CASH‐FLOW TRANCHING AND THE MACROECONOMY
研究了现金流分层活动成本与收益变化对宏观经济的影响，发现降低分层成本和外国对安全资产需求增加都能促进GDP增长，但前者推高收益率，后者降低收益率并增加现金流分层租金，后者更符合美国近期数据。
Abstract The volume of cash‐flow transformation activities has grown markedly over the past few decades. We develop a dynamic model that characterizes the effects of changes in the costs and benefits of security creation. Lower tranching costs and increases in foreign appetite for safe assets can both increase costly security creation with positive effects on GDP and have diverse macroeconomic implications. Whereas the former counterfactually increases yields, the latter lowers them and also raises rents associated with cash‐flow transformation. These two features, as well as other subsidiary implications of increased foreign demand, are consistent with recent U.S. data.