-
作者：Bruno, Valentina; Shin, Hyun Song
作者单位：American University; Bank for International Settlements (BIS)
摘要：The strength of the U.S. dollar has attributes of a barometer of dollar credit conditions, with a stronger dollar associated with tighter dollar credit conditions. We find that following dollar appreciation, exporters that are more reliant on dollar-funded bank credit suffer a greater decline in credit and slowdown in exports, including those exporting to the United States. Our findings shed light on the role of the U.S. dollar in the interaction between financial globalization and internation...
-
作者：Kalmenovitz, Joseph
作者单位：University of Rochester
摘要：Building on administrative data and machine-learning models, I develop a firm-specific measure of regulatory intensity: cost of compliance with all federal paperwork regulations. Regulatory intensity increases the cost of goods sold and overhead spending (SGA). It also incentivizes companies to reduce capital investment, hire fewer employees, and lobby more. The effects are particularly strong among financially constrained firms and those with irreversible investment opportunities, suggesting ...
-
作者：Alvero, Adrien; Ando, Sakai; Xiao, Kairong
作者单位：Columbia University; International Monetary Fund
摘要：We show that distortion in the size distribution of banks around regulatory thresholds can be used to identify costs of bank regulation. We build a structural model in which banks can strategically bunch their assets below regulatory thresholds to avoid regulations. The resultant distortion in the size distribution of banks reveals the magnitude of regulatory costs. Using U.S. bank data, we estimate the regulatory costs imposed by the Dodd-Frank Act. Although the estimated regulatory costs are...
-
作者：Agarwal, Sumit; Mukherjee, Abhiroop; Naaraayanan, S. Lakshmi
作者单位：National University of Singapore; Hong Kong University of Science & Technology; University of London; London Business School
摘要：Does financing respond to changes in productive opportunities, even for the world's poor? We answer this question by examining the response of private bank financing to an infrastructure program that brought road access to unconnected Indian villages. This program prioritized roads for villages above specific population thresholds, allowing us to exploit the resultant discontinuities for identification. Using detailed data from a large bank, we find that 75% more villagers get loans, and the a...
-
作者：Kirti, Divya; Sarin, Natasha
作者单位：International Monetary Fund; Yale University; Yale University
摘要：This paper studies how private equity creates value and its consequences for consumer welfare in the insurance industry, where PE investments grew tenfold following the financial crisis. PE firms add value through regulatory and tax arbitrage that increases profits relative to their non-PE counterparts. Crucially, the impact on consumer welfare is nuanced: in the short run, consumers benefit from more favorably priced products. But the arbitrage strategy also exposes them to more risk, as annu...
-
作者：Gomes, Francisco; Jansson, Thomas; Karabulut, Yigitcan
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Sveriges Riksbank; Frankfurt School Finance & Management
摘要：We document significant negative effects of exposure to increased automation at work on household wealth accumulation. Beyond the income and savings channels, we uncover a novel mechanism contributing to the negative wealth effects of automation that arises through the endogenous optimal portfolio decisions of households. We show that households rebalance their financial wealth away from the stock market in response to increased human capital risk induced by pervasive automation, thereby attai...
-
作者：Fricke, Daniel; Wilke, Hannes
作者单位：Deutsche Bundesbank
摘要：Mutual funds often invest in other funds. In this paper, we analyze the economics behind such cross-fund investments and investigate their financial stability implications. Using granular data for the German fund sector, our main findings are that cross-fund investments (a) are becoming increasingly important over time, (b) were heavily liquidated during March 2020, and (c) display measurable contagion effects. Overall, cross-fund investments can elevate structural fund sector vulnerabilities....
-
作者：Babina, Tania; Bernstein, Asaf; Mezzanotti, Filippo
作者单位：Columbia University; University of Colorado System; University of Colorado Boulder; National Bureau of Economic Research; Northwestern University
摘要：We examine innovation following the Great Depression using data on a century's worth of U.S. patents and a difference-in-differences design that exploits regional variation in the crisis severity. Harder-hit areas experienced large and persistent declines in independent patenting, mostly reflecting the disruption in access to finance during the crisis. This decline was larger for young and inexperienced inventors and lower-quality patents. In contrast, innovation by large firms increased, espe...
-
作者：Yin, Chengdong; Zhang, Xiaoyan
作者单位：Renmin University of China; Tsinghua University
摘要：Hedge fund managers' risk-taking choices are influenced by their compensation structure. We differ from most studies that focus on incentive fees and the high-water mark by examining how management fees affect managers' risk-taking. Our simple model shows that managers' risk-taking is negatively related to their future management fees. Using fund-level data, we find that future management fees are the dominant component of managers' total compensation. When the contribution of future managemen...
-
作者：Bali, Turan G.; Beckmeyer, Heiner; Morke, Mathis; Weigert, Florian
作者单位：Georgetown University; University of Munster; University of St Gallen; University of Neuchatel
摘要：Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. The nonlinear machine learning models generate statistically and economically sizable profits in the long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics are the most important s...
