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作者：Cohn, Alain; Fehr, Ernst; Marechal, Michel Andre
作者单位：University of Chicago; University of Zurich
摘要：In recent years, the banking industry has witnessed several cases of excessive risk-taking that frequently have been attributed to problematic professional norms. We conduct experiments with employees from several banks in which we manipulate the saliency of their professional identity and subsequently measure their risk aversion in a real stakes investment task. If bank employees are exposed to professional norms that favor risk-taking, they should become more willing to take risks when their...
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作者：Maturana, Gonzalo
作者单位：Emory University
摘要：Loan modification is widely discussed as an alternative to foreclosure, but little research has focused on quantifying its effect on loan performance. I quantify this effect early in the housing crisis by exploiting exogenous variation in the incentives to modify securitized nonagency loans. An additional modification reduces loan losses by 35.8% relative to the average loss; this reduction suggests that the marginal benefit of modification likely exceeded the marginal cost. Consistent with th...
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作者：Chen, Nan; Glasserman, Paul; Nouri, Behzad; Pelger, Markus
作者单位：Chinese University of Hong Kong; Columbia University; Stanford University
摘要：We study the design and incentive effects of contingent convertible debt. With contingent convertibles, the endogenous bankruptcy boundary can be at either of two levels: one with lower default risk or one at which default precedes conversion. An increase in debt moves the firm from the first regime to the second, a phenomenon we call debt-induced collapse. Setting the conversion trigger sufficiently high avoids this hazard. Given this condition, we investigate the effect of contingent capital...
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作者：Barillas, Francisco; Nimark, Kristoffer P.
作者单位：Emory University; Cornell University
摘要：We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (1) statistically distinct from classical term structure components due to risk premiums and expectations about future short rates and ar...
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作者：Lambrecht, Bart M.; Myers, Stewart C.
作者单位：University of Cambridge; Center for Economic & Policy Research (CEPR); Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We develop a dynamic agency model of a public corporation. Managers underinvest because of risk aversion. They smooth rents and payout. They do not exploit interest tax shields fully. The interactions of investment, debt, and payout decisions can change drastically depending on managers' preferences. Managers with power utility set investment, debt, and payout proportional to the firm's net worth, generating a constant (possibly negative) net debt ratio. With exponential utility, investment de...
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作者：Demir, Banu; Michalski, Tomasz K.; Ors, Evren
作者单位：Ihsan Dogramaci Bilkent University; Hautes Etudes Commerciales (HEC) Paris
摘要：We test the trade finance channel of exports by controlling for the bank credit channel. Using Turkey's July 2012 adoption of Basel II as a quasi-natural experiment, we examine whether shocks to trade financing costs affect exports. With data for 16,662 Turkish exporters shipping 2,888 different products to 158 countries, we find that the share of letters-of-credit-based exports decreases (increases) when the associated risk weights for counterparty exposure increase (decrease) after the adopt...
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作者：Rodnyansky, Alexander; Darmouni, Olivier M.
作者单位：Princeton University; Columbia University
摘要：Banks' exposure to large-scale asset purchases, as measured by the relative prevalence of mortgage-backed securities on their books, affects lending following unconventional monetary policy shocks. Using a difference-in-differences identification strategy, this paper finds strong effects of the first and third round of quantitative easing (QE1 and QE3) on credit. Highly affected commercial banks increase lending by 2% to 3% relative to their counterparts. QE2 had no significant impact, consist...
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作者：Nenov, Plamen T.
作者单位：BI Norwegian Business School
摘要：I study asset price amplification in an asymmetric information model. Entrepreneurs issue debt to finance investments in a physical asset. They have private information about their success probabilities. For a given debt level, higher asset prices require entrepreneurs to invest more of their own funds. This makes bad entrepreneurs more reluctant to mimic good ones; as a result, good entrepreneurs increase their equilibrium leverage and invest more, and this amplifies the initial asset price i...
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作者：Di Maggio, Marco; Kermani, Amir
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper exploits the federal preemption of national banks in 2004 from local laws against predatory lending to gauge the effect of the supply of credit on the real economy. First, the preemption regulation resulted in an 11% increase in annual lending in the 2004-2006 period, which is associated with a 3.3% rise in annual house price growth rate and a 2.2% expansion of employment in nontradable sectors. This was followed by a sharp decline in subsequent years. Furthermore, we show that the ...
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作者：Gine, Xavier; Kanz, Martin
