作者：Drechsler, Itamar; Drechsel, Thomas; Marques-Ibanez, David; Schnabl, Philipp
作者单位：National Bureau of Economic Research; European Central Bank; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
摘要：We analyze lender of last resort (LOLR) lending during the European sovereign debt crisis. Using a novel data set on all central bank lending and collateral, we show that weakly capitalized banks took out more LOLR loans and used riskier collateral than strongly capitalized banks. We also find that weakly capitalized banks used LOLR loans to buy risky assets such as distressed sovereign debt. This resulted in a reallocation of risky assets from strongly to weakly capitalized banks. Our finding...
作者：Kelly, Bryan; Pastor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated with politi...
