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Precautionary reserves and the interbank market

Ashcraft, Adam; McAndrews, James; Skeie, David - 2009

Liquidity hoarding by banks and extreme volatility of the fed funds rate have been widely seen as severely disrupting the interbank market and the broader financial system during the 2007-08 financial crisis. Using data on intraday account balances held by banks at the Federal Reserve and...

Persistent link: https://www.econbiz.de/10010283540

The correlation between economic indicators and taiwan stock market - a case study of leading and lagging indicators

Yang, Lori Tzu-Yi - In: Financial Studies 24 (2020) 4 (90), pp. 41-59

This study investigates the correlation between economic indicators and Taiwan stock market, analysing the leading and lagging indicators from January 1995 to December 2016 to determine whether there is any significant correlation between the indicators and the stock market. With Large-cap Stock...

Persistent link: https://www.econbiz.de/10012484812

Precautionary reserves and the interbank market

Ashcraft, Adam B.; McAndrews, James Joseph; Skeie, David - 2009

Persistent link: https://www.econbiz.de/10003864507

Credit risk in general equilibrium

Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2014

This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a … clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that … is a direct generalization of the standard general equilibrium model with financial markets. Borrowers may default in …

Persistent link: https://www.econbiz.de/10010235825

Monitoring Leverage

Geanakoplos, John - 2011

We discuss how leverage can be monitored for institutions, individuals, and assets. While traditionally the interest rate has been regarded as the important feature of a loan, we argue that leverage is sometimes even more important. Monitoring leverage provides information about how risk builds...

Persistent link: https://www.econbiz.de/10013117902

Greek Debt and American Debt : Graduation Speech at the University of Athens Economics and Business School

Geanakoplos, John - 2011

This is the graduation speech I gave on receiving an honorary doctorate at the University of Athens Economics and Business School. I talk about my Greek family, about how I got interested in economics, and then how in the 1990s I came to think about default, collateral, and leverage as the...

Persistent link: https://www.econbiz.de/10013117903

An Analysis of Market Efficiency in Response to Short Sale Information

Kai, Guo - 2011

We investigate the effect of expected short sales and short sales surprises on abnormal securities returns. We then examine the impact of short sales constraints on the informational efficiency of the equity market based on a major hypothesis of Diamond and Verrecchia (1987). We conduct a series...

Persistent link: https://www.econbiz.de/10013120592

Tranching, CDS and Asset Prices : How Financial Innovation Can Cause Bubbles and Crashes

Fostel, Ana - 2011

We show how the timing of financial innovation might have contributed to the mortgage bubble and then to the crash of 2007-2009. We show why tranching and leverage first raised asset prices and why CDS lowered them afterwards. This may seem puzzling, since it implies that creating a derivative...

Persistent link: https://www.econbiz.de/10013121404

Displacement Risk and Asset Returns

Garleanu, Nicolae - 2014

We study asset-pricing implications of innovation in a general-equilibrium overlapping- generations economy. Innovation …

Persistent link: https://www.econbiz.de/10013067614

Feynman Path Integrals and Asymptotic Expansions for Transition Probability Densities of Some Levy Driven Financial Markets

Issaka, Aziz - 2016

In this paper we implement the method of Feynman path integral for the analysis of option pricing for certain L'evy process driven financial markets. For such markets, we find closed form solutions of transition probability density functions of option pricing in terms of various special...

Persistent link: https://www.econbiz.de/10013000092