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作者：Rhee, Keeyoung; Dogra, Keshav
作者单位：Sungkyunkwan University (SKKU); Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We study whether regulators should reveal stress test results that contain imperfect information about banks' financial health. Although disclosure restores market confidence in banks, it misclassifies some healthy banks as risky. This encourages banks to choose portfolios deemed safe by regulators, leading to model monoculture and making the financial system less diversified. Under the ex-ante optimal disclosure policy, the regulator addresses this tradeoff by fully revealing stress test resu...
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作者：Gormsen, Niels Joachim; Jensen, Christian Skov
作者单位：University of Chicago; National Bureau of Economic Research; Bocconi University
摘要：We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomal...
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作者：Diamond, William; Jiang, Zhengyang; Ma, Yiming
作者单位：University of Pennsylvania; Northwestern University; National Bureau of Economic Research; Columbia University
摘要：We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of central bank reserve...
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作者：Neuhann, Daniel; Sockin, Michael
作者单位：University of Texas System; University of Texas Austin
摘要：How does financial market concentration affect capital allocation? We propose a complete -markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, ...
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作者：Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri
作者单位：Harvard University; University of London; Queen Mary University London; University of Warwick
摘要：We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries' supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk-i.e., the risk spreads will widen due to a future demandand -supply imbalance. We show that a proxy for the intermediated quantity of swaps-dealers' net position in Treasuries-flipped sign during the Global Financial Crisis w...
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作者：Barrot, Jean -Noel; Bonelli, Maxime; Grassic, Basile; Sauvagnatc, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London Business School; Bocconi University; Bocconi University
摘要：We study whether state -level mandatory business closures implemented in response to the outbreak of the Covid19 causally affect economic and health outcomes. Using plausibly exogenous variations in exposure to these restrictions, we find that they impose substantial losses to firms and workers, the former bearing approximately two thirds of the cost, consistent with firms partially insuring their workers. We show that mandatory business closures have a significant negative causal effect on mo...
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作者：Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, G.
作者单位：Universita Ca Foscari Venezia; New York University
摘要：We study the many implications of the Eurosystem collateral framework for corporate bonds. Using data on the evolving collateral eligibility list, we identify the first inclusion dates of bonds and issuers and use these events to find that the increased supply and demand for pledgeable collateral following eligibility (a) increases activity in the corporate securities lending market, (b) lowers eligible bond yields, and (c) affects bond liquidity. Thus, corporate bond lending relaxes the const...
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作者：Feldhutter, Peter; Halskov, Kristoffer; Krebbers, Arthur
作者单位：Copenhagen Business School; Copenhagen Business School; University of Strathclyde
摘要：We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1-2bps lower yield due to the bond's ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%-39% so firms set ESG targets that are easy to reach. We find that the SLB market is efficient:...
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作者：Jiang, Erica Xuewei; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
作者单位：University of Southern California; Northwestern University; National Bureau of Economic Research; Columbia University; Stanford University
摘要：We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks' assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to self-fulfilling solvency runs even when banks' assets are fully li...
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作者：Garber, Gabriel; Mian, Atif; Ponticelli, Jacopo; Sufi, Amir
作者单位：Central Bank of Brazil; Princeton University; Northwestern University; University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Brazil initiated a major credit expansion program through government banks in 2011. The program primarily targeted public sector workers with offers of payroll -backed loans. Using individual -level administrative data we find that the program led to a 15 percentage point rise in debt to initial income for public sector workers. We develop a new method for estimating workers' expected income growth, and show that consumption smoothing cannot explain the rise in consumer borrowing. Instead, the...
