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作者：Zhong, Hongda
作者单位：University of London; London School Economics & Political Science
摘要：Borrowing from multiple creditors exposes firms to rollover risk due to coordination problems among creditors, but it also improves firms' repayment incentives, thereby increasing pledgeability. Based on this trade-off, I develop a dynamic debt rollover model to analyze the evolution of creditor dispersion. Consistent with empirical evidence, I find that firms optimally increase creditor dispersion after poor performance. In contrast, cross-sectionally higher-growth firms can support more disp...
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作者：Cenedese, Gino; Della Corte, Pasquale; Wang, Tianyu
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Bank of England; Tsinghua University
摘要：We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique data set of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the U.K. leverage ratio framework. Dealers who are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This fi...
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作者：Lustig, Hanno
作者单位：Stanford University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
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作者：Diep, Peter; Eisfeldt, Andrea L.; Richardson, Scott
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School
摘要：We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be ...
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作者：Whited, Toni M.; Zhao, Jake
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：We estimate real losses arising from the cross-sectional misallocation of financial liabilities. Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States. Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with onl...
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作者：Bernstein, Shai; Mcquade, Timothy; Townsend, Richard R.
作者单位：Harvard University; National Bureau of Economic Research; Stanford University; University of California System; University of California San Diego
摘要：We investigate how the deterioration of household balance sheets affects worker productivity, and in turn economic downturns. Specifically, we compare the output of innovative workers who experienced differential declines in housing wealth during the financial crisis but were employed at the same firm and lived in the same metropolitan area. We find that, following a negative wealth shock, innovative workers become less productive and generate lower economic value for their firms. The reductio...
