Showing 1 - 10 of 165
This paper develops a technique to decompose price distributions into contributions from markups and marginal cost. The estimators are then used as a laboratory to measure the relationship between increasing Chinese competition and the components of U.S. import prices. The estimates suggest that...
Persistent link: https://www.econbiz.de/10010333611
This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, and then describes the market landscape, the role of the participants, and other characteristics, including how repo and securities lending...
Persistent link: https://www.econbiz.de/10011460645
We study the effect of market structure on a personal computer manufacturer's decision to adopt new technology. This industry is unusual because there exist two horizontally segmented retail markets with different degrees of competition: the IBM-compatible (or PC) platform and the Apple...
Persistent link: https://www.econbiz.de/10010287060
This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...
Persistent link: https://www.econbiz.de/10010333053
This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...
Persistent link: https://www.econbiz.de/10010333576
Individual banks differ substantially in their foreign operations. This paper introduces heterogeneous banks into a general equilibrium framework of banking across borders to explain the documented variation. While the model matches existing micro and macro evidence, novel and unexplored...
Persistent link: https://www.econbiz.de/10010333583
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the treatment effect of rate increases or loan modifi cations are confounded by borrower selection. We study a sample of hybrid adjustable-rate mortgages that have experienced large rate...
Persistent link: https://www.econbiz.de/10010333591
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10010333593
This paper develops and tests a theoretical model that allows for the endogenous decision of banks to engage in international and global banking. International banking, where banks raise capital in the home market and lend it abroad, is driven by differences in factor endowments across...
Persistent link: https://www.econbiz.de/10010333594
We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or 'tail' risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of...
Persistent link: https://www.econbiz.de/10010333600