| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25573 |
| 来源ID | Working Paper 25573 |
| Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets | |
| Hui Chen; Scott Joslin; Sophie X. Ni | |
| 发表日期 | 2019-02-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading during such periods. A tightening of intermediary constraint according to our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding liquidity, and broker-dealer deleveraging. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w25573 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583247 |
| 推荐引用方式 GB/T 7714 | Hui Chen,Scott Joslin,Sophie X. Ni. Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25573.pdf（461KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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