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  1. Quantitative Tightening with Slow-Moving Capital
    Author: Jiang, Zhengyang; Sun, Jialu
    Published: July 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We document shifts in investor composition during quantitative tightening, which suggest that investors adjust their portfolios at different speeds. To understand its implications for bond valuation, we develop a general equilibrium model which... more

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    We document shifts in investor composition during quantitative tightening, which suggest that investors adjust their portfolios at different speeds. To understand its implications for bond valuation, we develop a general equilibrium model which highlights the dynamic interaction between heterogeneous investors. In the model, long-term investors have higher risk-taking capacity, but face a portfolio adjustment cost; liquidity traders have lower risk-taking capacity, but can trade freely. Our model predicts a novel overshooting pattern: when the central bank unwinds its bond purchase, slow adjustment by long-term investors requires liquidity traders to absorb the imbalance, who demand a higher risk premium that creates excessive bond price decline and volatility in the short run. As a result, quantitative tightening is not simply a symmetric reversal of quantitative easing

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32757
    Subjects: Anlageverhalten; Allgemeines Gleichgewicht; Quantitative Lockerung; Anleihe; CAPM; Transaktionskosten; USA; Monetary Policy, Central Banking, and the Supply of Money and Credit; Asset Pricing; Trading Volume; Bond Interest Rates
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  2. Optimal Dynamic Asset Allocation with Transaction Costs
    The Role of Hedging Demands
    Author: Collin-Dufresne, Pierre; Daniel, Kent; Sağlam, Mehmet
    Published: October 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to the... more

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    A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to the investment opportunity set even when transaction costs are zero (Merton, 1969, 1971). In this paper, we propose a solution to the dynamic portfolio allocation problem for non-myopic agents faced with a stochastic investment opportunity set when trading is costly. We show that the agent's optimal policy is to trade toward an "aim" portfolio, the makeup of which depends both on transaction costs and on each asset's correlation with changes in the investment opportunity set. The speed at which the agent should trade towards the aim portfolio depends both on the shock's persistence and on the extent to which the shock can be effectively hedged. We illustrate the differences in portfolio makeup that result from considering hedging demands of a long-horizon investor using a set of simplified examples, and using a daily trading strategy based on the estimated relation between retail order imbalance and future returns

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w33058
    Subjects: Hedging; Portfolio-Management; Transaktionskosten; Theorie; Portfolio Choice; Investment Decisions; Asset Pricing; Trading Volume; Bond Interest Rates
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  3. NAR Settlement, House Prices, and Consumer Welfare
    Author: Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
    Published: August 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Motivated by the recent National Association of Realtors (NAR) settlement, this note examines the effects of reduced real estate agent commissions on home prices, housing turnover, and consumer welfare. Using a calibrated dynamic structural search... more

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    Motivated by the recent National Association of Realtors (NAR) settlement, this note examines the effects of reduced real estate agent commissions on home prices, housing turnover, and consumer welfare. Using a calibrated dynamic structural search model of the housing market, we explore how lowering agent commissions might influence market equilibrium. Our analysis highlights the importance of accounting for the dynamic nature of the housing market, consumer heterogeneity, and general equilibrium effects when assessing these outcomes. Contrary to the claims of some media commentators and consumer advocates, our findings suggest that reducing agent fees generally leads to higher house prices. This occurs because lower future transaction costs increase the value of housing as a durable asset. While reduced agent fees typically enhance consumer welfare by lowering the cost of homeownership, we find that most of these benefits are likely to accrue to current homeowners rather than prospective buyers. Furthermore, financially constrained households may see diminished benefits due to the expected rise in home prices. Our analysis also offers insights into the redistributive effects of technological innovations in the housing market aimed at reducing transaction costs

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32855
    Subjects: Immobilienmakler; Transaktionskosten; Immobilienpreis; Konsumentenrente; Immobilienmarkt; Suchtheorie; Theorie; USA; Financial Institutions and Services; General
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers
  4. Williamson and Coase
    Transaction Costs or Rent-Seeking in the Formation of Institutions
    Author: Libecap, Gary D.
    Published: June 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    The governance and transaction cost insights of Oliver Williamson (1975, 1985, 1996, 2010) and Ronald Coase (1937, 1992) have framed antitrust polices and firm management strategies. Transaction cost economics explain efficient governance adaptation.... more

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    Universitätsbibliothek Freiburg
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    The governance and transaction cost insights of Oliver Williamson (1975, 1985, 1996, 2010) and Ronald Coase (1937, 1992) have framed antitrust polices and firm management strategies. Transaction cost economics explain efficient governance adaptation. With a focus on private efficiency gains within firms and markets, however, neither Williamson nor Coase explore political exchange and rent-seeking. Coase (1960) sought to reform Pigouvian externality regulation based on transaction cost efficiencies. He called for assignment of property rights and bargaining, and for institutional comparisons of costs and benefits to reveal relative transaction cost and welfare advantages. His 1960 paper is among the most cited in economics, but his remedies have not been adopted as the primary approach in major US environmental policies. All US environmental and natural resource laws since 1970 are Pigouvian. Limited Coasean bargaining occurs late and around the edges of the laws. The efficiency advantages, welfare gains, and collaborative responses Coase suggested have not been achieved. The Magnuson-Stevens Fishery Act of 1976, enacted 16 years after Coase, used Pigouvian fishery regulation for 25 years, and upon failure, was replaced by abbreviated property rights and trade. Fishery economic values were lowered relative to what might have been possible. The Endangered Species Act of 1973 rejected previous Coasean legislation authorizing purchase of critical habitat and instead opted for uncompensated Pigouvian controls on private landowners, who held most endangered species. Landowners resisted, and only 3% of listed endangered species have recovered. There is no evidence of a weighing of comparative transaction costs between Coase or Pigou in enacting any legislation. Rent-seeking via political bargaining among interest groups, politicians, and agency officials explains many of the observed patterns in externality regulation. The analysis suggests that transaction cost economics play a lesser role in the political arena

     
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  5. NAR settlement, house prices, and consumer welfare
    Author: Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
    Published: [2024]
    Publisher:  Stanford Institute for Economic Policy Research (SIEPR), Stanford, CA

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Stanford Institute for Economic Policy Research (SIEPR) ; no. 24, 26 (August, 2024)
    NBER working paper ; no. 32855
    Subjects: Immobilienmakler; Transaktionskosten; Immobilienpreis; Konsumentenrente; Immobilienmarkt; Suchtheorie; Theorie; USA; General; Financial Institutions and Services
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  6. An examination of gravity relationships at the subnational level
    Author: Phillips, Paul
    Published: May 2024
    Publisher:  U.S. International Trade Commission, Washington, DC

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Economics working paper series / U.S. International Trade Commission ; 2024, 05-A
    Subjects: Binnenhandel; Elastizität; Gravitationsmodell; Schätzung; Nutzenfunktion; Transaktionskosten; USA
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
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    Die Zählung sollte lauten: 2024-05-B