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作者：Ru, Hong
作者单位：Nanyang Technological University
摘要：Using proprietary data from the China Development Bank (CDB), this paper examines the effects of government credit on firm activities. Tracing the effects of government credit across different levels of the supply chain, I find that CDB industrial loans to state-owned enterprises (SOEs) crowd out private firms in the same industry but crowd in private firms in downstream industries. On average, a $1 increase in CDB SOE loans leads to a $0.20 decrease in private firms' assets. Moreover, CDB inf...
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作者：Admati, Anat R.; DeMarzo, Peter M.; Hellwig, Martin F.; Pfleiderer, Paul
作者单位：Stanford University; Max Planck Society
摘要：Firms' inability to commit to future funding choices has profound consequences for capital structure dynamics. With debt in place, shareholders pervasively resist leverage reductions no matter how much such reductions may enhance firm value. Shareholders would instead choose to increase leverage even if the new debt is junior and would reduce firm value. These asymmetric forces in leverage adjustments, which we call the leverage ratchet effect, cause equilibrium leverage outcomes to be history...
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作者：Dow, James; Han, Jungsuk
作者单位：University of London; London Business School; Stockholm School of Economics
摘要：How can fire sales for financial assets happen when the economy contains well-capitalized but nonspecialist investors? Our explanation combines rational expectations equilibrium and lemons models. When specialist (informed) market participants are liquidity-constrained, prices become less informative. This creates an adverse selection problem, decreasing the supply of high-quality assets, and lowering valuations by nonspecialist (uninformed) investors, who become unwilling to supply capital to...
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作者：Verdelhan, Adrien
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high-minus-low carry trade factor built from portfolios of countries sorted by their interest rates. The two high-minus-low risk factors account for 18% to 80% of the monthly exchange rate movements. The two...
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作者：Abel, Andrew B.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：I develop a dynamic model of leverage with tax deductible interest and an endogenous cost of default. The interest rate includes a premium to compensate lenders for expected losses in default. A borrowing constraint is generated by lenders' unwillingness to lend an amount that would trigger immediate default. When the borrowing constraint is not binding, the trade-off theory of debt holds: optimal debt equates the marginal interest tax shield and the marginal expected cost of default. Contrary...
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作者：Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei
作者单位：University of Oxford; Bocconi University; Bocconi University; Harvard University
摘要：We present a model of credit cycles arising from diagnostic expectationsa belief formation mechanism based on Kahneman and Tversky's representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework...
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作者：Karolyi, Stephen Adam
作者单位：Carnegie Mellon University
摘要：I identify the effects of personal relationships on loan contracting using executive deaths and retirements at other firms as a source of exogenous variation in executive turnover. After plausibly exogenous turnover, borrowers choose lenders with which their new executives have personal relationships 4.1 times as frequently, and loans from these lenders have 20 basis points lower spreads and 12.5% larger amounts. Personal relationships benefit firms across loan terms, especially during macroec...
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作者：Bai, Jennie; Krishnamurthy, Arvind; Weymuller, Charles-Henri
作者单位：Georgetown University; Stanford University; National Bureau of Economic Research
摘要：This paper constructs a liquidity mismatch index (LMI) to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities, for 2,882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from +$4 trillion precrisis to -$6 trillion in 2008. We conduct an LMI stress test revealing the fragility of the banking system in early 2007. Moreover, LMI predicts a bank's stock market crash probability and borrowing decisions from the government during th...
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作者：Anderson, Ronald W.; Bustamante, M. Cecilia; Guibaud, Stephane; Zervos, Mihail
作者单位：University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
摘要：We study managerial incentive provision under moral hazard when growth opportunities arrive stochastically and pursuing them requires a change in management. A trade-off arises between the benefit of always having the right manager and the cost of incentive provision. The prospect of growth-induced turnover limits the firm's ability to rely on deferred pay, resulting in more front-loaded compensation. The optimal contract may insulate managers from the risk of growth-induced dismissal after pe...
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作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk-tolerant agents (banks) borrow from risk-averse agents (i.e., take deposits) to fund levered investments. Leverage exposes banks to funding risk, which they insure by holding liquidity buffers. By changing the nominal rate the central bank influences the liquidity premium, and hence the cost of taking leverage. Lower nominal rates make liquidity cheaper and raise le...
