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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
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作者：Du, Wenxin; Hebert, Benjamin; Li, Wenhao
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Stanford University; National Bureau of Economic Research; University of Southern California
摘要：We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct net-long and net-short curves that account for balance sheet and financing costs, and show that actual yields moved from the net short curve pre-GFC to the net long curve post-GFC. Our theory shows the regime shift caused negative swap spreads and co-movement among swap spreads, dealer positions, and covered-interest-parity violations. ...
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作者：Chang, Briana; Gomez, Matthieu; Hong, Harrison
作者单位：University of Wisconsin System; University of Wisconsin Madison; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We document that banks that cut lending more during the Great Recession were lending to riskier firms ex-ante. To understand the aggregate implications of this sorting pattern, we build an assignment model in which banks have heterogeneous costs to take on risky loans and firms have different credit risks. In the model, aggregate loan volume depends on the entire distribution of bank holding costs and firm credit risks. We then use our model to recover the change in the distribution of bank ho...
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作者：Armantier, Olivier; Foncel, Jerome; Treich, Nicolas
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universite de Lille; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; INRAE
摘要：We study insurance and portfolio decisions, two opposite risk retention tradeoffs. Using household level data, we identify the first joint determinants (e.g. subjective expectations, risk attitude) and frictions (e.g. liquidity constraints, financial literacy) in the literature. We also find key differences between the two decisions. Notably, contrary to economic intuition, risky asset holding and insurance coverage both increase with wealth. We show that this apparent puzzle is driven in part...
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作者：Monacelli, Tommaso; Quadrini, Vincenzo; Trigari, Antonella
作者单位：Bocconi University; University of Southern California
摘要：We study the importance of financial markets for (un)employment fluctuations in a model with matching frictions where firms borrow under limited enforcement. Borrowing affects employment through a 'debt bargaining channel': higher debt improves the bargaining po-sition of employers with workers and increases the incentive to hire. We estimate the model structurally and find that the debt bargaining channel accounts for 26 percent of unemployment fluctuations. We find empirical support for the ...
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作者：Carlin, Bruce; Umar, Tarik; Yi, Hanyi
作者单位：Rice University; Boston College
摘要：Permissive laws deputize financial professionals to screen for misbehavior without pro-viding explicit incentives. These are very common in financial markets. To evaluate their effectiveness, we exploit the staggered adoption of the 2016 Model Act provisions intended to curb elder abuse. We find a drop in reports of abuse by financial professionals to the Department of Treasury and, separately, in financial crimes against the elderly as mon-itored by the FBI. The effect is stronger where the e...
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作者：Gutierrez, Bryan; Ivashina, Victoria; Salomao, Juliana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR)
摘要：In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that includes loan-level currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar credit popularity. We find that a dollar-denominated loan has an interest rate that is 2 percentage points lower per year than a loan in local currency. Expectations of exchange rate movements do not explain this difference. We sho...
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作者：Korevaar, Matthijs
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Do investors reach for yield when interest rates are low and does this behavior affect the housing market? Using the unique setting and data of 18th-century Amsterdam, I show that reach-for-yield behavior of wealthy investors resulted in a large boom and bust in house prices and major changes in rental yields. Exploiting changes in the supply of bonds, I show that investors living off capital income shifted their portfolios towards real estate and other higher-yielding assets when bond yields ...
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作者：Aragon, George O.; Kim, Min S.
作者单位：Arizona State University; Arizona State University-Tempe; Boston University
摘要：We measure a stock's exposure to fire sale risk through its ownership links to mutual funds that anticipate significant outflows during periods of systematic outflows from the fund industry. We find that stocks with higher exposure to this risk earn higher average returns: a portfolio that buys (shorts) stocks with the highest (lowest) exposure outperforms by 3-7% annually. Our findings cannot be explained by several known determinants of average returns and support the ex-ante pricing of the ...
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作者：Feldhutter, Peter; Schaefer, Stephen
作者单位：Copenhagen Business School; University of London; London Business School
摘要：We investigate how the dynamics of corporate debt policy affect the pricing of corporate bonds. We find empirically that debt issuance has a significant stochastic component that is imperfectly correlated with shocks to asset value. As a consequence, the volatility of leverage is significantly higher than asset volatility over short horizons. At long horizons, the relation between leverage and asset volatility is reversed due to mean reversion in leverage. We incorporate these stochastic debt ...
