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作者：Eisenschmidt, Jens; Ma, Yiming; Zhang, Anthony Lee
作者单位：Columbia University; University of Chicago
摘要：Repo markets are an important first stage of monetary policy transmission. In the European repo market, the majority of participants, including non-dealer banks and non-banks, do not have access to centralized trading platforms. Rather, they rely on OTC intermediation by a small number of dealers that exert significant market power. Dealer market power causes the passthrough of the ECB's policy rate to be inefficient and unequal. Allowing market participants access to centralized trading platf...
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作者：Leong, Kaiwen; Li, Huailu; Pavanini, Nicola; Walsh, Christoph
作者单位：Griffith University; Fudan University; Shanghai Institute of International Finance & Economics; Tilburg University; Centre for Economic Policy Research - UK; Tilburg University
摘要：We estimate a structural model of borrowing and lending in the illegal money lending market using a unique panel survey of 1,090 borrowers taking out 11,032 loans from loan sharks. We use the model to evaluate the effects of interventions aimed at limiting this market. We find that an enforcement crackdown that occurred during our sample period increased lenders' unit cost of harassment and interest rates, while lowering volume of loans, lender profits and borrower welfare. Policies removing b...
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作者：Marfe, Roberto; Penasse, Julien
作者单位：University of Turin; Collegio Carlo Alberto; University of Turin; University of Luxembourg
摘要：This paper estimates consumption and GDP tail risk dynamics over the long run (1900-2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates covary with asset prices and forecast future stock returns, in line with theory. A calibration d...
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作者：Kim, Yongjin; Kuehn, Lars-Alexander; Lic, Kai
作者单位：University of New Mexico; Carnegie Mellon University; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We als...
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作者：Arteaga-Garavito, Maria Jose; Croce, Mariano M.; Farroni, Paolo; Wolfskeil, Isabella
作者单位：Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high -frequency data on epidemic news diffused through Twitter (Hassan et al., 2019's methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequenci...
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作者：Shu, Chong
作者单位：Utah System of Higher Education; University of Utah
摘要：This paper develops two new methods to infer a mutual fund's proxy advisors from SEC filings. It then applies these methods to characterize features of the proxy advice industry from 2007 to 2021: (i) As of 2021, ISS and Glass Lewis collectively control approximately 90 percent of the market. During this period, the market share of ISS remains stable, while that of Glass Lewis has increased. (ii) When a proxy advisor issues a recommendation opposing management, its customers are approximately ...
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作者：Geelen, Thomas; Hajda, Jakub; Morellec, Erwan; Winegar, Adam
作者单位：Copenhagen Business School; Danish Finance Institute; Universite de Montreal; HEC Montreal; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK; BI Norwegian Business School
摘要：Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms issue debt with a maturity that matches the useful life of assets and a repayment schedule that reflects the need to free up debt capacity as capital ages. In the model, leverage and debt maturity are negatively related to capital age while deb...
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作者：Jeffers, Jessica; Lyu, Tianshu; Posenau, Kelly
作者单位：Hautes Etudes Commerciales (HEC) Paris; Yale University; Cornell University
摘要：We provide the first analysis of the risk exposure and risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a dataset of impact fund cash flows and exploit distortions in VC performance measures to characterize risk profiles. Impact funds have a lower market /i than comparable private market strategies. Accounting for /i , impact funds underperform the public market, though not necessarily more so than comparable strategie...
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作者：Chernenko, Sergey; Scharfstein, David
作者单位：Purdue University System; Purdue University; Harvard University
摘要：Consistent with contemporaneous research, we document that minority-owned firms were more likely than observationally similar white-owned firms to receive PPP loans from nonbank lenders than from banks. However, we show that this substitution to nonbanks was only partial, resulting in significantly lower PPP take-up by minority-owned firms, particularly Black-owned ones. Location and firm characteristics explain about two-thirds of the 25 percentage point disparity in PPP take-up by Black-owne...
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作者：D'Acunto, Francesco; Rossi, Alberto G.; Weber, Michael
作者单位：Georgetown University; University of Chicago; National Bureau of Economic Research
摘要：We isolate the information channel of peer effects in consumption in a setting that excludes a role for common shocks or social pressure-a spending panel paired with crowdsourced information about anonymous peerselicited at different times. Consumers converge to peers' spending, and more so when peer signals are more informative. Convergence is asymmetric: within 12 months of information provision, overspenders close 17% and underspenders 5% of their gap relative to peers. We exploit the quasi...
