ASSET RETURNS AND ECONOMIC DISASTERS - EVIDENCE FROM THE SAVINGS-AND-LOAN CRISIS

• 成果类型: Article
• 署名作者: STRAHAN, PE
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01207-4
• 发表日期: 1995
• 页码: 189-217
• 关键词: SAVINGS AND LOANS; asset pricing; equity premium

摘要

This paper shows that depositors lost confidence in FSLIC during the two years prior to passage of FIRREA, legislation which recapitalized the deposit insurance fund in 1989. During this period, promised returns on retail CDs reflected the expected loss and return standard deviation on these securities in the absence of government insurance. Cross-sectional analysis is used to estimate both the probability and the conditional price of risk associated with FSLIC default. The results suggest that increased uncertainty about both output and inflation in this disaster scenario drove the price of FSLIC default risk to extremely high levels. The results also indicate that the market for retail deposits is characterized by less than perfect arbitrage across geographical regions.