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Evolving international monetary and financial architecture and the development challenge: A liquidity preference theoretical perspective
Bibow, Jörg - 2019
's liquidity preference theory informs the analysis of the loss of policy space and widespread instabilities in emerging economies …
Persistent link: https://www.econbiz.de/10012142982
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The price of liquidity: Bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …
Persistent link: https://www.econbiz.de/10010315393
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A search-theoretic model of the term premium
Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, Kevin - 2013
rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …
Persistent link: https://www.econbiz.de/10010318851
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011784998
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A Type of HJM Based Affine Model: Theory and Empirical Evidence
Li, Haitao; Ye, Xiaoxia - 2013
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Finite Dimensional Realizations (FDRs) of the Gaussian HJM model. The algorithms of constructing...
Persistent link: https://www.econbiz.de/10010892079
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Forecasts of inflation and interest rates in no-arbitrage affine models
Gospodinov, Nikolay; Wei, Bin - 2016
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
Persistent link: https://www.econbiz.de/10011776813
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The term structure and inflation uncertainty
Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios - 2016
This paper develops and estimates a Quadratic-Gaussian model of the U.S. term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and incorporating survey information on inflation...
Persistent link: https://www.econbiz.de/10011776851
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; … - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10012819004
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Limited household risk sharing: General equilibrium implications for the term structure of interest rates
Mitra, Indrajit; Xu, Yu - 2020
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to observable aggregate labor market variables. Our model...
Persistent link: https://www.econbiz.de/10012653486
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Quantifying "quantitative tightening" (QT): How many rate hikes is QT equivalent to?
Wei, Bin - 2022
How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield....
Persistent link: https://www.econbiz.de/10014278183