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作者：Agarwal, Isha; Baron, Matthew
作者单位：University of British Columbia; Cornell University
摘要：We test a bank credit channel through which unexpected increases in inflation lead to short-run macroeconomic fluctuations. For identification, we study an unexpected U.S. inflation increase in early 1977 and exploit differences in state-level reserve requirements for Federal Reserve nonmember banks, which create differences in banks' inflation exposures. More exposed banks reduce lending, lowering local house prices and construction employment. We provide evidence for potential mechanisms, in...
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作者：Dow, James; Han, Jungsuk; Sangiorgi, Francesco
作者单位：University of London; London Business School; Seoul National University (SNU); Frankfurt School Finance & Management
摘要：Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We show that limited investor horizons indeed have those consequences, as follows. First, informative stock prices increase firm value; in our model, they reduce the agency cost of incentivizing managers. Second, short project maturity improves stock price informativeness by catering to informed investors with short horizons. Third, since informed trading capital is a scarce r...
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作者：Costello, Anna M.; Minnis, Michael; Rabinovich, Irina
作者单位：University of Chicago
摘要：We examine whether discrimination affects customers' willingness to pay their suppliers. Using a dataset of detailed trade credit networks, we find that when facing a macroeconomic shock, customers delay payments to their suppliers with female or black trade credit officers at a 10%-20% higher rate relative to their payments to non -minorities. These results hold after controlling for a host of economic differences between minority groups and non -minority groups. In particular, we exploit the...
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作者：Li, Kai; Xu, Chenjie
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Shanghai University of Finance & Economics
摘要：We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model's key mechanism is that the time-varying tightness of intermediaries' leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from ...
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作者：Gantchev, Nickolay; Giannetti, Mariassunta; Li, Rachel
作者单位：Stockholm School of Economics
摘要：We explore how mutual fund managers and investors react when the tradeoff between a fund's sustainability and performance becomes salient. Following the introduction of Morningstar's sustainability ratings (the globe ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds' overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilib...
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作者：Sundaresan, Suresh; Xiao, Kairong
作者单位：Columbia University
摘要：This paper theoretically and empirically investigates the effects of liquidity regulation on the banking system. We document that the current quantity-based liquidity rule has reduced banks' liquidity risks. However, the mandated liquidity buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to liquidity regulation. These findings motivate a model of liquidity regulation with endogenous liquidity premiums and heterogeneous banks. The...
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作者：Belo, Frederico; Deng, Yao; Salomao, Juliana
作者单位：INSEAD Business School; University of Connecticut; University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK
摘要：Investment-based asset pricing models typically predict a close link between a firm's stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time- series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of investment-based ...
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作者：Altermatt, Lukas; van Buggenum, Hugo; Voellmy, Lukas
作者单位：University of Essex; Swiss National Bank (SNB)
摘要：We develop a general equilibrium model of self-fulfilling bank runs. The key novelty is the way in which the banking system's assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to households, which in turn pay for the goods by redeeming bank deposits. The return on bank assets is thus contingent on households being able to withdraw their deposits. In a run, not all households that wish to consume manage to withdraw, since part of banks' cash reserves end up...
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作者：Fleming, Michael; Nguyen, Giang; Rosenberg, Joshua
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Using 31 years of data (1990-2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers' weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post -crisis regulatory changes, dealers significantly reduce their po...
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作者：Del Angel, Marco; Richardson, Gary
作者单位：California State University System; California State University Los Angeles; Tsinghua University; National Bureau of Economic Research; University of California System; University of California Irvine
摘要：Regulatory independence forms a foundation for modern financial systems. The institutions' value is illuminated by a Progressive Era policy experiment when independent state-bank regulators came under governors' supervision. Afterwards, bank resolution rates declined during gubernatorial election campaigns for banks supervised by state but not national authorities. This gubernatorial-campaign effect diminished by two orders of magnitude, but did not disappear, after the FDIC became the indepen...
