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Approximating equilibria with ex-post heterogeneity and aggregate risk

Pröhl, Elisabeth - 2017

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...

Persistent link: https://www.econbiz.de/10011875645

Arbitraging the Basel Securitization Framework : evidence from German ABS investment

Efing, Matthias - 2014

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …

Persistent link: https://www.econbiz.de/10011293796

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286

Linkages between direct and securitized real estate

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...

Persistent link: https://www.econbiz.de/10003970466

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

Fostel, Ana; Geanakoplos, John - 2011

-2009. We study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with …, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will raise … the underlying asset price while the CDS outside the securitization lowers it. The resolution of the puzzle is that the …

Persistent link: https://www.econbiz.de/10014180051

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

Fostel, Ana - 2011

puzzling, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will … raise the underlying asset price while the CDS outside the securitization lowers it. The resolution of the puzzle is that …

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

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...

Persistent link: https://www.econbiz.de/10003966068

Endogenous completeness of diffusion driven equilibrium markets

Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009

We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...

Persistent link: https://www.econbiz.de/10003971255

Financial Innovation, Collateral and Investment

Fostel, Ana - 2015

Financial innovations that change how promises are collateralized can affect investment, even in the absence of any change in fundamentals. In C-models, the ability to leverage an asset always generates over-investment compared to Arrow Debreu. The introduction of CDS always leads to...

Persistent link: https://www.econbiz.de/10013026735

Financial Innovation, Collateral and Investment

Fostel, Ana - 2013

We show that financial innovations that change the collateral capacity of assets in the economy can affect investment even in the absence of any shift in utilities, productivity, or asset payoffs. First we show that the ability to leverage an asset by selling non-contingent promises can generate...

Persistent link: https://www.econbiz.de/10013078367