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A Theory of Slow-Moving Capital and Contagion
Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009
making investments today and waiting for arbitrage opportunities in future is the combination of occasional fire sales and … fire sales in other types that are fundamentally unrelated, provided arbitrage activity in these investments is sourced …
Persistent link: https://www.econbiz.de/10004980209
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Characterization of arbitrage-free market
Henclová, Alena - In: Bulletin of the Czech Econometric Society 10 (2003)
King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims … characterization of the arbitrage-free market is not correct. Now we propose an equivalent characterization of the arbitrage …
Persistent link: https://www.econbiz.de/10008473454
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Market imperfections, equilibrium and arbitrage
Jouini, Elyès - EconWPA - 2003
The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …
Persistent link: https://www.econbiz.de/10005076947
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Complementarities and Games: New Developments
Vives, Xavier - C.E.P.R. Discussion Papers - 2004
The theory of monotone comparative statics and supermodular games is presented as the appropriate tool to model …
Persistent link: https://www.econbiz.de/10005123543
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Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage
Acharya, Viral V.; Tuckman, Bruce - National Bureau of Economic Research (NBER) - 2013
While the direct effect of lender-of-last-resort (LOLR) facilities is to forestall the default of financial firms that lose funding liquidity, an indirect effect is to allow these firms to minimize deleveraging sales of illiquid assets. This unintended consequence of LOLR facilities manifests...
Persistent link: https://www.econbiz.de/10010951126
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A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
Acharya, Viral V; Drechsler, Itamar; Schnabl, Philipp - C.E.P.R. Discussion Papers - 2011
We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it...
Persistent link: https://www.econbiz.de/10009365002
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Crisis Resolution and Bank Liquidity
Acharya, Viral V.; Shin, Hyun Song; Yorulmazer, Tanju - National Bureau of Economic Research (NBER) - 2009
What is the effect of financial crises and their resolution on banks' choice of liquid asset holdings? When risky assets have limited pledgeability and banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of...
Persistent link: https://www.econbiz.de/10008635912
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A Theory of Systemic Risk and Design of Prudential Bank Regulation
Acharya, Viral V - C.E.P.R. Discussion Papers - 2009
Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank’s failure on the health of other banks give rise to a systemic risk-shifting incentive where all banks...
Persistent link: https://www.econbiz.de/10004980206
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Is the International Convergence of Capital Adequacy Regulation Desirable?
Acharya, Viral V - C.E.P.R. Discussion Papers - 2002
The merit of having international convergence of bank capital requirements in the presence of divergent closure policies of different central banks is examined. While the privately optimal level of bank capital decreases with regulatory forbearance (they are strategic substitutes), the socially...
Persistent link: https://www.econbiz.de/10005124262
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Too Many to Fail - An Analysis of Time Inconsistency in Bank Closure Policies
Acharya, Viral V; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2004
This Paper shows that bank closure policies suffer from a ‘too-many-to-fail’ problem: when the number of bank failures is large, the regulator finds it ex-post optimal to bail out some or all failed banks, whereas when the number of bank failures is small, failed banks can be acquired by the...
Persistent link: https://www.econbiz.de/10005136753