作者：Agrawal, Ashwini K.; Matsa, David A.
作者单位：New York University; Northwestern University
摘要：This paper presents evidence that firms choose conservative financial policies partly to mitigate workers' exposure to unemployment risk. We exploit changes in state unemployment insurance laws as a source of variation in the costs borne by workers during layoff spells. We find that higher unemployment benefits lead to increased corporate leverage, particularly for labor-intensive and financially constrained firms. We estimate the ex ante, indirect costs of financial distress due to unemployme...
作者：Mencia, Javier; Sentana, Enrique
作者单位：Banco de Espana
摘要：We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008-2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations with a time-varying central tendency, jumps, and stochastic volatility, analyse their pricing performance, and implications for term structures of VIX futures and volatility skews. We find that a process ...
