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作者：Allen, F; Carletti, E
作者单位：University of Pennsylvania
摘要：Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have Suggested that they may be undesirable if they increase the risk of financial crises. Using a model with banking and insurance sectors, we show that credit risk transfer can be beneficial when banks face uniform demand for liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, credit risk transfer can be ...
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作者：Diamond, DW
作者单位：University of Chicago
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作者：Strahan, PE
作者单位：Boston College; National Bureau of Economic Research
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作者：Lehnert, A; Passmore, W
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Pennacchi, G
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Empirical evidence is presented to show that in modern times banks can hedge liquidity shocks but could not, do so prior to FDIC insurance. However, the government's limitations in properly pricing FDIC insurance are leading to many current examples of moral hazard. A model is presented to show that if insurance premiums are set to be actuarially fair, incentives for banks to take excessive systematic risks remain. Motivated by empirical evidence that money market Mutual funds also can hedge l...
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作者：Lucas, D; McDonald, RL
作者单位：Northwestern University
摘要：Fannie Mae and Freddie Mac assume a significant amount of interest and prepayment risk and all of the credit risk for about half of the $8 trillion U.S. residential mortgage market. Their hybrid government-private statLIS, and the perception that they are too big to fail, make them a potentially large, but largely Unaccounted For, risk to the federal government. Measuring the size and risk of this liability is technically difficult, but important for the debate over the appropriate regulation ...
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作者：Caballero, RJ; Krishnamurthy, A
作者单位：Northwestern University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Emerging market economies are fertile ground for the development of real estate and other financial bubbles. Despite these economies' significant growth potential, their corporate and government sectors do not generate the financial instruments to provide residents with adequate stores of Value. Capital often flows Out of these economies seeking these stores Of Value in the developed world. Bubbles are beneficial because they provide domestic stores of value and thereby reduce capital outflows...
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作者：Musto, DK; Souleles, NS
作者单位：National Bureau of Economic Research; University of Pennsylvania
摘要：To compute risk-adjusted returns and gauge the volatility of their portfolios, lenders need to know the covariances of their loans' returns with aggregate returns. We use unique credit bureau data to measure individuals' 'covariance risk', i.e., the covariance of their default risk with aggregate consumer default rates, and more generally to analyze the distribution of credit, including the effects of credit scores. We find significant heterogeneity in covariance risk across consumers. Also, t...
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作者：Wachter, JA
作者单位：University of Pennsylvania; National Bureau of Economic Research
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作者：Lusardi, A
作者单位：Dartmouth College; National Bureau of Economic Research
