Narrow search
Showing 1 - 10 of 96
Cover Image
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
Cover Image
Global liquidity and exchange rates
Adrian, Tobias; Etula, Erkko; Shin, Hyun Song - 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/10010287101
Cover Image
Risk appetite and exchange rates
Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2015
foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks ….S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our empirical …
Persistent link: https://www.econbiz.de/10011399316
Cover Image
Risk Appetite and Exchange Rates
Adrian, Tobias; Etula, Erkko; Shin, Hyun Song - 2018
We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast U.S. dollar … foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a simple asset pricing model where … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts …
Persistent link: https://www.econbiz.de/10014210672
Cover Image
Contagious Adverse Selection
Morris, Stephen; Shin, Hyun Song - In: American Economic Journal: Macroeconomics 4 (2012) 1, pp. 1-21
We illustrate the corrosive effect of even small amounts of adverse selection in an asset market and show how it can lead to the total breakdown of trade. The problem is the failure of "market confidence," defined as approximate common knowledge of an upper bound on expected losses. Small...
Persistent link: https://www.econbiz.de/10009399096
Cover Image
The Broad Yen Carry Trade
Hattori, Masazumi; Shin, Hyun Song - Institute for Monetary and Economic Studies, Bank of Japan - 2007
Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency...
Persistent link: https://www.econbiz.de/10004975764
Cover Image
Money, liquidity, and monetary policy
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
Cover Image
Liquidity and Financial Cycles
Adrian, Tobias; Shin, Hyun Song - 2013
the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …
Persistent link: https://www.econbiz.de/10014216388
Cover Image
Liquidity Black Holes
Morris, Stephen; Shin, Hyun Song - School of Management, Yale University - 2004
run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …
Persistent link: https://www.econbiz.de/10005368998
Cover Image
Liquidity Black Holes
Morris, Stephen; Shin, Hyun Song - Cowles Foundation for Research in Economics, Yale University - 2003
run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …
Persistent link: https://www.econbiz.de/10005463975