875637
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Best friend or worst enemy? : dynamics and multiple equilibria with financial arbitrage, production and collateral constraints
Zhang, Quan - 2017 - Last update: March 23, 2017
We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities with the macroeconomy through collateralization. We show that the interactions between speculative trading and the business cycle can work as a powerful transmission mechanism,...
Persistent link: https://www.econbiz.de/10011626467
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Central bank collateral frameworks
Nyborg, Kjell G. - 2015
on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …
Persistent link: https://www.econbiz.de/10011296085
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
leads to a large drop in the asset price, decreased leverage and reduced market liquidity. We show that the model can …
Persistent link: https://www.econbiz.de/10008797071
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Toward a unified framework of credit creation
Becke, Susanne von der; Sornette, Didier - 2014
contraction in credit and to liquidity spirals. Subsequent measures by policymakers can be interpreted as attempts to avoid …
Persistent link: https://www.econbiz.de/10010337985
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Asset pricing with realistic crises dynamics
Gopalakrishna, Goutham - 2020
What causes deep recessions and slow recovery? I revisit this question and develop a macro-finance model that quantitatively matches the salient empirical features of financial crises such as a large drop in the output, a high risk premium, reduced financial intermediation, and a long duration...
Persistent link: https://www.econbiz.de/10012419643
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A general equilibrium appraisal of capital shortfall
Jondeau, Eric; Sahuc, Jean-Guillaume - 2018
We quantify the capital shortfall that results from a global financial crisis by using a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the economy. We show that a crisis similar to that observed in 2008...
Persistent link: https://www.econbiz.de/10011877254
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Dominant currency debt
Eren, Egemen; Malamud, Semyon - 2018 - This version: August 22, 2018
We propose a "debt view" to explain the dominant international role of the dollar and provide broad empirical support for it. Within a simple capital structure model in which firms optimally choose the currency composition of their debt, we derive conditions under which all firms issue debt in a...
Persistent link: https://www.econbiz.de/10011900333
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974