The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
A Model of Capital and Crises
Abstract
We develop a model in which the capital of the intermediary sector plays a critical role in determining asset prices. The model is cast within a dynamic general equilibrium economy, and the role for intermediation is derived endogenously based on optimal contracting considerations. Low intermediary capital reduces the risk-bearing capacity of the marginal investor. We show how this force helps to explain patterns during financial crises. The model replicates the observed rise during crises in Sharpe ratios, conditional volatility, correlation in price movements of assets held by the intermediary sector, and fall in riskless interest rates.
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Cites
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
Cited by
He, Z., & Krishnamurthy, A. (2013) · American Economic Review · doi:10.1257/aer.103.2.732 · Cited by 1,368
Self-citationIntermediary asset pricing: New evidence from many asset classes
He, Z., Kelly, B., & Manela, A. (2017) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.08.002 · Cited by 784
Self-citationAdrian, T., Boyarchenko, N., & Giannone, D. (2019) · American Economic Review · doi:10.1257/aer.20161923 · Cited by 696
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
Ludvigson, S., Ma, S., & Ng, S. (2015) · National Bureau of Economic Research · doi:10.3386/w21803 · Cited by 434
Asset Prices and Institutional Investors
Basak, S., & Pavlova, A. (2013) · American Economic Review · doi:10.1257/aer.103.5.1728 · Cited by 359
Metadata
- Authors
- He, Z., & Krishnamurthy, A.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2011-09-28
- Volume
- 79
- Issue
- 2
- Pages
- 735-777
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W3125813470
- Cited by
- 491
- References
- 3
- FWCI
- 65.21
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
