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作者：Agarwal, Sumit; Choi, Hyun-Soo; He, Jia; Sing, Tien Foo
作者单位：National University of Singapore; Korea Advanced Institute of Science & Technology (KAIST); Nankai University
摘要：This paper investigates the role of ethnic matching between buyers and sellers in Singapore's public housing market. We find that sellers sell homes in blocks with a high concentration of their own (other) ethnic group(s) at significant premiums (discounts). Chinese sellers earn 1.7% higher premiums when selling homes to Chinese buyers in high Chinese concentrations housing blocks, but Malay sellers accept 1.6% discounts from Malay buyers in the same blocks. We find that the high volume of wit...
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作者：Foa, Gabriele; Gambacorta, Leonardo; Guiso, Luigi; Mistrulli, Paolo Emilio
作者单位：Bank for International Settlements (BIS); European Central Bank; Bank of Italy
摘要：Using matched borrower-lender data, we document strong nonprice supplier effects in mortgage contract choice. For given relative price of adjustable and fixed rate mortgages, households borrowing from banks hit by shocks to the cost of long term funding, or to the deposits base or to access to securitization are more likely to choose adjustable rate mortgages. Supply factors have larger effects on less-sophisticated households and at times of price inaction. A model in which banks affect borro...
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作者：Agarwal, Vikas; Zhao, Haibei
作者单位：University System of Georgia; Georgia State University; Lehigh University
摘要：The Investment Company Act of 1940 restricts interfund lending and borrowing within a mutual fund family, but families can apply for regulatory exemptions to participate in such transactions. We find that the monitoring mechanisms and investment restrictions influence the family's decision to apply for the interfund lending programs. We document several benefits of such programs for equity funds. First, participating funds reduce cash holdings and increase investments in illiquid assets. Secon...
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作者：Boyarchenko, Nina; Fuster, Andreas; Lucca, David O.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Swiss National Bank (SNB)
摘要：Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding costs. We study variation in MBS spreads in the time series and across securities and document that MBS spreads show a pronounced cross-sectional smile with respect to the securities' coupon rates. We present a new pricing model that uses stripped MBS prices to identify the contribution of non-interest-rate prepayment risk to ...
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作者：Smith, Kevin
作者单位：Stanford University
摘要：In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the stock's risk. I analyze the derivative price and variance risk premium that arise in this equilibrium and their predictive power for s...
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作者：Heider, Florian; Saidi, Farzad; Schepens, Glenn
作者单位：European Central Bank; Stockholm School of Economics
摘要：We show that negative policy rates affect the supply of bank credit in a novel way. Banks are reluctant to pass on negative rates to depositors, which increases the funding cost of high-deposit banks, and reduces their net worth, relative to low-deposit banks. As a consequence, the introduction of negative policy rates by the European Central Bank in mid-2014 leads to more risk-taking and less lending by euro-area banks with a greater reliance on deposit funding. Our results suggest that negat...
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作者：Parise, Gianpaolo; Peijnenburg, Kim
作者单位：Universite Catholique de Lille; EDHEC Business School; Tilburg University
摘要：This paper provides evidence of how noncognitive abilities affect financial distress. In a representative panel of households, we find that people in the bottom quintile of noncognitive abilities are 10 times more likely to experience financial distress than those in the top quintile. We provide evidence that this relation largely arises from worse financial choices and lack of financial insight by low-ability individuals and reflects differential exposure to income shocks only to a lesser deg...
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作者：Athreya, Kartik; Mustre-del-Rio, Jose; Sanchez, Juan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Using proprietary panel data, we show that many U.S. consumers experience financial distress (35% when distress is defined by having debt in severe delinquency, e.g.) at some point in their lives. However, most distress events are concentrated on a much smaller proportion of consumers in persistent trouble: fewer than 10% of borrowers account for half of all distress events. These facts can be largely accounted for in a straightforward extension of a workhorse model of unsecured debt with info...
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作者：Celerier, Claire; Vallee, Boris
作者单位：University of Toronto; Harvard University
摘要：To study the role of talent in finance workers' pay, we exploit a special feature of the French higher education system. Wage returns to talent have been significantly higher and have risen faster since the 1980s in finance than in other sectors. Both wage returns to project size and the elasticity of project size to talent are also higher in this industry. Last, the share of performance pay varies more for talent in finance. These findings are supportive of finance wages reflecting the compet...
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作者：Maturana, Gonzalo; Nickerson, Jordan
作者单位：Emory University; Boston College
摘要：This paper studies the role of workplace peers in the transmission of information pertinent to an important household financial decision: the mortgage refinancing choice. Exploiting commonalities in teaching schedules of school teachers in Texas to identify peer groups, we find that refinancing activity among teachers' peers increases their likelihood of refinancing by 20.7%. The effect of peers increases with the potential savings realized upon refinancing and is stronger among younger teache...
