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作者：Larrain, Mauricio; Stumpner, Sebastian
作者单位：Columbia University; Pontificia Universidad Catolica de Chile; Universite de Montreal
摘要：We study the effects of capital account liberalization on firm capital allocation and aggregate productivity in 10 Eastern European countries. Using a large firm-level data set, we show that capital account liberalization decreases the dispersion in the return to capital across firms, particularly in sectors more dependent on external finance. We provide evidence that capital account liberalization improves capital allocation by allowing financially constrained firms to demand more capital and...
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作者：Brown, J. David; Earle, John S.
作者单位：George Mason University; IZA Institute Labor Economics
摘要：We analyze linked databases on all SBA loans and lenders and on all U.S. employers to estimate the effects of financial access on employment growth. Estimation exploits the long panels and variation in local availability of SBA-intensive lenders. The results imply an increase of 3-3.5 jobs for each million dollars of loans, suggesting real effects of credit constraints. Estimated impacts are stronger for younger and larger firms and when local credit conditions are weak, but we find no clear e...
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作者：Constantinides, George M.; Ghosh, Anisha
作者单位：University of Chicago; National Bureau of Economic Research; Carnegie Mellon University
摘要：We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend...
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作者：Du, Songzi; Zhu, Haoxiang
作者单位：Simon Fraser University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We study the design of credit default swaps (CDS) auctions, which determine the payments by CDS sellers to CDS buyers following defaults of bonds. Using a simple model, we find that the current design of CDS auctions leads to biased prices and inefficient allocations. This is because various restrictions imposed in CDS auctions prevent certain investors from participating in the price discovery and allocation process. The imposition of a price cap or floor also gives dealers large influence on...
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作者：Ready, Robert; Roussanov, Nikolai; Ward, Colin
作者单位：University of Oregon; University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Persistent interest rate differentials account for much of the currency carry trade profitability. Commodity currencies offer high interest rates on average, while countries that export finished goods tend to have low interest rates. We develop a general equilibrium model of international trade and currency pricing where countries have an advantage in producing either basic inputs or final goods. In the model, domestic production insulates commodity-producing countries from global productivity...
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作者：Adelino, Manuel; Ma, Song; Robinson, David
作者单位：Duke University; Yale University; National Bureau of Economic Research
摘要：New firms are an important source of job creation, but the underlying economic mechanisms for why this is so are not well understood. Using an identification strategy that links shocks to local income to job creation in the nontradable sector, we ask whether job creation arises more through new firm creation or through the expansion of existing firms. We find that new firms account for the bulk of net employment creation in response to local investment opportunities. We also find significant g...
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作者：Bernile, Gennaro; Bhagwat, Vineet; Rau, P. Raghavendra
作者单位：Singapore Management University; University of Oregon; University of Cambridge
摘要：The literature on managerial style posits a linear relation between a chief executive officer's (CEOs) past experiences and firm risk. We show that there is a nonmonotonic relation between the intensity of CEOs' early-life exposure to fatal disasters and corporate risk-taking. CEOs who experience fatal disasters without extremely negative consequences lead firms that behave more aggressively, whereas CEOs who witness the extreme downside of disasters behave more conservatively. These patterns ...
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作者：Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
作者单位：Northwestern University; Johns Hopkins University
摘要：We study short-maturity (weekly) S&P 500 index options, which provide a direct way to analyze volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel seminonparametric approach, we uncover variation in the negative jump tail risk, which is not spanned by market volatility and helps predict future equity returns. As such, our approach allows for easy identification of periods of height...
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作者：Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; Majlesi, Kaveh
作者单位：University of Texas System; University of Texas Austin; Norwegian School of Economics (NHH); IZA Institute Labor Economics; National Bureau of Economic Research; University College Dublin; Center for Economic & Policy Research (CEPR); Lund University
摘要：Financial investment behavior is highly correlated between parents and their children. Using Swedish data, we find that the decision of adoptees to hold equities is associated with the behavior of both biological and adoptive parents, implying a role for both genetic and environmental influences. However, we find that nurture has a stronger influence on the share of financial assets invested in equities and on portfolio volatility, suggesting that financial risk-taking is substantially environ...
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作者：Favara, Giovanni; Giannetti, Mariassunta
作者单位：Stockholm School of Economics
摘要：We provide evidence that lenders differ in their ex post incentives to internalize price-default externalities associated with the liquidation of collateralized debt. Using the mortgage market as a laboratory, we conjecture that lenders with a large share of outstanding mortgages on their balance sheets internalize the negative spillovers associated with the liquidation of defaulting mortgages and thus are less inclined to foreclose. We provide evidence consistent with our conjecture. Arguably...
