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Keywords:Asset-liability management 

Journal Article
Economic theory and asset bubbles

The author summarizes what economic theory tells us about when asset price bubbles can occur and what the welfare implications are from bursting them. In some cases, bursting a bubble may make society worse off by exacerbating the market distortions that give rise to the bubble in the first place.
Economic Perspectives , Volume 31 , Issue Q III , Pages 44-59

Journal Article
Asset mispricing, arbitrage, and volatility

Market efficiency remains a contentious topic among financial economists. The theoretical case for efficient markets rests on the notion of risk-free, cost-free arbitrage. In real markets, however, arbitrage is not risk-free or cost-free. In addition, the number of informed arbitrageurs and the supply of financial resources they have to invest in arbitrage strategies is limited. This article builds on an important recent model of arbitrage by professional traders who need?but lack?wealth of their own to trade. Professional abitrageurs must convince wealthy but uninformed investors to entrust ...
Review , Volume 84 , Issue Nov

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

Journal Article
A perspective on liability management and bank risk

Economic Review , Issue Win , Pages 12-25

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

Journal Article

FRBSF Economic Letter

Journal Article
Recourse risk in asset sales

Economic Review , Issue Sep , Pages 1-13

Working Paper
Inducing agents to report hidden trades: a theory of an intermediary

When contracts are unobserved, agents may have the incentive to promise the same asset to multiple counterparties and subsequently default. The author constructs an optimal mechanism that induces agents to reveal all their trades voluntarily. The mechanism allows agents to report every contract they enter, and it makes public the names of agents who have reached some prespecified position limit. In some cases, an agent's position limit must be higher than the number of contracts he enters in equilibrium. The mechanism has some features of a clearinghouse. ; Supersedes Working Paper 09-10
Working Papers , Paper 10-28

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

Working Paper
Performance and asset management effects of bank acquisitions

An analysis of how bank acquisitions affect the performance and asset management of the acquired bank, its acquirer, and the newly formed banking organization, showing that after the acquisition, the acquired bank is transformed along a wide variety of dimensions such that it becomes a replica of the acquirer.
Working Papers (Old Series) , Paper 9619


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