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作者：Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); Humboldt University of Berlin; Universite Libre de Bruxelles
摘要：This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one-third of the yield sp...
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作者：Li, Zhimin; Shen, Leslie Sheng; Zhang, Calvin
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper studies the real effects of foreign real estate capital inflows. Using transaction-level data, we document (i) a China shock in the U.S. housing market characterized by surging foreign Chinese housing purchases after 2008, and (ii) home bias in these purchases, as they concentrate in neighborhoods historically populated by ethnic Chinese. Exploiting their temporal and spatial variation, we find that these capital inflows raise local employment, with the effect transmitted through a ...
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作者：Tate, Geoffrey; Yang, Liu
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：The benefits of internal labor markets are largest when they include industries that utilize similar worker skills, thereby facilitating cross-industry worker reallocation and collaboration. We show that diversifying acquisitions occur more frequently among industry pairs with higher human capital transferability. Such acquisitions result in larger labor productivity gains and are less often undone in subsequent divestitures. Moreover, acquirers retain more high-skill workers and more often tr...
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作者：Antill, Samuel
作者单位：Harvard University
摘要：Chapter 7 is the most popular bankruptcy system for U.S. firms and individuals. Chapter 7 professional fees are substantial. Theoretically, high fees might be an unavoidable cost of incentivizing professionals. I test this empirically. I study trustees, the most important professionals in chapter 7, who liquidate assets in exchange for legally mandated commissions. Exploiting kinks in the commission function, I estimate a structural model of moral hazard by trustees. I show that a policy chang...
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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...
