Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
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https://www.nber.org/papers/w25573
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We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading
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美国国家经济研究局创建时间：
2019-02-01
