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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...
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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...
