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作者：Jung, Hyeyoon
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：I show that shocks to financial intermediaries supplying hedging instruments to corporations have real effects. I exploit a quasi-natural experiment in South Korea in 2010, where regulations required banks to hold enough capital for taking foreign exchange derivatives (FXD) positions. Using variation in exposure to this regulation across banks, I find that the regulation caused a reduction in FXD supply, leading to a significant decline in exports for firms contracting derivatives with more ex...
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作者：Boustanifar, Hamid; Kang, Young Dae
作者单位：Universite Catholique de Lille; EDHEC Business School; Bank of Korea
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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：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：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：Doshi, Hitesh; Kumar, Praveen
作者单位：University of Houston System; University of Houston
摘要：We analyze effects of tacit collusion in a dynamic general equilibrium model of oligopolistic sectors with capital investment and real frictions. Through their effects on equilibrium- and off-equilibrium stock prices, fundamental shocks affect incentives for defection from tacit collusion, amplifying the interaction between the real economy and financial markets as well as firms' risk exposure. The model implies ambiguous relationship between industry concentration and equity returns depending...
