7期

最新文章

• Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort AI翻译
  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...
• Unsmoothing Returns of Illiquid Funds AI翻译
  作者：Couts, Spencer J.; Goncalves, Andrei S.; Rossi, Andrea
  作者单位：University of Southern California; University System of Ohio; Ohio State University; University of Arizona
  摘要：Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds' returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real e...
• Size Discount and Size Penalty: Trading Costs in Bond Markets AI翻译
  作者：Pinter, Gabor; Wang, Chaojun; Zou, Junyuan
  作者单位：Bank for International Settlements (BIS); University of Pennsylvania; INSEAD Business School
  摘要：We show that larger trades incur lower trading costs in government bond markets (size discount), but costs increase in trade size after controlling for client identity (size penalty). The size discount is driven by the cross-client variation of larger traders obtaining better prices, consistent with theories of trading with imperfect competition. The size penalty, driven by the within-client variation, is larger for corporate bonds, during major macroeconomic surprises and during COVID-19. The...
• Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks AI翻译
  作者：Jackson, Matthew O.; Pernoud, Agathe
  作者单位：Stanford University; University of Chicago
  摘要：We analyze how interdependencies in financial networks can lead to self-fulfilling insolvencies and multiple possible equilibrium outcomes. Multiplicity arises if a certain type of dependency cycle exists in the network. We show that finding the cheapest bailout policy that prevents self-fulfilling insolvencies is computationally hard, but that the optimal policy has intuitive features in some typical network structures. Leveraging indirect benefits ensures systemic solvency at a cost that nev...
• Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices AI翻译
  作者：Bianchi, Francesco; Gomez-Cram, Roberto; Kung, Howard
  作者单位：Johns Hopkins University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of London; London Business School; Centre for Economic Policy Research - UK
  摘要：We use a high-frequency identification approach to document that individual politicians affect asset prices. We exploit the regular flow of viewpoints contained in Congress members' tweets. Supportive (critical) tweets increase (decrease) the stock prices of the targeted firm and the corresponding industry in minutes around the tweet. The bulk of the stock price effects is concentrated in the tweets revealing news about future legislative action. The effects are amplified around committee meet...