CASH-FLOW TRANCHING AND THE MACROECONOMY

• 成果类型: Article
• 署名作者: Amaral, Pedro S.; Quintin, Erwan; Corbae, Dean
• 署名单位: California State University System; California State University Fullerton; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12464
• 发表日期: 2020
• 页码: 1815-1843
• 关键词: growth; MODEL

摘要

The volume of cash-flow transformation activities has grown markedly over the past few decades. We develop a dynamic model that characterizes the effects of changes in the costs and benefits of security creation. Lower tranching costs and increases in foreign appetite for safe assets can both increase costly security creation with positive effects on GDP and have diverse macroeconomic implications. Whereas the former counterfactually increases yields, the latter lowers them and also raises rents associated with cash-flow transformation. These two features, as well as other subsidiary implications of increased foreign demand, are consistent with recent U.S. data.