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作者：Peydro, Jose-Luis; Rodriguez-Tous, Francesc; Tripathy, Jagdish; Uluc, Arzu
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Bank of England
摘要：We analyze the distributional effects of macroprudential policy on mortgage cycles by exploiting the U.K. mortgage register and a 2014 15% limit imposed on lenders' high loan-to-income (LTI) mortgages. Constrained lenders issue fewer and more expensive high-LTI mortgages, with stronger effects on low-income borrowers. Unconstrained lenders strongly substitute high-LTI loans in local areas with higher constrained lender presence, but not high-LTI loans to low-income borrowers-consistent with ad...
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作者：Nucera, Federico; Sarno, Lucio; Zinna, Gabriele
作者单位：European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
摘要：We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S. dollar factor and two weak high Sharpe ratio carry and momentum slope factors. Evidence for an additional value factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candi...
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作者：Jansen, Kristy A. E.
作者单位：University of Southern California
摘要：I exploit a Dutch reform in the regulatory discount curve that makes the liabilities of pension funds and insurance companies (P&Is) more sensitive to changes in 20-year interest rates but less so to longer maturity rates. Following the reform, P&Is reduced their longest maturity bond holdings but increased those with 20-year maturities, steepening the long end of the yield curve. Using the reform as a shock to identify price elasticities of demand at the sector level based on holdings across ...
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作者：Chen, Wen; Wang, Yajun
作者单位：Texas Tech University System; Texas Tech University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We study the dynamics of trading volume and bid-ask spread using a multiperiod trading model with oligopolistic market makers. Traders smooth out their trading even though they are not strategic, and thus trading persists after the arrival of information or liquidity shocks. Traders act quickly on their private information while postponing hedging trades until later periods. The market power of market makers enables them to widen bid-ask spreads when trading incentives are heightened. Conseque...
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作者：Gilbukh, Sonia; Goldsmith-Pinkham, Paul
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Yale University; National Bureau of Economic Research
摘要：The real estate market is highly intermediated, with 90% of buyers and sellers hiring an agent. However, low barriers to entry and fixed commission rates result in large market share for inexperienced intermediaries. Using micro-level data on 8.5 million listings and a novel research design, we show that house listings by inexperienced agents have a lower probability of selling, and this effect is strongest during the housing bust. We estimate that 3.7% more listings would have been sold in a ...
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作者：Martinsson, Gustav; Sajtos, Laszlo; Stromberg, Per; Thomann, Christian
作者单位：Stockholm University; Stockholm School of Economics; Royal Institute of Technology
摘要：Sweden was one of the first countries to introduce a carbon tax back in 1991. We assemble a unique data set tracking CO2 emissions from Swedish manufacturing firms over 26 years to estimate the impact of carbon pricing on firm-level emission intensities. We estimate an emission-to-pricing elasticity of around two, with substantial heterogeneity across subsectors and firms, where higher abatement costs and tighter financial constraints are associated with lower elasticities. A simple calibratio...
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作者：Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, Rene
作者单位：University System of Ohio; Ohio State University; University System of Ohio; Ohio University; University System of Ohio; Miami University; National Bureau of Economic Research
摘要：Following the Global Settlement, analysts extensively use a top pick designation allowing for greater granularity of information among buy recommended stocks, but conflicts of interest can potentially influence this designation. Examining a novel sample of top picks, we find that a calendar-time portfolio of top picks generates an abnormal performance of 17.6% per year. Top picks have greater investment value than do buy recommendations and alternative analyst investment strategies. Both insti...
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作者：Bernstein, Shai; Townsend, Richard R.; Xu, Ting
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California San Diego; University of Toronto
摘要：Using proprietary data from AngelList Talent, we study how startup job seekers' search and application behavior changed during the COVID-19 downturn. We find that workers shifted their searches and applications away from less-established startups and toward more-established ones, even within the same individual over time. At the firm level, this shift was not offset by an influx of new job seekers. Less-established startups experienced a relative decline in the quantity and quality of applicat...
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作者：Gryglewicz, Sebastian; Mayer, Simon; Morellec, Erwan
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Carnegie Mellon University
摘要：How much of a loan should a lender retain, and how do loan sales affect loan performance? We address these questions in a model in which a lender originates loans that it can sell to investors. The lender reduces default risk through screening at origination and monitoring after origination, but is subject to moral hazard. The optimal lender-investor contract can be implemented by requiring the lender to initially retain a share of the loan that it gradually sells to investors, rationalizing l...
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作者：Agarwal, Sumit; Ghosh, Pulak; Li, Jing; Ruan, Tianyue
作者单位：National University of Singapore; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore; Singapore Management University
摘要：We study how consumer spending responds to digital payments, using the differential switch to digital payments across consumers induced by the sudden 2016 Indian Demonetization for identification. Digital payment use rose by 2.94 percentage points and monthly spending increased by 2.38% for an additional 10 percentage points in prior cash dependence. Spending remained elevated even when cash availability recovered. Robustness analyses show that the spending response is not driven by purchase s...
