| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8000 |
| DP8000 Two Monetary Tools: Interest Rates and Haircuts | |
| Lasse Heje Pedersen; Adam Ashcraft; Nicolae Bogdan Garleanu | |
| 发表日期 | 2010-09-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the shadow cost of capital for constrained agents. The required return can be lowered by easing funding constraints through lowering haircuts. To assess empirically the power of the haircut tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering unpredictable rejections of bonds from TALF, we estimate that haircuts had a significant effect on prices. Further, unique survey evidence suggests that lowering haircuts could reduce required returns by more than 3% and provides broader evidence on the demand sensitivity to haircuts. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset pricing Financial frictions Haircuts Liquidity Macroeconomics Margin requirements monetary policy |
| URL | https://cepr.org/publications/dp8000 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536837 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen,Adam Ashcraft,Nicolae Bogdan Garleanu. DP8000 Two Monetary Tools: Interest Rates and Haircuts. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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