-
作者：Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; Lund University; Monash University; Centre for Economic Policy Research - UK; Research Institute of Industrial Economics (IFN); IZA Institute Labor Economics
摘要：This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume of 23% for the bottom 50% of the wealth distribution and about 3% for the top 30% of the wealth distribution. Household consumption is significantly more responsive to dividend payouts across all parts of...
-
作者：Shkilko, Andriy; Sokolov, Konstantin
作者单位：Wilfrid Laurier University; University of Memphis
摘要：Modern markets are characterized by speed differentials, with some traders being fractions of a second faster than others. Theoretical models suggest that such differentials may have both positive and negative effects on liquidity and gains from trade. We examine these effects by studying a series of exogenous weather episodes that temporarily remove the speed advantages of the fastest traders by disrupting their microwave networks. The disruptions are associated with lower adverse selection a...
-
作者：Goldstein, Itay; Huang, Chong
作者单位：University of Pennsylvania; University of California System; University of California Irvine
摘要：We analyze credit rating effects on firm investments in a rational bond financing game that features a feedback loop. The credit rating agency (CRA) inflates the rating, providing a biased but informative signal to creditors. Creditors' response to the rating affects the firm's investment decision and thus its credit quality, which is reflected in the rating. The CRA might reduce ex ante economic efficiency, which results solely from its strategic effect: the CRA assigns more firms high rating...
-
作者：Huang, Yi; Pagano, Marco; Panizza, Ugo
作者单位：Centre for Economic Policy Research - UK; University of Naples Federico II
摘要：In China, between 2006 and 2013, local public debt crowded out the investment of private firms by tightening their funding constraints while leaving state-owned firms' investment unaffected. We establish this result using a purpose-built data set for Chinese local public debt. Private firms invest less in cities with more public debt, with the reduction in investment larger for firms located farther from banks in other cities or more dependent on external funding. Moreover, in cities where pub...
-
作者：Brauning, Falk; Ivashina, Victoria
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：When central banks adjust interest rates, the opportunity cost of lending in local currency changes, but-absent frictions-there is no spillover effect to lending in other currencies. However, when equity capital is limited, global banks must benchmark domestic and foreign lending opportunities. We show that, in equilibrium, the marginal return on foreign lending is affected by the interest rate differential, with lower domestic rates leading to an increase in local lending, at the expense of a...
-
作者：Diamond, William
作者单位：University of Pennsylvania
摘要：This paper studies how a financial system that is organized to efficiently create safe assets responds to macroeconomic shocks. Financial intermediaries face a cost of bearing risk, so they choose the least risky portfolio that backs their issuance of riskless deposits: a diversified pool of nonfinancial firms' debt. Nonfinancial firms choose their capital structure to exploit the resulting segmentation between debt and equity markets. Increased safe asset demand yields larger and riskier inte...
-
作者：Barrot, Jean-Noel; Nanda, Ramana
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University; Imperial College London
摘要：We study the impact ofQuickpay, a reform that permanently accelerated payments to small business contractors of the U.S. government. We find a strong direct effect of the reform on employment growth at the firm level. However, we document substantial crowding out of nontreated firms' employment within local labor markets. While the overall net employment effect is positive, it is close to zero in tight labor markets. Our results highlight an important channel for alleviating financing constrai...
-
作者：Wardlaw, Malcolm
作者单位：University System of Georgia; University of Georgia
摘要：A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate nonfundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that is inadvertently a direct function of a stock's actual realized return during the outflow quarter, raising doubts about its orthogonality to fundamentals. After removing these direct measurements of ret...
-
作者：Du, Wenxin; Pflueger, Carolin E.; Schreger, Jesse
作者单位：University of Chicago; National Bureau of Economic Research; Columbia University
摘要：We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy commitment. A government without commitment chooses excessively countercyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too expensi...
-
作者：Bahaj, Saleem; Malherbe, Frederic
作者单位：University of London; University College London
摘要：Government guarantees generate an implicit subsidy for banks. A capital requirement reduces this subsidy, through a simple liability composition effect. However, the guarantees also make a bank undervalue loans that generates surplus in states of the world in which it defaults. Raising the capital requirement makes the bank safer, which alleviates this problem. We refer to this mechanism, which we argue is empirically relevant, as theforced safety effect.
