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作者：Hertzberg, Andrew; Liberman, Andres; Paravisini, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; New York University; University of London; London School Economics & Political Science
摘要：We exploit a natural experiment in the largest online consumer lending platform to provide the first evidence that loan terms, in particular maturity choice, can be used to screen borrowers based on their private information. We compare two groups of observationally equivalent borrowers who took identical unsecured 36-month loans; for only one of the groups, a 60-month loan was also available. When a long-maturity option is available, fewer borrowers take the short-term loan, and those who do ...
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作者：Kumar, Praveen; Yerramilli, Vijay
作者单位：University of Houston System; University of Houston
摘要：We examine the joint optimization of financial leverage and irreversible capacity investment in a real options framework with risky debt and endogenous interest costs. Higher capacity, ceteris paribus, increases operating leverage and default probability, but lowers ex post adjustment costs and generates larger tax shields. A key insight is that financial leverage and capacity are substitutes in the debt market equilibrium. We develop novel predictions about the effects of capital adjustment c...
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作者：Varas, Felipe
作者单位：Duke University
摘要：I study managerial short-termism in a dynamic model of project development with hidden effort and imperfect observability of quality. The manager can complete the project faster by reducing quality. To preempt this behavior, the principal makes payments contingent on long-term outcomes. I analyze the dynamics of the optimal contract and its implications for the level of managerial turnover. I show that optimal contracts might be stationary and entail no termination. In general, I show that the...
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作者：Greenwood, Robin; Hanson, Samuel G.; Liao, Gordon Y.
作者单位：Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists gradually reallocate capital across markets. Upon the arrival of a large supply shock, prices of risk in the directly affected asset class become disconnected from those in others. Over the long run, capital flows cause prices of risk to become more closely aligned. While prices in the directly affected marke...
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作者：Anderson, Alyssa G.; Kandrac, John
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In this paper, we examine the Federal Reserve's newest policy tool, known as the overnight reverse repo (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP, we show that private repo activity is crowded out when money funds invest in the ONRRP. Additionally, we find that the ONRRP increases lenders' bargaining power, thereby raising borrower funding costs. Lastly, we show that repo borrowers reallocate to repo backed by riski...
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作者：Melzer, Brian T.
作者单位：Northwestern University
摘要：Low-income households with proximate access to payday loans exhibit greater economic distress, higher take-up of food assistance benefits, and greater delinquency on child support payments than peers without proximate loan access. These findings suggest that borrowing can exacerbate distress, leading borrowers to use transfer programs and to prioritize payday loan payments over other liabilities like child support. In that way, payday lending produces negative externalities-costs imposed on ta...
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作者：Cieslak, Anna
作者单位：Duke University; Center for Economic & Policy Research (CEPR)
摘要：I document large and persistent errors in investors' expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, underestimate future bond returns. At a one-year horizon, errors about the path of the real rate (as opposed to inflation) account for 80% of short-rate forecast error variance, with more than half of that number attributed to the Fed easing mo...
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作者：Stanton, Richard; Walden, Johan; Wallace, Nancy
作者单位：University of California System; University of California Berkeley
摘要：We develop a theoretical model of a network of intermediaries whose optimal behavior is jointly determined, leading to heterogeneous financial norms and systemic vulnerabilities. We apply the model to the network of U.S. mortgage intermediaries from 2005 to 2007, using a data set containing all private-label, fixed-rate mortgages, with loan flows defining links. Default risk was closely related to network position, evolving predictably among linked nodes, and loan quality estimated from the mo...
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作者：Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S.
作者单位：Utah System of Higher Education; University of Utah; University of Minnesota System; University of Minnesota Twin Cities; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：We evaluate whether management risk, which arises from investors' uncertainty about management's added value, affects firms' default risks and debt pricing. We find that, regardless of the reason for the turnover, CDS, loan, and bond yield spreads increase at the time of management turnover, when management risk is highest, and decline over the first three years of the new CEO's tenure. The effects increase with prior investor uncertainty about the new management. These results are consistent ...
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作者：Pasquariello, Paolo
作者单位：University of Michigan System; University of Michigan
摘要：Direct government intervention in a market may induce violations of the law of one price in other, arbitrage-related markets. I show that a government pursuing a nonpublic, partially informative price target in a model of strategic market-order trading and segmented dealership generates equilibrium price differentials among fundamentally identical assets by clouding dealers' inference about the targeted asset's payoff from its order flow, to an extent complexly dependent on existing price form...
