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作者：Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; Vari, Miklos
作者单位：European Central Bank; Bank of France; European Central Bank; Bank of France; European Central Bank; International Monetary Fund
摘要：Most short-term interest rates in the euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks for excess reserves. This coincided with the start of the Public Sector Purchase Program (PSPP) launched in March 2015. In this paper, we explore empirically the interactions between the PSPP and repo rates. Using proprietary data from PSPP purchases and repo transactions for specific (special) securities, we assess the scarcity channel...
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作者：Infante, Sebastian
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The existing literature has shown that an increase in the demand for safe assets induces the private sector to create more of them. Focusing on repos backed by US Treasuries, I theoretically and empirically show that an increase in the demand for safe assets leads to a decrease in repos outstanding. Because Treasuries are safe assets, an increase in the demand for safe assets compresses their term premia, reducing incentives to issue repos. Thus, the sensitivity of private safe asset creation ...
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作者：Begenau, Juliane
作者单位：Stanford University
摘要：This paper develops a dynamic general equilibrium model to quantify the effects of bank capital requirements. Households' preferences for liquid assets imply a liquidity premium on deposits. The banking sector supplies deposits and has excessive risk-taking incentives. I show that the scarcity of deposits created by an increased capital requirement can reduce the cost of capital for banks and increase bank lending. A higher capital requirement also increases banks' monitoring incentives, which...
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作者：Bernstein, Shai; Dev, Abhishek; Lerner, Josh
作者单位：Stanford University; National Bureau of Economic Research; Harvard University
摘要：This paper explores the creation and evolution of new stock exchanges around the world geared toward entrepreneurial companies, known as second-tier exchanges. Using handcollected novel data, we show the proliferation of these exchanges in many countries, their significant volume of Initial Public Offerings (IPOs), and lower listing requirements. Shareholder protection strongly predicted exchange success, even in countries with high levels of venture capital activity, patenting, and financial ...
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作者：Wang, Xue; Yan, Xuemin (Sterling); Zheng, Lingling
作者单位：University of International Business & Economics; University of Missouri System; University of Missouri Columbia; Lehigh University; Renmin University of China
摘要：Shorting flows remain a significant predictor of negative future stock returns during 2010-2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates ...
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作者：Segura, Anatoli; Zeng, Jing
作者单位：European Central Bank; Bank of Italy; University of Vienna; Frankfurt School Finance & Management
摘要：Off-balance sheet financing of an investment is covered by limited liability, whereas on-balance sheet financing creates unlimited liability towards the bank's asset-in-place. Off-balance sheet funding thus gives the bank flexibility to voluntarily support debt repayments when the investment fails, which allows the bank to signal information about the quality of its future projects, improving investment efficiency. Yet, limited liability reduces the bank's effort incentives. Off-balance sheet ...
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作者：Howell, Sabrina T.
作者单位：New York University; National Bureau of Economic Research
摘要：Venture capital, an important source of financing for potentially high-growth new businesses, is believed to suffer from information frictions. This paper quantifies the magnitude of these frictions among participants in new venture competitions. In a regression discontinuity design with data from 87 competitions, winning a round increases the chances of external financing by about 35%. Winning is most impactful for ventures that are ranked just above the cutoff but receive no cash prize, and ...
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作者：Wang, Wenyu; Wu, Yufeng
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Illinois System; University of Illinois Urbana-Champaign
摘要：How and to what extent do managerial control benefits shape the efficiency of the takeover market? We revisit this question by estimating both the dark and bright sides of managerial control benefits in an industry equilibrium model. On the dark side, managers' private benefits of control distort firms' takeover incentives and hinder the reallocation role of the takeover market. On the bright side, fear of a takeover induces underperforming managers to exert more effort and enhances the discip...
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作者：Makinen, Taneli; Sarno, Lucio; Zinna, Gabriele
作者单位：European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
摘要：Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting that guaranteed banks, defined as those of particular importance to the national economy, inherit the risk of the guarantor. Indeed, this premium does not exist in safe-haven countries. We rationalize these findings with a model in which implicit governme...
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作者：Duarte, Jefferson; Hu, Edwin; Young, Lance
作者单位：Rice University; U.S. Securities & Exchange Commission (SEC); University of Washington; University of Washington Seattle
摘要：We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN's Adj.PIN and PIN....
