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, and asset prices; or by stimulating bank lending through the credit channel. This paper also examines the alternative …-sector credit instruments (at least those that may be purchased by the Federal Reserve); unsterilized and sterilized intervention in …
Persistent link: https://www.econbiz.de/10005513014
We examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the liquidity risk of municipals and its effect on bond yields. We find that a substantial portion of the...
Persistent link: https://www.econbiz.de/10005514158
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Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the...
Persistent link: https://www.econbiz.de/10005393670
We use earnings forecasts from securities analysts to construct more accurate measures of the fundamentals that affect the expected returns to investment. We find that investment responds significantly -- in both economic and statistical terms -- to our new measures of fundamentals. Our...
Persistent link: https://www.econbiz.de/10005393686
The traditional view of the monetary transmission mechanism rests on the premise that the Federal Reserve (Fed) controls the level of the federal funds rate via open market operations and the liquidity effect. By contrast, this paper argues that the Fed also manipulates the federal funds rate...
Persistent link: https://www.econbiz.de/10005393806
Lamont (1997) claims to find evidence of credit market imperfections that distort financing and investment decisions of … significantly affected by oil cash flow, or that credit market imperfections are an important factor for this set of firms. …
Persistent link: https://www.econbiz.de/10005393884
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Persistent link: https://www.econbiz.de/10005394025
In this study, we use data on intra-day transactions to analyze whether REIT liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry s market capitalization increased from $9 billion to $45 billion. We find that REIT spreads narrowed...
Persistent link: https://www.econbiz.de/10005394068