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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2011
In this paper we examine the effect of collateral requirements on the prices of long-lived assets. We consider a Lucas …-style infinite-horizon exchange economy with heterogeneous agents and collateral constraints. There are two trees in the economy … which can be used as collateral for short-term loans. For the first tree the collateral requirement is determined …
Persistent link: https://www.econbiz.de/10009009597
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In … this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium … model with heterogeneous agents facing collateral constraints for borrowing. We document that borrowing against collateral …
Persistent link: https://www.econbiz.de/10010203684
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Collateral Requirements and Asset Prices
Brumm, Johannes - 2016
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In … this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium … model with heterogeneous agents facing collateral constraints for borrowing. We document that borrowing against collateral …
Persistent link: https://www.econbiz.de/10012988657
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International Capital Flows, Returns and World Financial Integration
Evans, Martin D.D; Hnatkovska, Viktoria V. - 2012
International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and debt markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...
Persistent link: https://www.econbiz.de/10014062072
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International capital flows and bond risk premia
Sierra, Jesus - 2010
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...
Persistent link: https://www.econbiz.de/10003981333
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International Capital Flows and Bond Risk Premia
Sierra Jimenez, Jesus A. - 2020
We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...
Persistent link: https://www.econbiz.de/10012857491
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - In: International economic review 55 (2015) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011347959
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Quantum Financial Economics - Risk and Returns
Gonçalves, Carlos Pedro dos Santos - 2011
Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the results are compared with financial volatility data
Persistent link: https://www.econbiz.de/10013122513
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Debt, equity and the equity price puzzle
Finocchiaro, Daria; Mendicino, Caterina - 2015
financial frictions and labor demand, as in Jermann and Quadrini (2012), is key to the result. A collateral constraint a la …
Persistent link: https://www.econbiz.de/10011410405
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Safe Asset Carry Trade
Ballensiefen, Benedikt - 2020
We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level,...
Persistent link: https://www.econbiz.de/10012848481