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We empirically study whether systematic over‐the‐counter (OTC) market frictions drive the large unexplained common factor in yield spread changes. Using transaction data on U.S. corporate bonds, we find that marketwide inventory, search, and bargaining frictions explain 23.4% of the variation in the common component. Systematic OTC frictions thus substantially improve the explanatory power of yield spread changes and account for one‐third of their total explained variation. Search and bargaining frictions combined explain more in the common dynamics of yield spread changes than inventory frictions. Our findings support the implications of leading theories of intermediation frictions in OTC markets. 相似文献
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NILS BJ
RKSTEN
ZER KARAGEDIKLI CHRISTOPHER PLANTIER ARTHUR GRIMES 《The Economic record》2004,80(Z1):S34-S42
It has been suggested that the New Zealand economy may have similar characteristics and face similar shocks to some Australian states, so lowering the costs of a trans‐Tasman currency union. We test this, under the assumption that differences in Taylor rule‐implied interest rate paths for different regions give an indication of differences in aggregate shocks that hit different economies. We compare implied Taylor rule interest rates for each of the Australian states to implied Taylor rule rates for New Zealand. We also compare them to realised 90‐day rates. We find that the Taylor rule‐implied rates in Australian states and in New Zealand are similarly correlated with actual Australian interest rates. 相似文献
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EDWARD ALTMAN GEORGE BENSTON GERALD BIERWAG MARSHALL BLUME RICHARD BREALEY WILLARD CARLETON REW CHEN ELROY DIMSON FRANKLIN EDWARDS ROBERT EISENBEIS WAYNE FERSON MARK FLANNERY CHARLES GOODHART NILS HAKANSSON KOSE JOHN EDWARD KANE GEORGE KAUFMAN RICHARD HERRING ALAN KRAUS DENNIS LOGUE STEWART MYERS STEPHEN SCHAEFER EDUARDO SCHWARTZ KENNETH SCOTT LEMMA SENBET WILLIAM SHARPE JEREMY SIEGEL SEYMOUR SMIDT MARTI SUBRAHMANYAM JAMES VAN HORNE INGO WALTER RICHARD WEST J. FRED WESTON 《实用企业财务杂志》2004,16(1):108-111
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This paper applies the multi-period investment model to a universe of international securities on the basis of the simple probability assessment approach. Our principal findings are: 1) the gains from including non-U.S. asset categories in the universe were remarkably large (in some cases statistically significant), especially for the highly risk-averse strategies, 2) the gains from removing the no leverage constraint were more substantial than they were in the absence of non-U.S. securities, and 3) there is strong evidence of market segmentation in that the optimal levels of investment in U.S. securities were mostly zero in the presence of the non-U.S. asset categories. 相似文献
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MAGNUS LUNDIN NILS GOTTFRIES† CHARLOTTE BUCHT‡ TOMAS LINDSTRÖM§ 《Journal of Money, Credit and Banking》2009,41(5):907-934
We construct a model of a firm competing for market share in a customer market and making investments in physical capital. The firm is financially constrained and there are implementation lags in investment. Our model predicts that product prices should depend on costs and competitors' prices but respond weakly to demand shocks. Also, prices should be strongly related to investment. We estimate price and investment equations on panel data for Swedish manufacturing plants and find results that are qualitatively in line with these predictions, though the relation between investment and prices is stronger than predicted by our model. 相似文献
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This paper extends, corrects, and unifies earlier statements concerning the social value of public information as well as the no-trading conditions in pure exchange. Sufficient and necessary conditions are provided for both the single-period and two-period cases in a postsignal trading model. The social value of information is shown to be closely linked to the allocational efficiency of the market, the degree of homogeneity of prior beliefs, and of information structures, the time-additivity of preferences, and the efficiency of endowments. We conclude that the case in favor of public information is much stronger than previously suggested. 相似文献
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NILS OLEKALNS 《The Economic record》1989,65(1):16-26
Large increases in the private sector's savings ratio during a period of rapid growth in the relative size of the public sector has led to the suggestion that substitution between private and public consumption may be an important fcature of the Australian economy (Clements 1979). In this paper, empirical estimates are presented which indicate that no such substitution exists The estimates are derived from a theoretical model of consumption which is based on inter-temporal optimization in a stochastic environment. The estimates also suggest that private sector consumption behaviour is consistent with the joint hypothesis of rational expectations and Ricardian equivalence 相似文献
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Securities trading is accomplished through the execution of orders. Admissible orders (e.g., market orders, limit orders) give rise to discontinuous aggregate demand functions, composed of many “steps.” Demand smoothing, or the balancing of excesses due to such discontinuities via intervention, is one of the most basic functions that could be assigned to a “specialist.” When the specialist's “affirmative obligation” is fully specified, his or her activity can in principle be automated. This paper is an attempt to assess, via simulation, some of the ramifications of using a “programmed specialist,” whose automated market making is limited to demand smoothing. A number of alternative rules of operation are simulated. Several of the rules performed well, especially the extremely simple rule that calls for the (computerized) specialist to minimize new absolute share holdings in each security at each trading point via “total” (as opposed to “local”) demand smoothing. Our results indicate that the underlying costs of demand smoothing are on the order of a fraction of a penny per share traded even in relatively thin markets. 相似文献
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NILS H. HAKANSSON 《The Journal of Finance》1982,37(4):977-1004
This paper analyzes the impact, on both welfare and equilibrium prices, of changes in the financial market in a general equilibrium, two-period context. Previous papers have focussed on the “securities effect,” tending to essentially ignore the equally important “endowment effect” that arises when market structure changes are implemented. Two forms of endowment neutrality and market structure changes which either preserve, expand, or shift allocational feasibility differentiate the main theorems, which are based on arbitrary preferences and beliefs and substantially extend and modify extant results; in particular, earlier statements identified with value conservation are sharply moderated. Very roughly, the paper yields the following implications for some of the more common changes in the market: nonsynergistic corporate spinoffs and the opening of option markets have, on balance, strongly positive welfare effects; nonsynergistic mergers tend to have strong negative welfare effects, while the welfare effects of alternative risky debt structures tend to be ambiguous. All of the preceding, however, may under plausible conditions be redistributive. 相似文献