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作者：Huang, Ruidi; Linck, James S.; Mayer, Erik J.; Parsons, Christopher A.
作者单位：Southern Methodist University; University of Wisconsin System; University of Wisconsin Madison; University of Southern California
摘要：Research shows that access to high-quality financial services varies with local income and wealth. We study how financial firms' internal allocation of human capital contributes to these disparities. Using a near-comprehensive panel of over 350,000 U.S. mortgage loan officers, we document large and persistent differences in productivity and performance. We find that firms' hiring and promotion practices allocate workers with less experience or poor track records to branches serving low-income ...
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作者：Jasova, Martina; Laeven, Luc; Mendicino, Caterina; Peydro, Jose-Luis; Supera, Dominik
作者单位：Columbia University; Tilburg University; European Central Bank; European Central Bank; Imperial College London; ICREA; Pompeu Fabra University
摘要：We show that lender of last resort (LOLR) policy exacerbates bank interconnectedness. Using novel micro-level data, we analyze LOLR's haircut gaps: the differences between the private market and central bank haircuts. LOLR policy incentivizes banks to increase pledging and holdings of higher haircut-gap bonds, especially those issued by domestic and systemically important banks. Effects only apply to banks, not to nonbanks without LOLR access. LOLR funding revives bank bond issuance associated...
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作者：Shapiro, Joel; Zeng, Jing
作者单位：University of Oxford; University of Bonn
摘要：Stress tests convey information about the strictness of future tests, creating incentives for banks to alter their future lending behavior. Regulators recognize and use this influence: they may conduct softer stress tests to encourage lending or tougher stress tests to reduce risk-taking. This information management can lead to inefficiencies when (a) the test loses credibility or (b) the test becomes self-fulfilling. In addition, banks may distort their lending behavior in anticipation of the...
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作者：Akinci, Ozge; Queralto, Albert
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic financial accelerator, leading to large cross-border spillovers of U.S....
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作者：Cho, Thummim; Kremens, Lukas; Lee, Dongryeol; Polk, Christopher
作者单位：Korea University; University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science
摘要：We propose a loglinear present-value identity in which investment (scale), profitability (yield), and discount rates determine a firm's market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fund...
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作者：Liao, Gordon Y.; Zhang, Tony
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We propose the currency hedging channel that connects countries' external imbalances to their exchange rate behavior. We present a model in which investors increase their currency hedging during periods of financial distress in proportion to their net foreign asset exposure. This behavior coupled with constrained financial intermediation explains observed relationships between gradually adjusting external imbalances and volatile spot and forward exchange rates. We find empirical support for th...
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作者：van Binsbergen, Jules H.; Nozawa, Yoshio; Schwert, Michael
作者单位：University of Pennsylvania; University of Toronto
摘要：We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In particular, we find that investment-grade bonds earn a small credit risk premium, comparable in ...
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作者：Garrett, Daniel G.
作者单位：University of Pennsylvania
摘要：When can financial advisor conflicts of interest generate worse outcomes for clients? A regulation following from Dodd-Frank prohibits municipal advisors from simultaneously acting as bond underwriters. Using a difference-in-differences approach and 20,051 bond auctions, I test whether limited advisor privileges affect financial advice and borrower outcomes. Financing costs of bonds with potential dual advisor-underwriters fall by 11.4 basis points after the advisor is no longer allowed to und...
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作者：Aleti, Saketh; Bollerslev, Tim
作者单位：Duke University
摘要：Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document nontrivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premiums in...
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作者：Ivanov, Ivan T.; Kruttli, Mathias S.; Watugala, Sumudu W.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We estimate the effect of carbon pricing policy on bank credit to greenhouse-gas-emitting firms. Our analyses exploit the geographic restrictions inherent in California's cap-and-trade bill and a discontinuity in the embedded free permit threshold of the federal Waxman-Markey cap-and-trade bill. Affected high emission firms face shorter loan maturities, lower access to permanent forms of bank financing, higher interest rates, and higher participation of shadow banks in their lending syndicates...
