Similar Search Results

Ramírez, Carlos A. - 2020

This paper argues that changes in the propagation of idiosyncratic shocks along firm networks are important to understanding variations in asset returns. When calibrated to match key features of supplier-customer networks in the United States, an equilibrium model in which investors have...

Persistent link: https://www.econbiz.de/10012854635

Credit Default Swaps in General Equilibrium : Spillovers, Credit Spreads, and Endogenous Default

Darst, Matthew - 2016

This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when...

Persistent link: https://www.econbiz.de/10012992726

The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market

Han, Song; Li, Dan - 2011

. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive … dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence … that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this …

Persistent link: https://www.econbiz.de/10014179447

QE Auctions of Treasury Bonds

Song, Zhaogang - 2014

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

Persistent link: https://www.econbiz.de/10013050098

The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania - 2015

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

Persistent link: https://www.econbiz.de/10013032735

An Empirical Test of Auction Efficiency : Evidence from MBS Auctions of the Federal Reserve

Bonaldi, Pietro - 2015

Auction theory has ambiguous implications regarding the relative efficiency of three formats of multiunit auctions …: uniform-price, discriminatory-price, and Vickrey auctions. We empirically evaluate the performance of these three auction … June 1, 2014 through November 17, 2014. We estimate marginal cost curves for all dealers, at each auction, based on …

Persistent link: https://www.econbiz.de/10013015085

Default Risk and Private Student Loans : Implications for Higher Education Policies

Ionescu, Anamaria Felicia - 2017

In recent years, the proportion of students facing a binding constraint on government student loans has grown. This has led to substantially increased use of private loans as a supplementary source of finance for households' higher education investment. A critical aspect of the private market...

Persistent link: https://www.econbiz.de/10012972731

Information Externalities, Funding Liquidity, and Fire Sales

Altinoglu, Levent; Chang, Jin Wook - 2022

We develop a theory of learning in a model of fire sales and collateralized debt to study how beliefs about fundamentals are shaped by market conditions. Agents exchange short-term debt contracts to invest in a long-term risky asset, and receive shocks to the opportunity cost of funds (cost...

Persistent link: https://www.econbiz.de/10013491982

More than Words : Twitter Chatter and Financial Market Sentiment

Adams, Travis; Ajello, Andrea; Silva, Diego; … - 2023

We build a new measure of credit and financial market sentiment using Natural Language Processing on Twitter data. We find that the Twitter Financial Sentiment Index (TFSI) correlates highly with corporate bond spreads and other price- and survey-based measures of financial conditions. We...

Persistent link: https://www.econbiz.de/10014354231

Contagion in Debt and Collateral Markets

Chang, Jin Wook; Chuan, Grace - 2023

This paper investigates contagion in financial networks through both debt and collateral markets. We find that the role of collateral is mitigating counterparty exposures and reducing contagion but has a phase transition property. Contagion can change dramatically depending on the amount of...

Persistent link: https://www.econbiz.de/10014354909