Intermediary Asset Pricing

• 成果类型: Article
• 署名作者: He, Zhiguo; Krishnamurthy, Arvind
• 署名单位: University of Chicago; National Bureau of Economic Research; Northwestern University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.103.2.732
• 发表日期: 2013
• 页码: 732-770
• 关键词: mortgage-backed securities; Deposit insurance; interest-rates; equilibrium; liquidity; consumption; LIMITS; MODEL

摘要

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.