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Risky arbitrage and collateral policies
Zhang, Ally Quan - 2017 - Last Update: October 6, 2017
collateral to support arbitrage trades. We show that with volatile asset demands, arbitrage becomes risky. With information … frictions, a looser collateral policy might render the economy more vulnerable to extremely large demand shocks, while a tighter … collateral constraint helps maintain the stability at the cost of market liquidity supply …
Persistent link: https://www.econbiz.de/10011874838
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Collateralized borrowing and increasing risk
Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333118
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Entrepreneurial Risk, Collateral Constraints and Macroeconomic Fluctuations
Brumm, Johannes - 2019
We present a calibrated general equilibrium model in which collateral constraints substantially amplify and propagate …
Persistent link: https://www.econbiz.de/10012865192
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Collateral, Risk, and Borrowing Capacity
Markou, Panos - 2020
. The increase in gold prices during the 2008-2009 financial crisis provided a positive shock to the collateral value of …We examine the effect of risk-shifting incentives on the relation between collateral and corporate borrowing capacity … gold firms, in contrast to the average firm that experienced a negative liquidity shock. Using a difference …
Persistent link: https://www.econbiz.de/10012854521
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Consumer default with complete markets : risk-based pricing and finite punishment
Mateos-Planas, Xavier; Seccia, Giulio - 2011
Persistent link: https://www.econbiz.de/10009127254
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Collateralized borrowing and increasing risk
Phelan, Gregory - In: Economic theory : official journal of the Society for … 63 (2017) 2, pp. 471-502
Persistent link: https://www.econbiz.de/10011723615
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Risk transfer with CDOs
Krahnen, Jan Pieter (contributor);  … - 2008
realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in …
Persistent link: https://www.econbiz.de/10003768041
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Risk transfer with CDOs
Krahnen, Jan Pieter (contributor);  … - 2008
realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in …
Persistent link: https://www.econbiz.de/10003750079
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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium for agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term-Treasury convenience premium. Both the MBS convenience premium and the issuance amount vary negatively with the mortgage rate,...
Persistent link: https://www.econbiz.de/10013492118
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Uncertainty shocks and corporate borrowing constraints
Kamara, Ahmed; Koirala, Niraj P. - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-35
In this paper, we study the effects of uncertainty shocks in a quantitative framework where firms in the corporate sector are constrained by credit. Specifically, we formulate borrowing constraints as a nested function that features both earnings and capital as alternative instruments for...
Persistent link: https://www.econbiz.de/10013548964