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作者：Barrot, Jean-Noel; Loualiche, Erik; Plosser, Matthew; Sauvagnat, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - New York; Bocconi University
摘要：We analyze the effect of import competition on household balance sheets using individual data on consumer finances. We exploit variation in local industry exposure to foreign competition to study households' response to the income shock triggered by China's accession to the World Trade Organization. We show that household debt increases significantly in regions where manufacturing industries are more exposed to import competition. The effects are driven by home equity extraction and are concen...
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作者：Meeuwis, Maarten; Parker, Jonathan A.; Schoar, Antoinette; Simester, Duncan
作者单位：Washington University (WUSTL); Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using proprietary financial data on millions of households, we show that likely-Republicans increased the equity share and market beta of their portfolios following the 2016 presidential election, while likely-Democrats rebalanced into safe assets. We provide evidence that this behavior was driven by investors interpreting public information based on different models of the world. We use detailed controls to rule out the main nonbelief-based channels such as income hedging needs, preferences, ...
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作者：Eraker, Bjorn; Yang, Aoxiang
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump-diffusive state dynamics and representative agents endowed with Duffie-Epstein recursive preferences. Our calibrated model replicates consumption, dividends, and asset market data, including VIX futures returns, the average implied volatilities in SPX and VIX options, and first- and higher-order moments of VIX options re...
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作者：Doerr, Sebastian; Gissler, Stefan; Peydro, Jose-Luis; Voth, Hans-Joachim
作者单位：Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); University of Zurich
摘要：Do financial crises radicalize voters? We study Germany's 1931 banking crisis, collecting new data on bank branches and firm-bank connections. Exploiting cross-sectional variation in precrisis exposure to the bank at the center of the crisis, we show that Nazi votes surged in locations more affected by its failure. Radicalization in response to the shock was exacerbated in cities with a history of anti-Semitism. After the Nazis seized power, both pogroms and deportations were more frequent in ...
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作者：Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang
作者单位：Johns Hopkins University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positiv...
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作者：Di Giovanni, Julian; Hale, Galina
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; National Bureau of Economic Research
摘要：We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country-sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empir...
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作者：Auh, Jun Kyung; Landoni, Mattia
作者单位：Yonsei University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We study secured lending contracts using a proprietary, loan-level database of bilateral repurchase agreements containing groups of simultaneous loans backed by multiple tranches within a securitization. We show that lower-quality loans (i.e., loans backed by lower-rated collateral) have higher margins and spreads. We calibrate a model using collateral asset prices and find that lower-quality loans are riskier despite the higher margins, yet cheaper for the borrower. This finding is consistent...
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作者：Barber, Brad M.; Huang, Xing; Odean, Terrance; Schwarz, Christopher
作者单位：University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Berkeley; University of California System; University of California Irvine
摘要：We study the influence of financial innovation by fintech brokerages on individual investors' trading and stock prices. Using data from Robinhood, we find that Robinhood investors engage in more attention-induced trading than other retail investors. For example, Robinhood outages disproportionately reduce trading in high-attention stocks. While this evidence is consistent with Robinhood attracting relatively inexperienced investors, we show that it is also driven in part by the app's unique fe...
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作者：Jermann, Urban J.; Wei, Bin; Yue, Vivian Z.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Center for Economic & Policy Research (CEPR)
摘要：This paper studies China's recent exchange rate policy for the renminbi (RMB). We demonstrate empirically that a two-pillar policy is in place, aiming to balance exchange rate flexibility and RMB index stability via market and basket pillars. We further extend and validate the formulation that incorporates the so-called countercyclical factor. Theoretically, we develop a flexible-price monetary model for the RMB in which the two-pillar policy arises endogenously as an optimal response of the g...
