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作者：Albertazzi, Ugo; Eramo, Ginette; Gambacorta, Leonardo; Salleo, Carmelo
作者单位：European Central Bank; Bank of Italy; European Central Bank; Bank for International Settlements (BIS)
摘要：Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their...
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作者：Miao, Jianjun; Wang, Pengfei; Zhou, Jing
作者单位：Boston University; Jinan University; Zhejiang University; Hong Kong University of Science & Technology
摘要：This paper provides a theory of credit-driven asset bubbles in an infinite-horizon production economy. Entrepreneurs face idiosyncratic investment distortions and credit constraints. An intrinsically useless asset such as land serves as collateral for borrowing. A land bubble can form because land commands a liquidity premium. The land bubble can provide liquidity and relax credit constraints, but can also generate inefficient over investment. Its net effect is to reduce welfare. Property taxe...
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作者：Reis, Ricardo
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：A central bank is insolvent if its plans imply a Ponzi scheme on reserves so the price level becomes infinity. If the central bank enjoys fiscal support, in the form of a dividend rule that pays out net income every period, including when it is negative, it can never become insolvent independently of the fiscal authority. Otherwise, this note distinguishes between intertemporal insolvency, rule insolvency, and period insolvency. While period and rule solvency depend on analyzing dividend rules...
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作者：Kraenzlin, Sebastien K; Nellen, Thomas
作者单位：Swiss National Bank (SNB); Swiss National Bank (SNB)
摘要：Deviations between interest rates paid in the Swiss franc unsecured money market and the respective Libor rate are analysed for a period spanning the financial crisis. First, banks that have access to sources of secured central bank and interbank funding pay less than other banks. Second, foreign banks (not chartered in Switzerland) pay more than domestic banks. Third, both lines of segmentation are economically relevant but limited due to open access to sources of secured funding. Thus, acces...
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作者：Baele, Lieven; Bekaert, Geert; Cho, Seonghoon; Inghelbrecht, Koen; Moreno, Antonio
作者单位：Tilburg University; Columbia University; National Bureau of Economic Research; Yonsei University; HOGENT University College of Applied Sciences & Arts; University of Navarra
摘要：A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the rel...
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作者：Hirano, Tomohiro; Inaba, Masaru; Yanagawa, Noriyuki
作者单位：University of Tokyo; Kansai University
摘要：As long as bubble size is relatively small, bubbles increase production level, but once the size becomes too large, then bubbles reduce it. Given this non-monotonic relationship, this paper investigates the relationship between bubbles and government bailouts. It shows that bailouts for bursting bubbles may positively influence ex ante production efficiency and relax the existence condition of stochastic bubbles. The level of bailouts has a non-monotonic relationship with production efficiency...
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作者：Chakraborty, Ratula; Dobson, Paul W.; Seaton, Jonathan S.; Waterson, Michael
作者单位：University of East Anglia; Loughborough University; University of Warwick
摘要：How does the frequency and magnitude of micro-price rises and falls relate to macroeconomic crisis, as well as moderation? Weekly micropricing behaviour in British groceries was investigated across three leading retailers over the moderation period 2004-7 and the crisis period 2008-10. We find significant price flexibility sharply distinguished from behaviour observed in. most previous works. Downward price flexibility increased markedly in 2008. Overall basket prices rise, but significantly m...
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作者：Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.
作者单位：Federal Reserve System - USA
摘要：To support the economic recovery, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed's associated interest rate risk-including potential losses to its Treasury and mortgage-backed securities holdings and declines in the Fed's remittances to the Treasury. In assessing this interest rate risk, we use probabilities of alternative interest rate scenarios that are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resultin...
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作者：Albuquerque, Rui; Eichenbaum, Martin; Papanikolaou, Dimitris; Rebelo, Sergio
作者单位：Boston University; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher...
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作者：Ireland, Peter N.
作者单位：Boston College; National Bureau of Economic Research
摘要：Within an affine model of the term structure of interest rates, where bond yields get driven by observable and unobservable macroeconomic factors, parameter restrictions help identify the effects of monetary policy and other structural disturbances on output, inflation, and interest rates and decompose movements in long-term rates into terms attributable to changing expected future short rates versus risk premia. When estimated, the model highlights a broad range of channels through which mone...
