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作者：Chen, Qi; Goldstein, Itay; Huang, Zeqiong; Vashishtha, Rahul
作者单位：Duke University; University of Pennsylvania; Yale University
摘要：One of the most widely discussed issues in banking regulation and research is trans-parency. Yet, whether depositors - banks' most important claimholders - are affected by transparency, is an empirical open question. Analyzing US commercial banks from 1994 to 2019, we show that uninsured deposit flows are more sensitive to information about bank performance when banks are more transparent. We also link transparency to deposit rates, banks' investment funding patterns, and profitability. In add...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang; Zhu, Haoxiang
作者单位：Tsinghua University; Shanghai Jiao Tong University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news' market impact as an additional risk, and link the pre-announcement return directly to the accumulation of heightened uncertainty and its later resolution prior to the announcement. We empirically test and verify the model's distin...
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作者：Santos, Tano; Veronesi, Pietro
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Chicago
摘要：A frictionless general equilibrium model featuring heterogeneous time-varying risk tolerance explains the business cycle dynamics of intermediary leverage, aggregate credit, and other asset markets' facts. In booms, when risk tolerance is high, households borrow more and aggregate credit increases funded by higher intermediary debt. In recessions, credit contracts and intermediaries delever. Yet, their debt-to-equity ratios increase as equity drops when risk aversion increases. Because househo...
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作者：Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.; Tomio, Davide
作者单位：McGill University; Universite de Montreal; HEC Montreal; New York University; New York University; University of Virginia
摘要：A B S T R A C T The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus's spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. state...
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作者：Catherine, Sylvain
作者单位：University of Pennsylvania
摘要：Using French administrative data on job-creating entrepreneurs, I estimate a life-cycle model in which risk-averse individuals can start businesses and return to paid employment. Then, I use the dynamic model to value the option of returning to the labor market in case of failure. For new entrepreneurs, this option is worth 6.4 x the average net wage in the country, which represented 136,0 0 0 euro in 2018. This option value is explained by the unobserved heterogeneity in entrepreneurial abili...
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作者：Bender, Svetlana; Choi, James J.; Dyson, Danielle; Robertson, Adriana Z.
作者单位：Yale University; National Bureau of Economic Research; University of Toronto
摘要：We survey 2484 U.S. individuals with at least $1 million of investable assets about how well leading academic theories describe their financial beliefs and personal investment decisions. The wealthy's beliefs about financial markets and the economy are surprisingly similar to those of the average U.S. household, but the wealthy are less driven by discomfort with the market, financial constraints, and labor income considerations. Portfolio equity share is most affected by professional advice, t...
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作者：Granja, Joao; Makridis, Christos; Yannelis, Constantine; Zwick, Eric
作者单位：Stanford University; National Bureau of Economic Research
摘要：This paper provides a comprehensive assessment of financial intermediation and the eco-nomic effects of the Paycheck Protection Program (PPP), a large and novel small business support program that was part of the initial policy response to the COVID-19 pandemic in the US. We use loan-level microdata for all PPP loans and high-frequency administra-tive employment data to present three main findings. First, banks played an important role in mediating program targeting, which helps explain why so...
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作者：Campello, Murillo; Connolly, Robert A.; Kankanhalli, Gaurav; Steiner, Eva
作者单位：Cornell University; National Bureau of Economic Research; State University System of Florida; University of Florida; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Ample literature builds on the notion that real estate values boost corporate secured borrowing (collateral channel). A comprehensive contract-level database allows us to observe the value, location, and end-use of firms' real estate holdings in the US and all debts raised against those assets over the 20 0 0-2017 period. Firms raise new debt following an increase in the value of their real estate but use unsecured rather than secured borrowing. We rationalize these findings with a model where...
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作者：Eren, Egemen; Malamud, Semyon
作者单位：Bank for International Settlements (BIS)
摘要：We propose a debt view to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the dominant currency is the one that (1) depreciates in global downturns over horizons of typical debt maturity and (2) has the steepest nominal yield curve. Empirically, we show the dollar fits this description better than other major currencies. The debt view can explain dollar-debt issuance patterns over the past two decades. It al...
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作者：Almeida, Caio; Freire, Gustavo
作者单位：Princeton University
摘要：We characterize a set of risk-neutral measures associated with a comprehensive class of risk averse investors. From this set, we show how to construct option price bounds and recover the implied gamma: a parameter uniquely identifying the marginal investor pricing a given option. Empirically, we find that S&P 500 option prices are reconciled by heterogeneous marginal investors who differ in their assessment of tail risk. This heterogeneity is time-varying, decreases during financial crises, an...
