-
作者：Kotidis, Antonis; Schreft, Stacey L.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park
摘要：This article quantifies the effects of a multiday cyberattack that forced offline a technology service provider (TSP) to the banking sector. The attack impaired customers' ability to send payments through the TSP, but the business continuity plans of banks and the TSP reduced the effect by more than half. Large banks performed better. Through contagion, banks not directly exposed to the attack experienced a liquidity shortfall, causing them to borrow funds or tap reserves. The ability to send ...
-
作者：Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan
作者单位：Harvard University; National Bureau of Economic Research
摘要：We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are inconsistent with canonical intermediary asset pricing models. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented-certain trades rely on specific funding sources, making their arbitra...
-
作者：Bhutta, Neil; Fuster, Andreas; Hizmo, Aurel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Comparing mortgage rates that borrowers obtain to rates that lenders could offer for the same loan, we find that many homeowners significantly overpay for their mortgage, with overpayment varying across borrower types and with market interest rates. Survey data reveal that borrowers' mortgage knowledge and shopping behavior strongly correlate with the rates they secure. We also document substantial variation in how expensive and profitable lenders are, without any evidence that expensive loans...
-
作者：Ernst, Thomas; Spatt, Chester; Sun, Jian
作者单位：University System of Maryland; University of Maryland College Park; Carnegie Mellon University; Singapore Management University
摘要：We model two methods of executing segregated retail orders: brokers' routing, whereby brokers allocate orders using the market maker's overall performance, and order-by-order auctions, where market makers bid on individual orders, a recent U.S. Securities and Exchange Commission proposal. Order-by-order auctions improve allocative efficiency, but face a winner's curse reducing retail investor welfare, particularly when liquidity is limited. Additional market participants competing for retail o...
-
作者：Mendicino, Caterina; Nikolov, Kalin; Rubio-ramirez, Juan; Suarez, Javier; Supera, Dominik
作者单位：European Central Bank; Centre for Economic Policy Research - UK; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Columbia University
摘要：We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns. This helps to reproduce the frequency and severity of twin defaults: simultaneously high firm and bank defaults. Hence, the optimal bank capital requirement, which trades off a lower frequency of twin d...
-
作者：Breza, Emily; Kanz, Martin; Klapper, Leora
作者单位：Harvard University; The World Bank
摘要：We present results from a field experiment that introduced digital payroll accounts to unbanked factory workers to examine how inexperienced consumers learn to use a new financial technology. We find that exposure to payroll accounts leads to increased account use, accelerated learning, and avoidance of common consumer protection risks. Those receiving electronic wage payments gradually build trust in the technology, learn to use accounts without assistance, and avoid illicit fees. Using exper...
-
作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; Wang, Olivier
作者单位：University of Pennsylvania; National Bureau of Economic Research; New York University
摘要：The deposit franchise is valuable because banks pay below-market deposit rates. However, if depositors leave, its value vanishes. This can trigger runs by uninsured depositors, even if banks hold fully liquid assets. Because the franchise value increases with interest rates, runs are more harmful, and hence likelier, when rates are high. Banks can deter runs by shortening asset duration, but this risks insolvency if rates fall. Avoiding both runs and insolvency requires capital covering the po...
-
作者：Li, Jian; Yu, Haiyue
作者单位：Columbia University
摘要：The link between corporate bond credit spreads and secondary market illiquidity in the cross section has grown stronger since 2005, resulting in a higher liquidity component in credit spreads. Using U.S. investor holdings data, we show that short-term investors (e.g., mutual funds/exchange-traded funds [ETFs]) increase trading activities in the secondary market, amplifying the effect of secondary market frictions on prices. We provide a model featuring heterogeneous investors with different tr...
-
作者：Faccio, Mara; McConnell, John J.
作者单位：Purdue University System; Purdue University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：We use newly assembled data overall encompassing up to 75 countries and starting circa 1910, to study impediments to the Schumpeterian process of creative destruction as it proceeds by competitively destroying old businesses. Political connections appear to represent an obstacle to the destructive part of the Schumpeterian process in the replacement of large firms. When accompanied by regulations that restrict entry, political connections can play a role in allowing large firms to remain large...
-
作者：Banerjee, Snehal; Breon-drish, Bradyn; Smith, Kevin
作者单位：University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
摘要：We model the feedback effect of a firm's stock price on investment in projects exposed to a systematic risk factor, like climate risk. The stock price reflects information about both the project's cash flows and its discount rate. A cash-flow-maximizing manager treats discount rate fluctuations as noise, but a price-maximizing manager interprets such variation as information about the project's net present value. This difference qualitatively changes how investment behavior varies with the pro...
