-
作者：Bhutta, Neil; Hizmo, Aurel; Ringo, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We assess racial discrimination in mortgage approvals using confidential data on mortgage applications. Minority applicants tend to have lower credit scores and higher leverage, and are less likely to receive algorithmic approval from race-blind automated underwriting systems (AUS). Observable applicant-risk factors explain most of the racial disparities in lender denials. Further, exploiting the AUS data, we show there are risk factors we do not observe, and these factors at least partially e...
-
作者：Olsson, Martin; Tag, Joacim
作者单位：Research Institute of Industrial Economics (IFN)
摘要：Privatization of state-owned enterprises is on the agenda across the globe. Using Swedish data covering two decades, we show that productivity gains and headcount reductions are associated with economic costs for incumbent workers. Workers experience income losses and higher unemployment, but half of the losses are covered by the social safety net. We also find small positive effects on entrepreneurship and cash holdings but no meaningful effects on other labor market, family, health, or house...
-
作者：Guenzel, Marius
作者单位：University of Pennsylvania
摘要：Sunk costs are unrecoverable costs that should not affect decision making. I provide evidence that firms systematically fail to ignore sunk costs and that this leads to significant investment distortions. In fixed-exchange-ratio stock mergers, aggregate market fluctuations after parties enter into a binding merger agreement induce plausibly exogenous variation in the final acquisition cost. These quasi-random cost shocks strongly predict firms' commitment to an acquired business following deal...
-
作者：Frame, W. scott; Huang, Ruidi; Jiang, Erica xuewei; Lee, Yeonjoon; Liu, Will shuo; Mayer, Erik J.; Sunderam, Adi
作者单位：Southern Methodist University; University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - Richmond; City University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison; Harvard University; National Bureau of Economic Research
摘要：We study links between the labor market for loan officers and access to mortgage credit. Using novel data matching mortgage applications to loan officers, we find that minorities are underrepresented among loan officers. Minority borrowers are less likely to complete mortgage applications, have completed applications approved, and to ultimately take up a loan. These disparities are reduced when minority borrowers work with minority loan officers. These pairings also lead to lower default rates...
-
作者：Copeland, Adam; Martin, Antoine
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Swiss National Bank (SNB)
摘要：This paper uses new data to provide a comprehensive view of repo activity during the 2007 global financial crisis. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer's market-making activity. In particular, the evidence suggests that...
-
作者：Stein, Jeremy C.; Wallen, Jonathan
作者单位：Harvard University; National Bureau of Economic Research; Harvard University
摘要：We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the policy rate on the Federal Reserve's reverse repurchase (RRP) facility. We develop and test a simple model where the RRP-bill spread is policed both by heterogeneously elastic money funds and by corporate treasurers who derive collateral benefits from holding T-bills. In response to shifts in T-bill supply, money funds act as front-line arbitrageurs. However, when T-bills become extre...
-
作者：Lee, Tomy; Wang, Chaojun
作者单位：University of Pennsylvania
摘要：Over-the-counter (OTC) trading thrives despite competition from exchanges. We let OTC dealers cream skim from exchanges in an otherwise standard Glosten and Milgrom framework. Restricting the dealer's ability to cream skim induces cheap substitution: some traders exit while others with larger gains from trade enter. Cheap substitution implies trading costs, trade volumes, and market shares are poor policy indicators. In a benchmark case, restricting the dealer raises welfare only if trading co...
-
作者：Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
作者单位：Fordham University; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
摘要：Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model...
-
作者：Wang, Olivier
作者单位：New York University
摘要：I study how the secular decline in interest rates affects banks' intermediation spreads and credit supply. Following a permanent decrease in rates, bank lending may rise initially but contracts in the long run. As lower rates compress deposit spreads even well above the zero lower bound, banks' retained earnings, equity, and lending fall until loan spreads have risen enough to offset the reduction in deposit spreads. A higher inflation target can support bank lending at the cost of higher liqu...
-
作者：Ben-rephael, Azi; Carlin, Bruce i.; Da, Zhi; Israelsen, Ryan d.
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rice University; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We analyze minute-by-minute Bloomberg online status and study how the effort provision of executives in public corporations affects firm value. While executives spend most of their time doing other activities, patterns of Bloomberg usage allow us to characterize their work habits as measures of effort provision. We document a positive effect of effort on unexpected earnings and cumulative abnormal returns following earnings announcements, and a reduction in credit default swap spreads. This is...
