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A Model of Monetary Policy and Risk Premia

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp - National Bureau of Economic Research (NBER) - 2014

We present a dynamic heterogeneous-agent asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk tolerant agents (banks) borrow from risk averse agents (depositors) and invest in risky assets subject to a reserve requirement. By varying the...

Persistent link: https://www.econbiz.de/10010821733

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia; Xia, Fan Dora - National Bureau of Economic Research (NBER) - 2014

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10010821893

The Long and the Short End of the Term Structure of Policy Rules

Taylor, John B.; Smith, Josephine M. - National Bureau of Economic Research (NBER) - 2007

We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's...

Persistent link: https://www.econbiz.de/10005774435

The Macroeconomics of Shadow Banking

Moreira, Alan; Savov, Alexi - National Bureau of Economic Research (NBER) - 2014

We build a macroeconomic model that centers on liquidity transformation in the financial sector. Intermediaries … maximize liquidity creation by issuing securities that are money-like in normal times but become illiquid in a crash when … collateral is scarce. We call this process shadow banking. A rise in uncertainty raises demand for crash-proof liquidity, forcing …

Persistent link: https://www.econbiz.de/10010821757

Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates

Scharfstein, David; Sunderam, Adi - National Bureau of Economic Research (NBER) - 2013

We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater refinancing activity and lower rates on new mortgages....

Persistent link: https://www.econbiz.de/10010668008

The Rise and Fall of Demand for Securitizations

Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi - National Bureau of Economic Research (NBER) - 2014

government-guaranteed MBS to meet their liquidity needs during the crisis. …

Persistent link: https://www.econbiz.de/10011103520

High-frequency, Algorithmic Spillovers Between NASDAQ and Forex

Ito, Takatoshi; Yamada, Masahiro - National Bureau of Economic Research (NBER) - 2015

We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...

Persistent link: https://www.econbiz.de/10011266645

Benchmarks in Search Markets

Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - National Bureau of Economic Research (NBER) - 2014

We analyze the role of benchmarks in over-the-counter markets subject to search frictions. The publication of a benchmark can, under conditions, raise total social surplus by (i) increasing the volume of beneficial trade, (ii) facilitating more efficient trade matching between dealers and...

Persistent link: https://www.econbiz.de/10011093758

The Dynamics of Financially Constrained Arbitrage

Vayanos, Dimitri; Gromb, Denis - National Bureau of Economic Research (NBER) - 2015

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

Persistent link: https://www.econbiz.de/10011189087

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar; Drechsler, Qingyi Freda - National Bureau of Economic Research (NBER) - 2014

Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...

Persistent link: https://www.econbiz.de/10010821754