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作者：Schneider, Andres
作者单位：Federal Reserve System - USA
摘要：I propose a general equilibrium model with heterogeneous investors to explain the key properties of the U.S. real and nominal term structure of interest rates. I find that differences in investors' elasticities of intertemporal substitution are critical in accounting for the dynamics of nominal and real yields. The nominal term structure is driven primarily by real shocks so that it can be upward sloping regardless of the correlation between nominal and real shocks.
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作者：Chang, Yen-cheng; Hsiao, Pei-jie; Ljungqvist, Alexander; Tseng, Kevin
作者单位：National Taiwan University; National Taiwan University; Research Institute of Industrial Economics (IFN); Stockholm School of Economics; Swedish House of Finance; Centre for Economic Policy Research - UK
摘要：We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion als...
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作者：Bennedsen, Morten; Simintzi, Elena; Tsoutsoura, Margarita; Wolfenzon, Daniel
作者单位：University of Copenhagen; INSEAD Business School; University of North Carolina; University of North Carolina Chapel Hill; Center for Economic & Policy Research (CEPR); Washington University (WUSTL); National Bureau of Economic Research; Columbia University
摘要：We examine the effect of pay transparency on the gender pay gap and firm outcomes. Using a 2006 legislation change in Denmark that requires firms to provide gender-disaggregated wage statistics, detailed employee-employer administrative data, and difference-in-differences and difference-in-discontinuities designs, we find that the law reduces the gender pay gap, primarily by slowing wage growth for male employees. The gender pay gap declines by 2 percentage points, or 13% relative to the prele...
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作者：Hoffmann, Florian; Inderst, Roman; Opp, Marcus
作者单位：KU Leuven; Goethe University Frankfurt; Center for Economic & Policy Research (CEPR); Stockholm School of Economics
摘要：We analyze the effects of regulatory interference in compensation contracts, focusing on recent mandatory deferral and clawback requirements restricting incentive compensation of material risk-takers in the financial sector. Moderate deferral requirements have a robustly positive effect on risk-management effort only if the bank manager's outside option is sufficiently high; otherwise, their effectiveness depends on the dynamics of information arrival. Stringent deferral requirements unambiguo...
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作者：Gyongyosi, Gyozo; Verner, Emil
作者单位：Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW); Massachusetts Institute of Technology (MIT)
摘要：We study the impact of debtor distress on support for a populist far-right political party during a financial crisis. Our empirical approach exploits variation in exposure to foreign currency household loans during a currency crisis in Hungary. Foreign currency debt exposure leads to a large, persistent increase in support for the populist far right. We document that the far right advocated for foreign currency debtors' interests by proposing aggressive debt relief and was rewarded with suppor...
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作者：Friewald, Nils; Nagler, Florian; Wagner, Christian
作者单位：Norwegian School of Economics (NHH); Center for Economic & Policy Research (CEPR); Bocconi University; Bocconi University; Vienna University of Economics & Business
摘要：This paper presents empirical evidence that the maturity structure of financial leverage affects the cross-section of equity returns. We find that short-term leverage is associated with a positive premium, whereas long-term leverage is not. The premium for short-term compared to long-term leverage reflects higher exposure of equity to systematic risk. To rationalize our findings, we show that the same patterns emerge in a model of debt rollover risk with endogenous leverage and debt maturity c...
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作者：Chinco, Alex; Hartzmark, Samuel M.; Sussman, Abigail B.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of Chicago; National Bureau of Economic Research
摘要：Textbook models assume that investors try to insure against bad states of the world associated with specific risk factors when investing. This is a testable assumption and we develop a survey framework for doing so. Our framework can be applied to any risk factor. We demonstrate the approach using consumption growth, which makes our results applicable to most modern asset-pricing models. Participants respond to changes in the mean and volatility of stock returns consistent with textbook models...
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作者：Gurkaynak, Refet; Karasoy-can, Hatice Gokce; Lee, Sang Seok
作者单位：Ihsan Dogramaci Bilkent University; Center for Economic & Policy Research (CEPR); Central Bank of the Republic of Turkey
摘要：We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks accordingly. Stock price reactions to monetary policy announcements depend on the type and maturity of debt issued by the firms and the forward guidance provided by the Fed, both at and away from the zero lower bound. Further, the marginal stock market participant knows the current liability structures of firms and does not rely on rules of thumb. The cas...
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作者：Wang, Yifei; Whited, Toni M.; Wu, Yufeng; Xiao, Kairong
作者单位：Cornerstone Research; University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Columbia University
摘要：We quantify the impact of bank market power on monetary policy transmission through banks to borrowers. We estimate a dynamic banking model in which monetary policy affects imperfectly competitive banks' funding costs. Banks optimize the pass-through of these costs to borrowers and depositors, while facing capital and reserve regulation. We find that bank market power explains much of the transmission of monetary policy to borrowers, with an effect comparable to that of bank capital regulation...
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作者：Graham, John R.
作者单位：Duke University; National Bureau of Economic Research
摘要：This paper uses surveys to document CFO perspectives on corporate planning, investment, capital structure, payout, and shareholder versus stakeholder focus. Comparing policy decisions today to those 20 years ago, I find that companies employ decision rules that are conservative, sticky, and geared to time the market; rely on internal forecasts that are miscalibrated and considered reliable only two years ahead; and emphasize corporate objectives that focus increasingly on stakeholders and reve...
