Showing 1 - 10 of 31
We examine the implications of introducing anticipated productivity shocks for the ability of a real-business-cycle model to explain asset prices. Our theoretical framework is a real-business-cycle model in which agents receive news about future productivity shocks. We show that incorporating...
Persistent link: https://www.econbiz.de/10011080854
In this paper we study how funding constraints affect asset prices internationally. We build an equilibrium model with multiple countries where investors face margin constraints, and derive an international funding-liquidity-adjusted CAPM. In particular, the model has implications for (i) the...
Persistent link: https://www.econbiz.de/10011183571
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from hedging into an otherwise standard dynamic term structure model, and derive two sets of predictions which are strongly supported by the data:...
Persistent link: https://www.econbiz.de/10010858771
I describe a tractable way to study macroeconomic quantities and asset prices in a large class of dynamic stochastic general equilibrium models. The proposed approximate solution is analytical, log-linear, and adjusted for risk. Therefore, it is well suited to investigate economic mechanisms,...
Persistent link: https://www.econbiz.de/10010906770
We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the...
Persistent link: https://www.econbiz.de/10008727787
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian (i.e....
Persistent link: https://www.econbiz.de/10005537371
We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods-cohort and duration...
Persistent link: https://www.econbiz.de/10005420612
Persistent link: https://www.econbiz.de/10011198596
We examine the business model of traditional commercial banks in the context of their co-existence with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in very different ways. Traditional banks create safe claims with a combination of costly...
Persistent link: https://www.econbiz.de/10010784176
We study the returns to owning dry bulk cargo ships. Ship earnings exhibit a high degree of mean reversion, driven by industry participants' competitive investment responses to shifts in demand. Ship prices are far too volatile given the mean reversion in earnings. We show that high current ship...
Persistent link: https://www.econbiz.de/10010950914