Ricerca
Risultati della ricerca

Creator: Alvarez, Fernando, 1964 and Atkeson, Andrew Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 577 Abstract: We develop a new general equilibrium model of asset pricing and asset trading volume in which agents’ motivations to trade arise due to uninsurable idiosyncratic shocks to agents’ risk tolerance. In response to these shocks, agents trade to rebalance their portfolios between risky and riskless assets. We study a positive question — When does trade volume become a pricing factor? — and a normative question — What is the impact of Tobin taxes on asset trading on welfare? In our model, economies in which marketwide risk tolerance is negatively correlated with trade volume have a higher risk premium for aggregate risk. Likewise, for a given economy, we ﬁnd that assets whose cash ﬂows are concentrated on states with high trading volume have higher prices and lower risk premia. We then show that Tobin taxes on asset trade have a ﬁrstorder negative impact on exante welfare, i.e., a small subsidy to trade leads to an improvement in exante welfare. Finally, we develop an alternative version of our model in which asset trade arises from uninsurable idiosyncratic shocks to agents’ hedging needs rather than shocks to their risk tolerance. We show that our positive results regarding the relationship between trade volume and asset prices carry through. In contrast, the normative implications of this speciﬁcation of our model for Tobin taxes or subsidies depend on the speciﬁcation of agents’ preferences and nontraded endowments.
Parola chiave: Asset pricing, Tobin taxes, Liquidity, and Trade volume Soggetto: G12  Asset Pricing; Trading Volume; Bond Interest Rates 
Creator: Aiyagari, S. Rao Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 518 Abstract: This paper is about a useful way of taking account of frictions in asset pricing and macroeconomics. I start by noting that complete frictionless markets models have a number of empirical deficiencies. Then I suggest an alternative class of models with incomplete markets and heterogenous agents which can also accommodate a variety of other frictions. These models are quantitatively attractive and computationally feasible and have the potential to overcome many or all of the empirical deficiencies of complete frictionless markets models. The incomplete markets model can also differ significantly from the complete frictionless markets model on some important policy questions.
Parola chiave: Macroeconomics, Incomplete markets, Frictionless market model, Asset pricing, and Friction Soggetto: G12  Asset Pricing; Trading Volume; Bond Interest Rates and E13  General Aggregative Models: Neoclassical 
Creator: Koijen, Ralph S. J. and Yogo, Motohiro Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 510 Abstract: We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio choice model implies characteristicsbased demand when returns have a factor structure and expected returns and factor loadings depend on the assets' own characteristics. We propose an instrumental variables estimator for the characteristicsbased demand system to address the endogeneity of demand and asset prices. Using U.S. stock market data, we illustrate how the model could be used to understand the role of institutions in asset market movements, volatility, and predictability.
Parola chiave: Institutional investors, Liquidity, Asset pricing model, Portfolio choice, and Demand system Soggetto: G23  Pension Funds; Nonbank Financial Institutions; Financial Instruments; Institutional Investors and G12  Asset Pricing; Trading Volume; Bond Interest Rates 
Creator: Hur, Sewon, Kondo, Illenin O., and Perri, Fabrizio Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 574 Abstract: This paper argues that the comovement between inflation and economic activity is an important determinant of real interest rates over time and across countries. First, we show that for advanced economies, periods with more procyclical inflation are associated with lower real rates, but only when there is no risk of default on government debt. Second, we present a model of nominal sovereign debt with domestic riskaverse lenders. With procyclical inflation, nominal bonds pay out more in bad times, making them a good hedge against aggregate risk. In the absence of default risk, procyclical inflation yields lower real rates. However, procyclicality implies that the government needs to make larger (real) payments when the economy deteriorates, which could increase default risk and trigger an increase in real rates. The patterns of real rates predicted by the model are quantitatively consistent with those documented in the data.
Parola chiave: Sovereign default, Inflation risk, Nominal bonds, and Government debt Soggetto: F34  International Lending and Debt Problems, E31  Price Level; Inflation; Deflation, G12  Asset Pricing; Trading Volume; Bond Interest Rates, and H63  National Debt; Debt Management; Sovereign Debt 
Creator: Alvarez, Fernando, 1964 and Jermann, Urban J. Series: Endogenous incompleteness Abstract: We study the asset pricing implications of a multiagent endowment economy where agents can default on debt. We build on the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993). We present an equilibrium concept for an economy with complete markets and with endogenous solvency constraints. These solvency constraints prevent default, but at the cost of reduced risk sharing. We show that versions of the classical welfare theorems hold for this equilibrium definition. We characterize the pricing kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia depend on the covariance of the idiosyncratic and aggregate shocks.
