-
作者：Chen, Jason
作者单位：Auburn University System; Auburn University
摘要：This paper investigates how firms' pollution incentives are influenced by their ability to divest polluted assets. My empirical setting is a major reform that exempts purchasers from liability for past contamination. Using a difference-in-differences framework, I find that the reform reduces toxic emissions, lowers bankruptcy risk, and increases firm value. Cross-sectional tests show that the decline in emissions is driven by firms with weaker financial health and fewer assets. These findings ...
-
作者：Liu, Ernest; Ma, Song; Veldkamp, Laura
作者单位：Princeton University; Yale University; Columbia University; National Bureau of Economic Research
摘要：We explore indicators of market power in a data market. Markups cannot measure competition, because most data products' marginal cost is zero, making the markup infinite. Yet, data monopolists may not exert monopoly power because they cannot commit to restricting data sales to future customers. This limited commitment and strategic substitutability of data undermine sellers' monopoly power. But data subscriptions restore this monopoly power. Evidence from online data markets supports the model...
-
作者：Vives, Xavier; Ye, Zhiqiang
作者单位：University of Navarra; IESE Business School; Zhejiang University
摘要：We provide a spatial framework to study competition between banks and fintechs in the lending market and examine the impact on investment and welfare. Based on the key differences between banks and fintechs, we derive results consistent with the empirical evidence available. We find that fintechs with inferior monitoring efficiency can successfully enter because of their superior flexibility in pricing and that higher bank concentration leads to higher fintech loan volume. If fintechs and bank...
-
作者：Manso, Gustavo; Rivera, Alejandro; Wang, Hui (Grace); Xia, Han
作者单位：University of California System; University of California Berkeley; University of Texas System; University of Texas Dallas; Bentley University
摘要：Unlike labor income, human capital is inseparable from individuals and does not completely accrue to creditors. Therefore, human capital investment is more resilient to debt overhang than labor supply. We develop a dynamic model displaying this difference. We find that while both labor supply and human capital investment are hump-shaped in household indebtedness, human capital investment declines less aggressively as indebtedness builds up. Importantly, because human capital is only valuable w...
-
作者：Bok, Brandyn; Mertens, Thomas M.; Williams, John C.
作者单位：University of California System; University of California Los Angeles; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the cent...
-
作者：Braggion, Fabio; Manconi, Alberto; Pavanini, Nicola; Zhu, Haikun
作者单位：Tilburg University; Bocconi University; China Europe International Business School
摘要：Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to l...
-
作者：Yogo, Motohiro; Whitten, Andrew; Cox, Natalie
作者单位：Princeton University; National Bureau of Economic Research; United States Department of the Treasury
摘要：We study retirement and bank account participation for the universe of U.S. households with a member aged 50 to 59 in the administrative tax data. ZCTA-level average income, income inequality, and racial composition predict retirement account participation for low-income households, conditional on household income and regional price parities. Income inequality also predicts bank account participation for low-income households. We estimate the causal effect of access to an employer retirement p...
-
作者：Pflueger, Carolin
作者单位：National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR)
摘要：This paper shows that supply shock uncertainty interacts with the monetary policy rule to drive bond risks in a New Keynesian asset pricing model. In my model, positive nominal bond-stock betas emerge as the result of volatile supply shocks but only if the monetary policy rule features a high inflation weight. Habit formation preferences generate endogenously time-varying risk premia, explaining the volatility and predictability of bond and stock excess returns in the data, and implying that b...
-
作者：Schmidt, Lawrence D. W.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premiu...
-
作者：Jung, Hyeyoon; Engle, Robert F.; Berner, Richard
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：We develop a market-based methodology to assess banks' resilience to climate-related risks and study the climate-related risk exposure of large global banks. We introduce a new measure, CRISK, which is the expected capital shortfall of a bank in a climate stress scenario. To estimate CRISK, we construct climate risk factors and dynamically measure banks' stock return sensitivity (that is, climate beta) to the climate risk factor. We validate the climate risk factor empirically and the climate ...
