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Replication data for: Intermediary Asset Pricing

Version
1
Resource Type
Dataset
Creator
  • He, Zhiguo
  • Krishnamurthy, Arvind
Publication Date
2013-04-01
Description
  • Abstract

    We model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the constraint binds, reflecting the capital scarcity. The calibrated model matches the nonlinearity of risk premia during crises and the speed of reversion in risk premia from a crisis back to precrisis levels. We evaluate the effect of three government policies: reducing intermediaries borrowing costs, injecting equity capital, and purchasing distressed assets. Injecting equity capital is particularly effective because it alleviates the equity capital constraint that drives the model's crisis. (JEL E44, G12, G21, G23, G24)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.103.2.732 (Text)
Publications
  • He, Zhiguo, and Arvind Krishnamurthy. “Intermediary Asset Pricing.” American Economic Review 103, no. 2 (April 2013): 732–70. https://doi.org/10.1257/aer.103.2.732.
    • ID: 10.1257/aer.103.2.732 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

He, Zhiguo; Krishnamurthy, Arvind (2013): Replication data for: Intermediary Asset Pricing. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112602V1