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作者：Chang, Huifeng; d'Avernas, Adrien; Eisfeldt, Andrea L.
作者单位：Fudan University; Stockholm School of Economics; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our...
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作者：D'Avernas, Adrien; Vandeweyer, Quentin
作者单位：Stockholm School of Economics; Swedish House of Finance; University of Chicago
摘要：We propose a model of post-Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short-term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample rese...
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作者：Fonseca, Julia; Liu, Lu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania
摘要：We study the impact of rising mortgage rates on mobility and labor reallocation. Using individual-level credit record data and variation in the timing of mortgage origination, we show that a 1 percentage point decline in the difference between mortgage rates locked in at origination and current rates reduces moving by 9% overall and 16% between 2022 and 2024, and this relationship is asymmetric. Mortgage lock-in also dampens flows in and out of self-employment and the responsiveness to shocks ...
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作者：Hertzberg, Andrew
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：I present a model of consumption and savings for a multiperson household in which members are imperfectly altruistic, derive utility from both private and shared public goods, and share wealth. I show that, despite having standard exponential time preferences, the household is time-inconsistent: Members save too little and overspend on private consumption goods. The household remains time-inconsistent even when members save separately, because the possibility of voluntary transfers or joint co...
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作者：Chen, Qi; Goldstein, Itay; Huang, Zeqiong; Vashishtha, Rahul
作者单位：Duke University; Yale University
摘要：Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so-called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large-scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit fl...
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作者：Almeida, Heitor; Carvalho, Daniel; Kim, Taehyun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Indiana University System; Indiana University Bloomington; Chung Ang University
摘要：We provide novel evidence that funding frictions can limit firms' short-term investments in receivables and inventories, reducing their production capacity. We propose a credit multiplier driven by these considerations and empirically isolate its importance by comparing how a similar firm responds to shocks differently when these shocks are initiated in their most profitable quarter (main quarter). We implement this test using recurring and unpredictable shocks (e.g., oil shocks) and provide e...
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作者：Demiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman
作者单位：University of London; London Business School; Iowa State University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
摘要：Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk ...
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作者：Giglio, Stefano; Kelly, Bryan; Kozak, Serhiy
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University System of Maryland; University of Maryland College Park
摘要：We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross sectio...
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作者：Cho, Thummim; Polk, Christopher
作者单位：Korea University; University of London; London School Economics & Political Science
摘要：We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing mode...
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作者：Brunnermeier, Markus K.
作者单位：Princeton University
摘要：This address reviews macrofinance from the perspective of resilience. It argues for a shift in mindset, away from risk management toward resilience management. It proposes a new resilience measure, and contrasts micro- and macro-resilience. It also classifies macrofinance models in first- (log-linearized) and second-generation models, and links the important themes of macrofinance to resilience.
