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作者：van der Beck, Philippe
作者单位：Harvard University
摘要：This paper quantifies how investors' portfolio demand responds to price changes at long horizons versus short horizons. Using investor trades-changes in portfolios-at different horizons, I first present reduced-form evidence that elasticities increase significantly over time. I then propose a dynamic demand system via a parsimonious partial-adjustment model that recovers the full term structure of elasticities while mitigating long-horizon identification challenges. The estimates imply that pr...
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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：Braggion, Fabio; Manconi, Alberto; Pavanini, Nicola; Zhu, Haikun
作者单位：Tilburg University; Bocconi University; China Europe International Business School
摘要：Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to l...
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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：National Bureau of Economic Research; University of Chicago; 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：Galvez, Julio; Paz-Pardo, Gonzalo
作者单位：CUNEF Universidad; European Central Bank
摘要：Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited stock market participation and the low risky asset holdings of households. Because people are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk...
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作者：Fedyk, Anastassia; Kakhbod, Ali; Li, Peiyao; Malmendier, Ulrike
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：AI promises to accelerate and broaden access to automated investment advice. But can it capture the investment preferences and rationales of historically underrepresented investors? We ask 1272 human survey respondents and 1350 AI-generated agents to rate stocks, bonds, and cash. First, default AI-generated responses overrepresent young, high-income individuals. However, algorithmic bias is reduced with demographically-seeded prompts. Second, AI-generated free-form responses correctly reflect ...
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作者：Liu, Jiageng; Makarov, Igor; Schoar, Antoinette
作者单位：Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We examine the dramatic collapse of the Terra blockchain in May 2022. Using granular blockchain data, we show that the run resulted from the interaction of three economic forces: subsidized money creation, real-time observability of transactions, and investor concentration. The early success of Terra's algorithmic stablecoin, UST, was fueled by highly subsidized deposit rates, which attracted many investors but failed to engage them meaningfully with other services. Blockchain transparency all...
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作者：Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo
作者单位：Aalto University; University of New South Wales Sydney; University of Basel; Swiss Finance Institute (SFI)
摘要：Deviations from covered interest rate parity (CIP) are often linked to limits to arbitrage, yet trading volumes surge during periods of apparent no-arbitrage violations. We show that these distortions stem from constraints on non-U.S. agents' access to wholesale U.S. dollar markets and reflect a premium for unencumbered synthetic dollar funding: non-U.S. banks substitute secured USD borrowing with FX swaps to meet regulatory requirements. A shadow cost-augmented CIP condition holds, implying n...
