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Keywords:Asset-liability management 

Asset market hangovers and economic growth

During the early 1990s, asset prices and investment were unusually weak throughout the industrial world. This paper highlights this stylized fact, and connects it with another: in most of the industrial world, asset markets boomed for several years before collapsing around 1989. The paper suggests that the sluggish asset markets and investment growth of the early 1990s may represent, in part, symptoms of an "asset market hangover," that is, the lingering effects on real activity of collapsing speculative bubbles. The analysis relies on cross-country data for equity and real estate markets ...
Research Paper , Paper 9704

Duality and arbitrage with transactions costs: theory and applications

Recent advances in duality theory have made it easier to discover relationships between asset prices and the portfolio choices based on them. But this approach to arbitrage-free securities markets has yet to be extended and applied to economies with transactions costs. This paper does so, within the context of a general state-preference model of securities markets. Several applications are developed to illustrate the nature of the theory and its potential to resolve a host of issues surrounding the effects of transactions costs on securities markets.
Staff Report , Paper 128

Conference Paper
The relationship between returns to risky lending and Gap management

Proceedings , Paper 174

Working Paper
Interpreting the volatility smile: an examination of the information content of option prices

This paper evaluates how useful the information contained in options prices is for predicting future price movements of the underlying assets. We develop an improved semiparametric methodology for estimating risk-neutral probability density functions (PDFs), which allows for skewness and intertemporal variation in higher moments. We use this technique to estimate a daily time series of risk-neutral PDFs spanning the late 1980's through 1999, for S&P 500 futures, U.S. dollar/Japanese yen futures and U.S. dollar/deutsche mark futures, using options on these futures. For the foreign exchange ...
International Finance Discussion Papers , Paper 706

Working Paper
Macroeconomic state variables as determinants of asset price covariances

This paper explores the possible advantages of introducing observable state variables into risk management models as a strategy for modeling the evolution of second moments. A simulation exercise demonstrates that if asset returns depend upon a set of underlying state variables that are autoregressively conditionally heteroskedastic (ARCH), then a risk management model that fails to take account of this dependence can badly mismeasure a portfolio's "Value-at-Risk" (VaR), even if the model allows for conditional heteroskedasticity in asset returns. Variables measuring macroeconomic news ...
International Finance Discussion Papers , Paper 553

Journal Article
Liability management, bank loans and deposit \\"market\\" disequilibrium

Economic Review , Issue Sum , Pages 21-44

Journal Article
Gap management: managing interest rate risk in banks and thrifts

Economic Review , Issue Spr , Pages 20-35

Journal Article
A perspective on liability management and bank risk

Economic Review , Issue Win , Pages 12-25

Journal Article
Recourse risk in asset sales

Economic Review , Issue Sep , Pages 1-13

The economic outlook and the Fed's balance sheet: the issue of \\"how\\" versus \\"when\\"

Remarks at the Association for a Better New York Breakfast Meeting, Grand Hyatt, New York.
Speech , Paper 3


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