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theories that see collateral as a form of insurance, to be used only in extremis …
Persistent link: https://www.econbiz.de/10014352315
Persistent link: https://www.econbiz.de/10010347377
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
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
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
We document a form of excess volatility that is difficult to reconcile with standard models of prices, even after accounting for variation in discount rates. We compare prices of claims on the same cash flow stream but with different maturities. Standard models impose precise internal...
Persistent link: https://www.econbiz.de/10012904418
output comes from an unusual regime. -- Bubbles ; fiscal theory of the price level ; collateral constraints ; neutrality …This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … lender such as a government, central bank, or banking sector is willing to lend infinitely against collateral, explosive …
Persistent link: https://www.econbiz.de/10008904609
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
We show that cross-border financial flows arise when countries differ in their abilities to use assets as collateral …. Financial integration is a way of sharing scarce collateral. The ability of one country to leverage and tranche assets provides … for investors in the financially advanced country to invest abroad. Foreign demand for collateral and for collateral …
Persistent link: https://www.econbiz.de/10012962544
What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...
Persistent link: https://www.econbiz.de/10012940945