Parola chiave: Equilibrium, Default, Solvency constraints, Risk, Shocks, and Assets Soggetto: G12  General financial markets  Asset pricing ; Trading volume ; Bond interest rates and D50  General equilibrium and disequilibrium  General 
Creator: Alvarez, Fernando, 1964, Atkeson, Andrew, and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 627 Abstract: Timevarying risk is the primary force driving nominal interest rate differentials on currencydenominated bonds. This finding is an immediate implication of the fact that exchange rates are roughly random walks. We show that a general equilibrium monetary model with an endogenous source of risk variation—a variable degree of asset market segmentation—can produce key features of actual interest rates and exchange rates. The endogenous segmentation arises from a fixed cost for agents to exchange money for assets. As inflation varies, the benefit of asset market participation varies, and that changes the fraction of agents participating. These effects lead the risk premium to vary systematically with the level of inflation. Our model produces variation in the risk premium even though the fundamental shocks have constant conditional variances.
Parola chiave: Forward premium anomaly, Pricing kernel, Asset pricingpuzzle, Timevarying conditional variances, Segmented markets, and Fama puzzle Soggetto: E43  Interest Rates: Determination, Term Structure, and Effects, F30  International Finance: General, G15  International Financial Markets, G12  Asset Pricing; Trading Volume; Bond Interest Rates, F31  Foreign Exchange, and F41  Open Economy Macroeconomics 
Creator: Alvarez, Fernando, 1964, Atkeson, Andrew, and Kehoe, Patrick J. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 371 Abstract: Under mild assumptions, the data indicate that fluctuations in nominal interest rate differentials across currencies are primarily fluctuations in timevarying risk. This finding is an immediate implication of the fact that exchange rates are roughly random walks. If most fluctuations in interest differentials are thought to be driven by monetary policy, then the data call for a theory which explains how changes in monetary policy change risk. Here we propose such a theory based on a general equilibrium monetary model with an endogenous source of risk variation—a variable degree of asset market segmentation.
Parola chiave: Pricing Kernel, Segmented Markets, Asset PricingPuzzle, TimeVarying Conditional Variances, Fama Puzzle, and Forward Premium Anomaly Soggetto: F30  International Finance: General, F31  Foreign Exchange, E43  Interest Rates: Determination, Term Structure, and Effects, G12  Asset Pricing; Trading Volume; Bond Interest Rates, G15  International Financial Markets, and F41  Open Economy Macroeconomics 
Creator: Lagos, Ricardo and Rocheteau, Guillaume Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 375 Abstract: We investigate how trading frictions in asset markets affect portfolio choices, asset prices and efficiency. We generalize the searchtheoretic model of financial intermediation of Duffie, Gârleanu and Pedersen (2005) to allow for more general preferences and idiosyncratic shock structure, unrestricted portfolio choices, aggregate uncertainty and entry of dealers. With a fixed measure of dealers, we show that a steadystate equilibrium exists and is unique, and provide a condition on preferences under which a reduction in trading frictions leads to an increase in the price of the asset. We also analyze the effects of trading frictions on bidask spreads, trade volume and the volatility of asset prices, and find that the asset allocation is constrainedinefficient unless investors have all the bargaining power in bilateral negotiations with dealers. We show that the dealers’ entry decision introduces a feedback that can give rise to multiple equilibria, and that freeentry equilibria are generically inefficient.
Parola chiave: Asset prices, Execution delay, Liquidity, Trade volume, Bidask spread, and Search Soggetto: G11  Portfolio Choice; Investment Decisions, G21  Banks; Depository Institutions; Micro Finance Institutions; Mortgages, and G12  Asset Pricing; Trading Volume; Bond Interest Rates 
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 121 Parola chiave: Interest, Nontransferable bonds, and Money Soggetto: H62  National Deficit; Surplus and G12  Asset Pricing; Trading Volume; Bond Interest Rates 
Creator: McGrattan, Ellen R. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 610 Abstract: U.S. stock prices have increased much faster than gross domestic product GDP) in the postwar period. Between 1962 and 2000, corporate equity value relative to GDP nearly doubled. In this paper, we determine what standard growth theory says the equity value should be in 1962 and 2000, the two years for which our steadystate assumption is a reasonable one. We find that the actual valuations were close to the theoretical predictions in both years. The reason for the large runup in equity value relative to GDP is that the average tax rate on dividends fell dramatically between 1962 and 2000. We also find that, given legal constraints that effectively prohibited the holding of stocks as reserves for pension plans, there is no equity premium puzzle in the postwar period. The average returns on debt and equity are as theory predicts.
Soggetto: E13  General Aggregative Models: Neoclassical, G12  Asset Pricing; Trading Volume; Bond Interest Rates, and H30  Fiscal Policies and Behavior of Economic Agents: General