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作者：Manso, Gustavo; Rivera, Alejandro; Wang, Hui (Grace); Xia, Han
作者单位：University of California System; University of California Berkeley; University of Texas System; University of Texas Dallas; Bentley University
摘要：Unlike labor income, human capital is inseparable from individuals and does not completely accrue to creditors. Therefore, human capital investment is more resilient to debt overhang than labor supply. We develop a dynamic model displaying this difference. We find that while both labor supply and human capital investment are hump-shaped in household indebtedness, human capital investment declines less aggressively as indebtedness builds up. Importantly, because human capital is only valuable w...
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作者：Bok, Brandyn; Mertens, Thomas M.; Williams, John C.
作者单位：University of California System; University of California Los Angeles; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the cent...
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作者：Yogo, Motohiro; Whitten, Andrew; Cox, Natalie
作者单位：Princeton University; National Bureau of Economic Research; United States Department of the Treasury
摘要：We study retirement and bank account participation for the universe of U.S. households with a member aged 50 to 59 in the administrative tax data. ZCTA-level average income, income inequality, and racial composition predict retirement account participation for low-income households, conditional on household income and regional price parities. Income inequality also predicts bank account participation for low-income households. We estimate the causal effect of access to an employer retirement p...
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作者：Pflueger, Carolin
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：This paper shows that supply shock uncertainty interacts with the monetary policy rule to drive bond risks in a New Keynesian asset pricing model. In my model, positive nominal bond-stock betas emerge as the result of volatile supply shocks but only if the monetary policy rule features a high inflation weight. Habit formation preferences generate endogenously time-varying risk premia, explaining the volatility and predictability of bond and stock excess returns in the data, and implying that b...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：Bocconi University; Brown University; Harvard University
摘要：We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time varia...
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作者：Fehder, Daniel C.; Hausman, Naomi; Hochberg, Yael, V
作者单位：University of Southern California; Hebrew University of Jerusalem; Rice University; National Bureau of Economic Research
摘要：Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universi...
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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 study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firm...
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作者：Fisher, Adlai; Knesl, Jiri; Lee, Ryan C. Y.
作者单位：University of British Columbia; University of Oxford; Baylor University
摘要：This article investigates predictors and benefits of corporate adaptation to crisis, adding a new dimension to studies of flexibility and resilience based on ex ante characteristics. We produce a unique sample of work-from-home announcements scraped from company websites during Covid-19. The announcers' valuations increased by 3%-5% and risk declined versus matches, consistent with real-options theory under asymmetric information. We estimate characteristics, including subtle textual topics fr...
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作者：Blickle, Kristian; He, Zhiguo; Huang, Jing; Parlatore, Cecilia
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Stanford University; National Bureau of Economic Research; Texas A&M University System; Texas A&M University College Station; Mays Business School; New York University
摘要：We study how competition between asymmetrically informed banks, one specialized and one nonspecialized, affects loan prices. Both banks possess general signals regarding the borrower's quality, which they use to screen loans. The specialized bank also has access to a specialized signal on which it bases its loan pricing. This private information-based pricing makes the specialized bank bid more aggressively, mitigating the informational rent effect that gives it monopolistic power. Our finding...
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作者：Hou, Ai Jun; Sarno, Lucio; Ye, Xiaoxia
作者单位：Stockholm University; University of Cambridge; University of Cambridge; Centre for Economic Policy Research - UK; University of Nottingham
摘要：We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers' risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network an...
