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The Interest Rate Sensitivity of Real Estate

CHANEY, Alain; HOESLI, Martin

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical but...

Persistent link: https://www.econbiz.de/10008922901

The Price of Liquidity: Bank Characteristics and Market Conditions

FECHT, Falko; NYBORG, Kjell G.; ROCHOLL, Jörg - 2010

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the...

Persistent link: https://www.econbiz.de/10008922904

Is the Price Kernel Monotone?

BARONE-ADESI, Giovanni; DALL'O, Hakim - 2010

dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

Persistent link: https://www.econbiz.de/10008922908

An evolutionary financial market model with a risk-free asset

EVSTIGNEEVY, Igor V.; HENS, Thorsten; SCHENK-HOPPE, …

This paper introduces and analyzes an evolutionary model of a financial market with a risk-free asset. We focus on the local stability of the wealth dynamics, applying recent results on the linearization and stability of random dynamical systems (Evstigneev, Pirogov and Schenk-Hoppé...

Persistent link: https://www.econbiz.de/10008922913

Bubbles Everywhere in Human Affairs

GISLER, Monika; SORNETTE, Didier - 2010

We review the “social bubble” hypothesis, which holds that strong social interactions between enthusiastic supporters of new ventures weave a network of reinforcing feedbacks that lead to a widespread endorsement and extraordinary commitment by those involved in the projects, beyond what...

Persistent link: https://www.econbiz.de/10008922914

Exuberant innovation: The Human Genome Project

GISLER, Monika; SORNETTE, Didier; WOODARD, Ryan

We present a detailed synthesis of the development of the Human Genome Project (HGP) from 1986 to 2003 in order to test the “social bubble” hypothesis that strong social interactions between enthusiastic supporters of the HGP weaved a network of reinforcing feedbacks that led to a widespread...

Persistent link: https://www.econbiz.de/10008922915

Three Solutions to the Pricing Kernel Puzzle

HENS, Thorsten; REICHLIN, Christian - 2010

The pricing kernel puzzle is the observation that the pricing kernel might be increasing in some range of the market … returns. This paper analyzes the pricing kernel in a financial market equilibrium. If mar- kets are complete and investors are … risk-averse and have common and true beliefs, the pricing kernel is a decreasing function of aggregate resources. If at …

Persistent link: https://www.econbiz.de/10008922918

Money and Liquidity in Financial Markets

NYBORG, Kjell G.; OSTBERG, Per - 2009

We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves...

Persistent link: https://www.econbiz.de/10008922920

Microinformation, Nonlinear Filtering and Granularity

GAGLIARDINI, Patrick; GOURIEROUX, Christian; MONFORT, Alain - 2009

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models. For Gaussian linear state space models, or for models with qualitative state variables, the recursive formulas of the filter require the updating of a finite number of...

Persistent link: https://www.econbiz.de/10008922923

Price Impact and Portfolio Impact

CVITANIC, Jaksa; MALAMUD, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10008922924

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