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作者：Du, Wenxin; Schreger, Jesse
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Princeton University
摘要：We introduce a new measure of emerging market sovereign credit risk: the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross-currency swaps. We find that local currency credit spreads are positive and sizable. Compared with credit spreads on foreign-currency-denominated debt, local currency credit spreads have lower means, lower cross-country correlations, and lower sensitivity to global risk facto...
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作者：Engelberg, Joseph; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego
摘要：Using individual patient records for every hospital in California from 1983 to 2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, and major depression. The effect is nearly instantaneous (within the same day) for psychological conditions, suggesting that anticipation over future consumption directly influences instantaneous utility.
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作者：Cieslak, Anna; Povala, Pavol
作者单位：Duke University; University of London
摘要：Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia before recessions and during asset market distress. Correlation between shocks to premia and shocks to short-rate expectations is close to zero on average and varies with the monetary policy stance. While Treasuries are nearly unexposed to variance sho...
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作者：He, Zhiguo; Manela, Asaf
作者单位：University of Chicago; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an endogenous aggregate withdrawal speed and bank survival time. Private information acquisition about liquidity can subject solvent-but-il...
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作者：Korteweg, Arthur; Nagel, Stefan
作者单位：University of Southern California; University of Michigan System; University of Michigan; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We adapt stochastic discount factor (SDF) valuation methods for venture capital (VC) performance evaluation. Our approach generalizes the popular Public Market Equivalent (PME) method and allows statistical inference in the presence of crosssectionally dependent, skewed VC payoffs. We relax SDF restrictions implicit in the PME so that the SDF can accurately reflect risk-free rates and returns of public equity markets during the sample period. This generalized PME yields substantially different...
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作者：Ramcharan, Rodney; Verani, Stephane; Van den Heuvel, Skander J.
作者单位：University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：HOW DID THE COLLAPSE of the asset-backed securities (ABS) market during the 2007 to 2009 financial crisis affect the supply of credit to the broader economy? Using new data on the U.S. credit union industry, we find that ABS-related losses are associated with a large contraction in the supply of credit to consumers, especially among those credit unions that began the crisis with weaker capitalization. We also find that this credit supply shock restricted the availability of mortgage and automo...
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作者：Cerqueiro, Geraldo; Ongena, Steven; Roszbach, Kasper
作者单位：Universidade Catolica Portuguesa; University of Zurich; Centre for Economic Policy Research - UK; Sveriges Riksbank; University of Groningen
摘要：We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders tomonitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening credit limits, and reducing the intensity of its monitoring of borrowers and collateral, spurring borrower delinq...
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作者：Koudijs, Peter
作者单位：Stanford University; National Bureau of Economic Research
摘要：What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18th century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence suggests that...
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作者：Fang, Vivian W.; Huang, Allen H.; Karpoff, Jonathan M.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Hong Kong University of Science & Technology; University of Washington; University of Washington Seattle
摘要：During 2005 to 2007, the SEC ordered a pilot program in which one-third of the Russell 3000 index were arbitrarily chosen as pilot stocks and exempted from shortsale price tests. Pilot firms' discretionary accruals and likelihood of marginally beating earnings targets decrease during this period, and revert to pre-experiment levelswhen the program ends. After the program starts, pilot firms are more likely to be caught for fraud initiated before the program, and their stock returns better inco...
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作者：Gilje, Erik P.; Loutskina, Elena; Strahan, Philip E.
作者单位：University of Pennsylvania; University of Virginia; Boston College; National Bureau of Economic Research
摘要：Using exogenous liquidity windfalls from oil and natural gas shale discoveries, we demonstrate that bank branch networks help integrate U.S. lending markets. Banks exposed to shale booms enjoy liquidity inflows, which increase their capacity to originate and hold new loans. Exposed banks increase mortgage lending in nonboom counties, but only where they have branches and only for hard-to-securitize mortgages. Our findings suggest that contracting frictions limit the ability of arm's length fin...
