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作者：Antill, Samuel; Clayton, Christopher
作者单位：Harvard University; Yale University; National Bureau of Economic Research
摘要：We model the optimal resolution of insolvent firms in general equilibrium. Collateral-constrained banks lend to (i) solvent firms to finance investments and (ii) distressed firms to avoid liquidation. Liquidations create negative fire-sale externalities. Liquidations also relieve bank balance-sheet congestion, enabling new firm loans that generate positive collateral externalities by lowering bank borrowing rates. Socially optimal interventions encourage liquidation when firms have high operat...
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作者：Gropper, Michael J.; Kuhnen, Camelia M.
作者单位：University of Colorado System; University of Colorado Boulder; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
摘要：Using administrative data for 63,000 individuals across 2,500,000 person-month observations, we find that wealthier individuals have better life insurance coverage, controlling for the value of the asset insured, namely, the consumption needs of dependents. This positive wealth-insurance correlation, which is surprising given the prevailing view that wealth substitutes for insurance, persists after allowing for wealth-related differences in risk or bequest preferences, pricing, background risk...
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作者：Giglio, Stefano; Xiu, Dacheng; Zhang, Dake
作者单位：National Bureau of Economic Research; Yale University; Centre for Economic Policy Research - UK; University of Chicago; National Bureau of Economic Research; Shanghai Jiao Tong University
摘要：We show that two important issues in empirical asset pricing-the presence of weak factors and the selection of test assets-are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodology that iterates supervised selection, principal-component estimation, and factor projection. It enables ...
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作者：Borgschulte, Mark; Guenzel, Marius; Liu, Canyao; Malmendier, Ulrike
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; IZA Institute Labor Economics; University of Pennsylvania; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We assess the long-term effects of managerial stress on aging and mortality. Using a difference-in-differences design, we apply neural network-based machine-learning techniques to CEOs' facial images and show that exposure to industry distress shocks during the Great Recession produces visible signs of aging. We estimate a one-year increase in apparent age. Moreover, using data on CEOs since the mid-1970s, we estimate a 1.1-year decrease in life expectancy after an industry distress shock, but...
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作者：Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; Shen, Jialu
作者单位：European Central Bank; Bank of France; Centre for Economic Policy Research - UK; University of London; London Business School; Imperial College London; Fudan University
摘要：We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important risk-sharing implications. We document the importance of the pension fund's size and asset demands, and a new risk channel arising from fluctuations in the fund's returns. We use our calibrated model to study the implications of a shift to an economy with defined contribution plans. The new steady s...
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作者：Hanley, Kathleen
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作者：Fontaine, JEAN-SeBASTIEN; Garcia, Rene; Gungor, Sermin
作者单位：Bank of Canada
摘要：The aggregate leverage of broker-dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker-dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand- and supply-like shocks resolves existing puzzles around the ...
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作者：Zator, Michal
作者单位：University of Notre Dame
摘要：I show that households work and earn more (less) when their floating-rate mortgage payments quasi-exogenously increase (decrease). The response is sizable and asymmetric: on average, households adjust their income by 35% of the change in their mortgage payment, but the response is significantly stronger following an increase in payments. While men in dual-earner, childless households respond the most on average, the asymmetry is most pronounced for women and young workers, who respond particul...
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作者：Costain, James; Nuno, Galo; Thomas, Carlos
作者单位：Banco de Espana
摘要：We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which accounts for the asymmetric shifts in euro-area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into expectations, term premium, expected default loss, and credit risk premium components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibr...
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作者：Flanagan, Thomas
作者单位：University System of Ohio; Ohio State University
摘要：Using a novel data set of realized syndicated loan cash flows and a risk-adjustment methodology adapted from the private equity literature, I provide a measure of risk-adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk-adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk-adjusted performance of bank loan portfolios exhibits p...
