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作者：Loualiche, Erik; Pecora, Alexandre R.; Somogyi, Fabricius; Ward, Colin
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University; Northeastern University; University of Alberta
摘要：We show that US monetary policy is transmitted internationally through the factor structure of exchange rates. Following an easing of monetary policy, investment funds sell safe and buy risky currencies. Global US banks, similarly, tilt their distribution of foreign loan origination toward currencies with greater systematic currency risk. The effects of monetary policy on currency flows and loans persist for several months and feed into the leverage and real investment decisions of firms and, ...
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作者：Schmidt, Lawrence D. W.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premiu...
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作者：Jung, Hyeyoon; Engle, Robert F.; Berner, Richard
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：We develop a market-based methodology to assess banks' resilience to climate-related risks and study the climate-related risk exposure of large global banks. We introduce a new measure, CRISK, which is the expected capital shortfall of a bank in a climate stress scenario. To estimate CRISK, we construct climate risk factors and dynamically measure banks' stock return sensitivity (that is, climate beta) to the climate risk factor. We validate the climate risk factor empirically and the climate ...
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作者：Schreindorfer, David; Sichert, Tobias
作者单位：Michigan State University; Michigan State University's Broad College of Business; Stockholm School of Economics
摘要：We propose a statistical methodology for jointly estimating the pricing kernel and conditional physical return densities from option prices. Pricing kernel estimates show that negative stock market returns are significantly more painful to investors in low-volatility periods. Density estimates reflect a significantly positive risk-return trade-off, suggest that Martin's (2017) lower bound on the equity premium is violated in high-volatility periods, and provide new evidence on the variance pre...
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作者：Choi, Jaewon; Tian, Xu; Wu, Yufeng; Kargar, Mahyar
作者单位：Seoul National University (SNU); University System of Georgia; University of Georgia; University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Fluctuations in investor demand significantly affect firms' valuation and access to capital. To quantify their real effects, we develop a dynamic investment model, incorporating both the demand and supply sides of capital. Strong investor demand relaxes financial constraints and facilitates equity issuance and investment, while weak demand encourages opportunistic share repurchases, crowding out investment. We estimate the model using indirect inference, matching the endogenous relationship be...
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作者：Maingi, Quinn
作者单位：University of Southern California
摘要：I develop and estimate a quantitative spatial model featuring banks' spatial lending networks to study the real effects of bank funding shocks. I apply the model to the 2023 regional bank panic. I show that, during the panic, deposits were reallocated towards regional banks with better marginal lending opportunities, which offered higher deposit rates. This reallocation substantially mitigated the otherwise negative aggregate output effects of the remaining, panic-related deposit flows. This p...
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作者：Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper Meisner; Peijnenburg, Kim
作者单位：Copenhagen Business School; Centre for Economic Policy Research - UK; National University of Singapore; Tilburg University
摘要：We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase stocks with higher past returns. Forecast bias is negatively associated with capital gains of sold stocks. Forecast bias also explains investor heterogeneity in the relation between market returns and net...
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作者：Li, Dan; Petrasek, Lubomir; Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We show that self-imposed risk limits significantly constrain dealers' risk-taking and Treasury market intermediation, especially during market stress. Dealers near value-at-risk (VaR) limits reduce positions and demand higher compensation for risk. During March 2020, constrained dealers sold more Treasuries to the Fed at lower prices and provided less liquidity to clients. An aggregate measure of dealer VaR constraints closely tracks Treasury market illiquidity. Our findings offer a micro-fou...
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作者：Cassella, Stefano; Rizzo, A. Emanuele; Spalt, Oliver G.; Zimmerer, Leah
作者单位：Tilburg University; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); University of Mannheim
摘要：We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative pr...
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作者：D'amico, Stefania; Klausmann, Johannes; Pancost, N. Aaron
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Houston System; University of Houston; University of Texas System; University of Texas Austin
摘要：Exploiting the twin structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors' green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market pric...
