排序方式: 共有24条查询结果,搜索用时 15 毫秒
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GUILLAUME VUILLEMEY 《The Journal of Finance》2020,75(4):2021-2053
I study a contracting innovation that suddenly insulated traders of hedging contracts against counterparty risk: central clearing counterparties (CCPs) for derivatives. The first CCP was created in Le Havre (France) in 1882, in the coffee futures market. Using triple difference-in-differences estimation, I show that central clearing changed the geography of trade flows Europe-wide, to the benefit of Le Havre. Inspecting the mechanism using trader-level data, I find that the CCP solved both a “missing market” problem and adverse selection issues. Central clearing also facilitated entry of new traders in the market. The successful contracting innovation quickly spread to other exchanges. 相似文献
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This paper develops a model of active asset management in which fund managers may forgo alpha‐generating strategies, preferring instead to make negative‐alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long‐term contracts that deter this behavior by dynamically adjusting the dates on which the manager is compensated in response to her cumulative performance. 相似文献
3.
Frailty Correlated Default 总被引:5,自引:0,他引:5
DARRELL DUFFIE ANDREAS ECKNER GUILLAUME HOREL LEANDRO SAITA 《The Journal of Finance》2009,64(5):2089-2123
The probability of extreme default losses on portfolios of U.S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and collateralized debt obligation (CDO) default losses are typically measured for economic capital and rating purposes, conventionally based loss estimates are downward biased by a full order of magnitude on test portfolios. Our estimates are based on U.S. public nonfinancial firms between 1979 and 2004. We find strong evidence for the presence of common latent factors, even when controlling for observable factors that provide the most accurate available model of firm-by-firm default probabilities. 相似文献
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JULIEN CHAMPAGNE GUILLAUME POULIN‐BELLISLE RODRIGO SEKKEL 《Journal of Money, Credit and Banking》2018,50(6):1167-1188
We study the revision properties of the Bank of Canada's staff output gap estimates since the mid‐1980s and show that the average revision has been significantly smaller since the early 2000s. Alternatively, revisions from econometric output gap estimates have not experienced a similar improvement. We show that the overestimation of potential output in real time following the 1991–92 recession explains the large revisions in the first half of the sample. Although Phillips‐curve inflation forecasts slightly worsen when conditioned on real time instead of final gaps, their relative poor performance reflects the general lack of inflation predictability rather than real‐time gap measurement issues. 相似文献
5.
Inflation and Welfare: A Search Approach 总被引:1,自引:0,他引:1
This paper uses a search model of monetary exchange to provide new insights for evaluating the welfare costs of inflation. We first show that the search model of money can rationalize the estimates of the welfare cost of inflation based on the "welfare triangle" methodology of Bailey (1956) and Lucas (2000) provided that buyers appropriate the social marginal benefit of their real balances. For other mechanisms, the measure given by the welfare triangle has to be scaled up by a factor that increases with sellers' market power. We introduce capital and endogenous participation decisions and study how the cost of inflation is affected. We provide calibrated examples in which a deviation from the Friedman rule is optimal. 相似文献
6.
GUILLAUME ROCHETEAU 《Journal of Money, Credit and Banking》2011,43(Z2):379-384
I discuss the model of asset liquidity by Lester, Postlewaite, and Wright (2011, this issue, Forthcoming) . I consider a model with bilateral matching and bargaining in which a perfectly divisible asset serves as means of payment. A recognizability problem is introduced by assuming that the asset can be counterfeited at a positive cost. In contrast to Lester, Postlewaite, and Wright , in equilibrium sellers always accept objects that they do not recognize. The private information problem manifests itself by smaller quantities traded in uninformed matches. 相似文献
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GUILLAUME PLANTIN 《The Review of economic studies》2009,76(1):395-412
A number of assets do not trade publicly but are sold to a restricted group of investors who subsequently receive private information from the issuers. Thus, the holders of such privately placed assets learn more quickly about their assets than other agents. This paper studies the pricing implications of this "learning by holding". In an economy in which investors are price takers and risk-neutral, and absent any insider trading or other transaction costs, we show that risky assets command an excess expected return over safe assets in the presence of learning by holding. This is reminiscent of the "credit spread puzzle"—the large spread between BBB-rated and AAA-rated corporate bonds that is not explained by historical defaults, risk aversion, or trading frictions. The intuition is that the seller of a risky bond needs to offer a "coordination premium" that helps potential buyers overcome their fear of future illiquidity. Absent this premium, this fear could become self-justified in the presence of learning by holding because a future lemons problem deters current market participation, and this in turn vindicates the fear of a future lemons problem. 相似文献
9.
On November 14–15, 2008, the Federal Reserve Bank of Cleveland hosted a conference on “Liquidity in frictional asset markets.” In this paper, we review the literature on asset markets with trading frictions in both finance and monetary theory using a simple search‐theoretic model, and we discuss the papers presented at the conference in the context of this literature. We will show the diversity of topics covered in this literature, for example, the dynamics of housing and credit markets, the functioning of payment systems, optimal monetary policy and the cost of inflation, the role of banks, the effect of informational frictions on asset trading. 相似文献
10.
Between 1940 and 2000 there was a substantial increase in educational attainment in the United States. What caused this trend? We develop a model of human capital accumulation that features a nondegenerate distribution of educational attainment in the population. We use this framework to assess the quantitative contribution of technological progress and changes in life expectancy in explaining the evolution of educational attainment. The model implies an increase in average years of schooling of 24%, which is the increase observed in the data. We find that technological variables and in particular skill‐biased technical change represent the most important factors in accounting for the increase in educational attainment. The strong response of schooling to changes in income is informative about the potential role of educational policy and the impact of other trends affecting lifetime income. 相似文献