Do Intermediaries Matter for Aggregate Asset Prices ?

  title={Do Intermediaries Matter for Aggregate Asset Prices ?},
  author={Valentin Haddad and Tyler Muir},
Existing studies find that intermediary balance sheets are strongly correlated with asset returns, but it is still unclear whether or how much fluctuations in intermediaries’ health matter for aggregate asset prices rather than simply being correlated with aggregate risk aversion. In this paper we propose a model that incorporates both the possibility that intermediaries matter for asset prices as well as the possibility of a frictionless world in which their balance sheets are just correlated… CONTINUE READING


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