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Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2009

closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the …

Persistent link: https://www.econbiz.de/10003812553

Global liquidity and exchange rates

Adrian, Tobias (contributor); Etula, Erkko M. (contributor); … - 2009

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …

Persistent link: https://www.econbiz.de/10003812554

Understanding the securitization of subprime mortgage credit

Ashcraft, Adam B. (contributor); Schuermann, Til (contributor) - 2008

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete...

Persistent link: https://www.econbiz.de/10003781458

Bank capital and value in the cross section

Mehran, Hamid; Thakor, Anjan V. - 2009

We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that...

Persistent link: https://www.econbiz.de/10003947552

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

The tri-party repo market before the 2010 reforms

Copeland, Adam; Martin, Antoine; Walker, Michael - 2010

This paper provides a descriptive and quantitative account of the tri-party repo market before the reforms proposed in 2010 by the Task Force on Tri-Party Repo Infrastructure (Task Force 2010). We provide an extensive description of the mechanics of this market. We also use data from July 2008...

Persistent link: https://www.econbiz.de/10008746898

Do underwriters matter? : the impact of the near loss of an equity underwriter

Kovner, Anna - 2010

The financial crisis provides a natural experiment for testing theoretical predictions of the equity underwriter’s role following an initial public offering. Clients of Bear Stearns, Lehman Brothers, Merrill Lynch, and Wachovia saw their stock prices fall almost 5 percent, on average, on the...

Persistent link: https://www.econbiz.de/10008657209

MBS ratings and the mortgage credit boom

Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...

Persistent link: https://www.econbiz.de/10008657284

Repo runs

Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - 2010 - Rev.

an intermediary and derive distinct liquidity and solvency conditions that determine whether a run can be prevented. We … liquidity constraints are again relevant for the stability of financial institutions. -- Investment banking ; securities dealers …

Persistent link: https://www.econbiz.de/10008657307

Shadow banking regulation

Adrian, Tobias; Ashcraft, Adam B. - 2012

Shadow banks conduct credit intermediation without direct, explicit access to public sources of liquidity and credit …

Persistent link: https://www.econbiz.de/10009528777

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