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Intermediary Asset Pricing

The American economic review, 2013-04, Vol.103 (2), p.732-770 [Tạp chí có phản biện]

Copyright© 2013 The American Economic Association ;Copyright American Economic Association Apr 2013 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.103.2.732 ;CODEN: AENRAA

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Nhan đề:
Intermediary Asset Pricing
Tác giả: He, Zhiguo ; Krishnamurthy, Arvind
Chủ đề: Asset acquisitions ; Asset markets ; Asset pricing ; Borrowing ; Capital costs ; Capital maintenance ; Central banks ; Collateral ; Corporate bonds ; Default ; Discount rates ; Economic models ; Equity capital ; Financial intermediaries ; Financial leverage ; Financial risks ; Hedge funds ; Investment risk ; Market equilibrium ; Mortgage backed securities ; Non-linear models ; Risk aversion ; Risk premiums ; Securities markets ; Studies ; Wealth
Là 1 phần của: The American economic review, 2013-04, Vol.103 (2), p.732-770
Mô tả: We model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the constraint binds, reflecting the capital scarcity. The calibrated model matches the nonlinearity of risk premia during crises and the speed of reversion in risk premia from a crisis back to precrisis levels. We evaluate the effect of three government policies: reducing intermediaries borrowing costs, injecting equity capital, and purchasing distressed assets. Injecting equity capital is particularly effective because it alleviates the equity capital constraint that drives the model's crisis.
Nơi xuất bản: Nashville: American Economic Association
Ngôn ngữ: English
Số nhận dạng: ISSN: 0002-8282
EISSN: 1944-7981
DOI: 10.1257/aer.103.2.732
CODEN: AENRAA
Nguồn: AUTh Library subscriptions: ProQuest Central

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Intermediary Asset Pricing

Copyright© 2013 The American Economic Association ;Copyright American Economic Association Apr 2013 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.103.2.732 ;CODEN: AENRAA

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