Essays On Bank Optimal Portfolio Choice Under Liquidity Constraint PDF Download
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Author | : Eul Jin Kim |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Essays on Bank Optimal Portfolio Choice Under Liquidity Constraint Book in PDF, ePub and Kindle
Long term asset creates more revenue, however it is riskier in a liquidity sense. Our question is: How does a liquidity constrained bank make decisions between profitability and liquidity? We present a computable DSGE model of banks optimal portfolio choices under liquidity constraints. Our theory predicts that liquidation plays an important role in a bank's portfolio model. Even though liquidation is an off-equilibrium phenomenon, banks can have rich loan portfolios due to the possibility of liquidation. Liquidity condition is a key factor in banks portfolio. In a moderate liquidity situation, a bank can lend more profitable longer term loans, however, if a shock in liquidity is expected, then the bank lends more loans in short term. According to the liquidity conditions, the bank can have medium term loans which are different from other previous literature. In addition, we extend our model to the bank's securities business where the bank's debts are largely short term deposit. Our theory predicts that the bank securities business produces a chasm between a real liquidity of economy and market liquidity. Banks can have more liquidity by selling their securitized loans, and as our model already pointed out, a good liquidity condition makes the bank have more profitable but less liquid long term loans. As a consequence, long term loans are accumulated with this securitization, simply because a long term loan gives higher revenue. Any market turbulence can invoke a problem in economy wide liquidity.
Author | : Francisco João Ferreira Gomes |
Publisher | : |
Total Pages | : 558 |
Release | : 2000 |
Genre | : Investments |
ISBN | : |
Download Essays on Optimal Portfolio Choice Book in PDF, ePub and Kindle
Author | : Rainer Schüssler |
Publisher | : |
Total Pages | : 318 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Essays on Model Combination and Optimal Portfolio Choice Book in PDF, ePub and Kindle
Author | : Alexander Michaelides |
Publisher | : |
Total Pages | : 41 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Portfolio Choice and Liquidity Constraints Book in PDF, ePub and Kindle
In this paper, we study the infinite-horizon model of household portfolio choice under liquidity constraints and revisit the portfolio specialization puzzle for impatient consumers with access to riskless and risky assets. We consider a labor income process that allows us to decompose the consumption and portfolio effects of permanent and transitory shocks to labor income and show their interaction with liquidity constraints and their relative importance in producing precautionary effects and the portfolio specialization result. We show why habit persistence and risk aversion cannot resolve the puzzle and argue that positive correlation between earnings shocks and stock returns is unlikely to provide a plausible resolution. We then offer an alternative explanation for observed stock holding patterns and the slow emergence of an equity culture. Specifically, we find that relatively small, fixed, stock market entry costs are sufficient to deter households from participating in the stock market. Such entry costs could arise, for example, from informational considerations, sign-up fees, and investor inertia.
Author | : C. Rangarajan |
Publisher | : |
Total Pages | : 346 |
Release | : 2004 |
Genre | : Fiscal policy |
ISBN | : |
Download Select Essays on Indian Economy Book in PDF, ePub and Kindle
Articles on post independent Indian economic policy.
Author | : Mr.Jaromir Benes |
Publisher | : International Monetary Fund |
Total Pages | : 71 |
Release | : 2012-08-01 |
Genre | : Business & Economics |
ISBN | : 1475505523 |
Download The Chicago Plan Revisited Book in PDF, ePub and Kindle
At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy.
Author | : Martin Schneider (Professor of economics) |
Publisher | : |
Total Pages | : 334 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Essays on Banking, Asset Pricing, and Learning Book in PDF, ePub and Kindle
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards Book in PDF, ePub and Kindle
Author | : John Y. Campbell |
Publisher | : OUP Oxford |
Total Pages | : 272 |
Release | : 2002-01-03 |
Genre | : Business & Economics |
ISBN | : 019160691X |
Download Strategic Asset Allocation Book in PDF, ePub and Kindle
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author | : |
Publisher | : |
Total Pages | : 352 |
Release | : 1976 |
Genre | : Banks and banking |
ISBN | : |
Download Journal of Bank Research Book in PDF, ePub and Kindle