Liquidity, Term Spreads and Monetary Policy

Aksoy, Yunus; Basso, Henrique S.

doi:10.2139/ssrn.2089334

Cited by 55 publications

(2 citation statements)

References 104 publications

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“…In order to account for that we include a measure of consumer expectation about future economic conditions: E5Y index is derived from a five years forward looking question on confidence from the Michigan Index of Consumer Expectations (see Barsky and Sims (2011) and Aksoy and Basso (2014) for different applications of the relation between E5Y and future economic activity).…”

Section: Estimation Results -Augmented Modelmentioning

confidence: 99%

“…Our added contribution is that, by looking closely at the portfolio choice of financial intermediaries and incorporating one of the key aspects in their decision, namely, the ability to create and sell synthetic assets, we are able to identify the potential channels and structural parameters that link financial intermediation and asset prices. Finally, Aksoy and Basso (2014) also explore the effects of bank's portfolio choice but focus on maturity transformation and the gap between long and short-term interest rates in a general equilibrium setting, linking financial intermediation with fluctuations in term premia.…”

Section: Related Literaturementioning

confidence: 99%

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Securitization and Asset Prices.

Aksoy

Basso

2015

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Securitization and Asset Prices AbstractDuring the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more heavily in the asset-backed security (ABS) market and hold a diversified portfolio of assets, have also become more relevant. As a result, the volume of securitization, although traditionally associated with credit markets, influences the outcomes of other asset markets. We investigate the link between securitization and asset prices and show that increases in the growth rate of the volume of ABS issuance lead to a decline in both the bond and equity premia. We then build a model of bank portfolio choice where the creation of synthetic securities may occur. The pooling and tranching of credit assets relaxes both the funding and the risk constraints financial entities face allowing them to increase balance sheet holdings. This increase in asset demand depresses the compensation for undertaking risk in the economy, confirming our empirical results. Crucially, we show that declines in the compensation for risk taking in equity and bonds due to securitization may not be related to a decline in actual risk.JEL-Code: E440, G120, G200.

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Section: Estimation Results -Augmented Modelmentioning

confidence: 99%

Section: Related Literaturementioning

confidence: 99%

Securitization and Asset Prices.

Aksoy

Basso

2015

SSRN Journal

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Liquidity, Term Spreads and Monetary Policy

Aksoy

Basso

2014

Econ J

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Testing Weak Exogeneity in Cointegrated Panels

Moral‐Benito

Servén

2014

Policy Research Working Papers

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For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting T → ∞ and then letting N → ∞. We evaluate the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, we test weak exogeneity of disposable income and wealth in aggregate consumption. JEL Codes: C23, C32.

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Liquidity, Term Spreads and Monetary Policy

Cited by 55 publications

References 104 publications

Securitization and Asset Prices.

Securitization and Asset Prices.

Liquidity, Term Spreads and Monetary Policy

Testing Weak Exogeneity in Cointegrated Panels

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