-
作者：Ma, Sai; Schmidt-Eisenlohr, Tim
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper provides evidence that the U.S. dollar affects trade through a financial channel of the exchange rate. Using global data over three decades, we show that dollar appreciation increases import prices and decreases import quantities for non-U.S. dollar countries. In line with a financial channel, these effects are stronger when the exporting country borrows more in U.S. dollars abroad. The financial channel was active before the global financial crisis, has strengthened since, and oper...
-
作者：Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Bank for International Settlements (BIS); Shanghai University of Finance & Economics
摘要：We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, intermediaries' market power breaks monetary neutrality and makes international risk-sharing inefficient. Despite having zero net positions, markups charged by intermediaries significantly distort international asset prices, affecting exchange ...
-
作者：Li, Jiasun; Mann, William
作者单位：George Mason University; Emory University
摘要：We present a model rationalizing the economic value of digital tokens for launching peer-to-peer platforms. By using the blockchain to transparently distribute tokens before the platform launches, a token sale overcomes later coordination failures between the platform's users. This result follows from forward induction reasoning, under which the costly and observable action of token acquisition credibly communicates the intent to participate on the platform. Our framework demonstrates the appl...
-
作者：Koont, Naz; Ma, Yiming; Pastor, Lubos; Zeng, Yao
作者单位：Stanford University; National Bureau of Economic Research; Columbia University; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research; National Bureau of Economic Research; University of Pennsylvania
摘要：Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances wh...
-
作者：Delao, Ricardo; Myers, Sean
-
作者：Schmidt-Engelbertz, Paul; Vasudevan, Kaushik
作者单位：Yale University; Purdue University System; Purdue University
摘要：Higher-order beliefs-beliefs about others' beliefs-may be important for trading behavior and asset prices but have received little systematic empirical examination. Examining more than 20 years of evidence from the Robert Shiller Investor Confidence surveys, we find that investors' higher-order beliefs provide substantial motivations for nonfundamental speculation-taking a stock market position that conflicts with one's valuation of the market. To explore the equilibrium implications, we const...
-
作者：Jha, Manish; Liu, Hongyi; Manela, Asaf
作者单位：University System of Georgia; Georgia State University; Washington University (WUSTL)
摘要：We measure popular sentiment toward finance by applying a large language model to millions of books published in eight countries over hundreds of years. We extensively validate this measure both internally and externally. We document persistent differences in finance sentiment across countries despite ample time-series variation. Books written in the languages of more capitalist countries discuss finance in a more positive context. Finance sentiment is correlated with survey-based measures of ...
-
作者：Orame, Andrea; Ramcharan, Rodney; Robatto, Roberto
作者单位：European Central Bank; Bank of Italy; University of Southern California; University of Wisconsin System; University of Wisconsin Madison
摘要：We show that widely used macroprudential regulations that rely on historical cost accounting (HCA) to insulate banks' balance sheets from financial market volatility significantly affect the transmission of monetary policy onto bank lending. Using detailed supervisory data from Italian banks, we find that HCA mutes the transmission of quantitative easing and other monetary policies that affect the long end of the yield curve, weakening the effectiveness of interventions aimed at reducing firm ...
-
作者：Martin, Thorsten
作者单位：Bocconi University; Frankfurt School Finance & Management
摘要：I study the real effects of centralized derivative markets using the staggered introduction of futures contracts for different steel products in the United States. Employing a difference-in-differences strategy, I find that the arrival of centralized futures markets improves price transparency and risk management in the underlying product market: price dispersion decreases and steel producers increase their hedging activity. Moreover, market share is reallocated toward low-cost producers, whil...
-
作者：Ouimet, Paige; Simintzi, Elena; Ye, Kailei
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Centre for Economic Policy Research - UK
摘要：We show a negative effect of opioid prescriptions on subsequent individual employment among employers in our sample using doctor-opioid-prescribing propensity as our instrument. This finding has implications for firms that must now contend with lower local labor supply. We find a negative relationship between opioid prescriptions and subsequent establishment growth. However, firms respond to labor shortages by investing more in technology, replacing the relatively scarcer labor with capital, e...
