Strategic Behavior in Capital Markets and Asset Prices

2010 ◽  
Author(s):  
Iulian Obreja
Keyword(s):  
Capital Markets ◽  
Asset Prices ◽  
Strategic Behavior

Strategic Behavior in Capital Markets and Asset Prices

2011 ◽  
Author(s):  
Iulian Obreja
Keyword(s):  
Capital Markets ◽  
Asset Prices ◽  
Strategic Behavior

scholarly journals Optimal Regulation of Financial Intermediaries

2019 ◽  
Vol 109 (1) ◽  
pp. 271-313 ◽  
Author(s):  
Sebastian Di Tella
Keyword(s):  
Capital Markets ◽  
Asset Prices ◽  
Financial Regulation ◽  
Optimal Allocation ◽  
Financial Intermediaries ◽  
Sufficient Statistic ◽  
Market Data ◽  
Optimal Regulation ◽  
Capital Assets ◽  
Regulation Policy

I characterize the optimal financial regulation policy in an economy where financial intermediaries trade capital assets on behalf of households, but must retain an equity stake to align incentives. Financial regulation is necessary because intermediaries cannot be excluded from privately trading in capital markets. They don’t internalize that high asset prices force everyone to bear more risk. The socially optimal allocation can be implemented with a tax on asset holdings. I derive a sufficient statistic for the externality and use market data on leverage and volatility of intermediaries’ equity to measure it. (JEL D82, G01, G12, G20, G31, H25)

Short-Term Funding Stresses and Asset Prices: Lessons from U.S. History

FEDS Notes ◽  
2020 ◽  
Vol 2020 (2790) ◽  
Author(s):  
Colin Weiss ◽  
Keyword(s):  
Capital Markets ◽  
Federal Reserve ◽  
Asset Prices ◽  
Asset Price ◽  
Bond Markets ◽  
Short Term ◽  
Money Markets ◽  
Price Fluctuations ◽  
History Of

Recent stress episodes in U.S. short-term dollar funding markets have brought renewed attention to the functioning of these markets and how they interact with capital markets more generally. The history of U.S. money markets and stock and bond markets before the founding of the Federal Reserve offer a unique perspective on how the structure of money markets can contribute to broader asset price fluctuations.

scholarly journals Money and Asset Liquidity in Frictional Capital Markets

2016 ◽  
Vol 106 (5) ◽  
pp. 496-502 ◽  
Author(s):  
Wei Cui ◽  
Sören Radde
Keyword(s):  
General Equilibrium ◽  
Capital Markets ◽  
Equilibrium Model ◽  
Asset Prices ◽  
Financing Constraints ◽  
Search Frictions ◽  
Liquidity Premium ◽  
Fiat Money ◽  
Dynamic General Equilibrium Model ◽  
Asset Liquidity

We endogenize asset liquidity and financing constraints in a dynamic general equilibrium model with search frictions on capital markets. Assets traded on frictional capital markets are only partially saleable. Liquid assets, such as fiat money, instead, are not subject to search frictions and can be used to insure idiosyncratic investment risks. Partially saleable assets thus carry a liquidity premium over fully liquid assets. We show that, in equilibrium, low asset saleability is typically associated with lower asset prices, tighter financing constraints, thus stronger demand for public liquidity. Lower asset liquidity feeds into real allocations, constraining real investment, consumption, and production.

scholarly journals History as Reflected in Capital Markets: The Case of World War II

2000 ◽  
Vol 60 (2) ◽  
pp. 468-496 ◽  
Author(s):  
Bruno S. Frey ◽  
Marcel Kucher
Keyword(s):  
World War Ii ◽  
Capital Markets ◽  
Asset Prices ◽  
Government Bond ◽  
World War ◽  
Historical Events ◽  
Bond Prices ◽  
National Sovereignty

Historical events are reflected in asset prices. We analyze movements in the price of bonds issued by five European governments and traded on the Swiss bourse between 1928 and 1948, with special attention to the war years. Some war events that are generally considered crucial are clearly reflected in government bond prices. This holds, in particular, for the official outbreak of the war and changes in national sovereignty. But other events to which historians attach great importance arenotreflected in bond prices, most prominently Germany's capitulation in 1945.

Money, Credit and Asset Prices

1994 ◽  
Author(s):  
Gordon Pepper
Keyword(s):  
Asset Prices

Two essays on investor overconfidence and asset prices

2012 ◽  
Author(s):  
Biljana Nikolic
Keyword(s):  
Asset Prices

Forming Sources of Long-run Growth: How to Understand Them?

2014 ◽  
pp. 4-20 ◽  
Author(s):  
G. Idrisov ◽  
S. Sinelnikov-Murylev
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Economic Policy ◽  
Business Cycle ◽  
Capital Markets ◽  
Productivity Growth ◽  
Government Spending ◽  
Long Run ◽  
Accelerate Growth ◽  
Budget Institutions

The paper analyzes the inconsequence and problems of Russian economic policy to accelerate economic growth. The authors consider three components of growth rate (potential, Russian business cycle and world business cycle components) and conclude that in order to pursue an effective economic policy to accelerate growth, it has to be addressed to the potential (long-run) growth component. The main ingredients of this policy are government spending restructuring and budget institutions reform, labor and capital markets reforms, productivity growth.

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