Journal Article
Economic theory and asset bubbles
Barlevy, Gadi (2007-07)
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
Swaps
Hutchison, Michael M. (1985)
FRBSF Economic Letter

Journal Article
On asset-liability matching and federal deposit and pension insurance
Bodie, Zvi (2006-07)
Asset-liability mismatch was a principal cause of the Savings and Loan Crisis of the 1980s. The federal government's failure to recognize the mismatch risk early on and manage it properly led to huge losses by the Federal Savings and Loan Insurance Corporation, which had to be covered by taxpayers. In dealing with the problems now facing the defined-benefit pension system and the Pension Benefit Guaranty Corporation (PBGC), the government seems to be making some of the same mistakes it made then. Among the causes is the fallacious belief that because pension funds have a long time horizon the ...
Review , Volume 88 , Issue Jul , Pages 323-330

Working Paper
Macroeconomic state variables as determinants of asset price covariances
Ammer, John (1996)
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 are ...
International Finance Discussion Papers , Paper 553

Working Paper
Interpreting the volatility smile: an examination of the information content of option prices
Weinberg, Steven A. (2001)
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

Journal Article
Recourse risk in asset sales
Wall, Larry D. (1991-09)
Economic Review , Issue Sep , Pages 1-13

Report
Asset market hangovers and economic growth
Osler, Carol L.; Higgins, Matthew (1997)
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
Gap management: managing interest rate risk in banks and thrifts
Toevs, Alden L. (1983-04)
Economic Review , Issue Spr , Pages 20-35

Journal Article
Asset mispricing, arbitrage, and volatility
Schmid, Frank A.; Emmons, William R. (2002-11)
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

Working Paper
Performance and asset management effects of bank acquisitions
Santos, João A. C.; Craig, Ben R. (1996)
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