Risk-taking channels and capital inflows into the US treasuries
Economics Letters, 2015, vol. 136, issue C, 133-136
This letter explores dynamic interactions among capital inflows, asset prices, and leverage. A VAR model provides evidence that expansionary shocks to capital inflows into the US Treasuries lead to higher leverage by inducing appreciation in relative asset prices.
Keywords: International capital inflows; Treasury bond; Risk-taking channel; Procyclical leverage (search for similar items in EconPapers)
JEL-codes: E43 E44 F21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:136:y:2015:i:c:p:133-136
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