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Do Intermediaries Matter for Aggregate Asset Prices? / Valentin Haddad, Tyler Muir.
- Format:
- Book
- Author/Creator:
- Haddad, Valentin.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28692.
- NBER working paper series no. w28692
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- Poor financial health of intermediaries coincides with low asset prices and high risk premiums. Is this because intermediaries matter for asset prices, or simply because their health correlates with economy-wide risk aversion? In the first case, return predictability should be more pronounced for asset classes in which households are less active. We provide evidence supporting this prediction, suggesting that a quantitatively sizable fraction of risk premium variation in several large asset classes such as credit or MBS is due to intermediaries. Movements in economy-wide risk aversion create the opposite pattern, and we find this channel also matters.
- Notes:
- Print version record
- April 2021.
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