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A new survey of the U.S. bilateral repo market : a snapshot of broker-dealer activity
Baklanova, Viktoria; Caglio, Cecilia; Cipriani, Marco; … - 2016
We provide aggregate statistics on U.S. dealers' bilateral repurchase agreements and economically equivalent securities lending activities. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of...
Persistent link: https://www.econbiz.de/10011413234
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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10003948797
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Up close it feels dangerous : "anxiety" in the face of risk
Eisenbach, Thomas M.; Schmalz, Martin C. - 2013
of 1) individual behavior, 2) equilibrium prices, and 3) institutions. In particular, we derive implications for …
Persistent link: https://www.econbiz.de/10009725585
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Trading by professional traders: an experiment
Cipriani, Marco; De Filippis, Roberta; Guarino, Antonio; … - 2020
We examine how professional traders behave in two financial market experiments; we contrast professional traders' behavior to that of undergraduate students, the typical experimental subject pool. In our first experiment, both sets of participants trade an asset over multiple periods after...
Persistent link: https://www.econbiz.de/10012259899
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Financial intermediation, asset prices, and macroeconomic dynamics
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2010
asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive …
Persistent link: https://www.econbiz.de/10003948219
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Leverage asset pricing
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10009787499
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Stigma in financial market : evidence from liquidity auctions and discount window borrowing during the crisis
Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; … - 2011
We provide empirical evidence for the existence, magnitude, and economic impact of stigma associated with banks borrowing from the Federal Reserve's discount window facility. We find that, during the height of the financial crisis, banks were willing to pay an average premium of at least 37...
Persistent link: https://www.econbiz.de/10008935736
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Inflation expectations and risk premia in emerging bond markets: evidence from Mexico
Beauregard, Remy; Christensen, Jens H. E.; Fischer, Eric; … - 2021
Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their … prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well …
Persistent link: https://www.econbiz.de/10012498145
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Financial vulnerability and monetary policy
Adrian, Tobias; Duarte, Fernando - 2017 - Revised September 2017
We present a microfounded New Keynesian model that features financial vulnerabilities. Financial intermediaries' occasionally binding value-at-risk constraints give rise to variation in the pricing of risk that generates time-varying risk in the conditional mean and volatility of the output gap....
Persistent link: https://www.econbiz.de/10011576278
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International shocks and domestic prices : how large are strategic complementarities?
Amiti, Mary; Itskhoki, Oleg; Konings, Jozef - 2016
estimate of firms' price responses to changes in prices of their competitors. We develop a general framework and an empirical …, which contains detailed information on firm domestic prices, marginal costs, and competitor prices. The rare features of …, that these findings have important implications for shaping the response of domestic prices to international shocks. …
Persistent link: https://www.econbiz.de/10011446483