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作者：Cucic, Dominic; Gorea, Denis
作者单位：Bank for International Settlements (BIS)
摘要：We analyze the role of nonbank lenders in the transmission of monetary policy using data on the universe of unsecured credit to firms and households in Denmark. Nonbanks increase their credit supply after a monetary contraction, both relative to banks and in absolute terms. The increase in nonbank lending is financed through increased long-term debt. A model with segmented debt markets featuring differential investor rate sensitivities rationalizes these findings. Nonbank credit insulates corp...
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作者：Falato, Antonio; Favara, Giovanni; Scharfstein, David
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University
摘要：During the U.S. housing credit boom, publicly traded banks increased mortgage lending activity and relaxed standards much more than privately held banks. The increase in risk had real effects for a variety of county-level aggregates including employment and consumption. Cross-sectional evidence and a quasi-experiment indicate that the increase in risk stemmed from the institutional ownership and the equity compensation of publicly traded banks, in turn leading banks to place greater weight on ...
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作者：Li, Zigang; Van Nieuwerburgh, Stijn; Renxuan, Wang
作者单位：University of Toronto; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; China Europe International Business School
摘要：Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean generates overreaction to forecast revisions and a modest response of forecasts to lagged realizations. Heterogeneity in signals and priors about the long-run mean helps the model account for cross-sectional dispersion in forecasts. Introducing behavioral f...
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作者：Hansen, Peter Reinhard; Tong, Chen
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Xiamen University; Xiamen University
摘要：We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing for...
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作者：Fleckenstein, Quirin; Gopal, Manasa; Gutierrez, German; Hillenbrand, Sebastian
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Georgia; Georgia Institute of Technology; University of Washington; University of Washington Seattle; Harvard University
摘要：We study the contribution of banks and nonbanks to cyclical fluctuations in the supply of syndicated loans. We find that a reduction in nonbank lending explains most of the contraction in syndicated credit and the associated employment losses during the Global Financial Crisis, while banks' contribution is small. Looking over multiple cycles, we find nonbanks' credit supply is roughly three times as cyclical as banks', suggesting that nonbanks are the main drivers of syndicated lending cycles....
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作者：Bessembinder, Hendrik; Chen, Shuaiyu; Cooper, Michael J.; Xue, Jinming; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; University of Virginia; Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：We show that positive flows to active mutual funds with high recent returns partially reverse at longer horizons. This outcome is robust across a broad range of alternative specifications. Reversal occurs from greater outflows associated with high prior returns, not reduced inflows. We test theories to explain the reversal: investment life cycles, tax loss selling, and a behavioral disappointment hypothesis based on investors' overreaction to positive returns. While both tax loss selling and s...
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作者：Bisetti, Emilio; Lewellen, Stefan; Sarkar, Arkodipta; Zhao, Xiao
作者单位：Hong Kong University of Science & Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; European Corporate Governance Institute; National University of Singapore; Shanghai Jiao Tong University
摘要：We examine whether politicians affect local firms' industrial pollution, and whether such effects are transmitted through plant-level networks to affect pollution in other regions. We first document that close Democrat wins in U.S. congressional races are associated with lower emissions and higher abatement at the plant level, especially when politicians have strong pro-environmental preferences. We also find evidence of reallocation: firms shift emissions away from areas represented by Democr...
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作者：Colliard, Jean-Edouard; Gromb, Denis
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：How do resolution frameworks affect the private restructuring of distressed banks? We model a bank's shareholders and creditors negotiating a restructuring, under two frictions: asymmetric information about asset quality and externalities on the government. High-quality banks signal themselves by delaying the negotiation, which is socially inefficient. Public policies can improve welfare if they reduce the signaling motive or increase the negotiation surplus. Stricter bail-in rules make debt m...
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作者：Li, Kai; Mai, Feng; Shen, Rui; Yang, Chelsea; Zhang, Tengfei
作者单位：University of British Columbia; University of Iowa; The Chinese University of Hong Kong, Shenzhen; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick
摘要：We conduct the first large-scale study of how different stakeholder groups assess corporate culture and quantify the economic implications of those differences. We employ generative AI to analyze analyst reports, call transcripts, and employee reviews, and organize the
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作者：Trebbi, Francesco; Ben Zhang, Miao; Simkovic, Michael
作者单位：University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of Southern California; University of Southern California
摘要：A key question for studying business dynamism is whether the costs of regulatory compliance fall homogeneously on small and large businesses. Using comprehensive establishment-level occupational microdata and occupation task information, we quantify a firm's compliance costs as the share of wage bill for performing regulatory compliance tasks (RegIndex). We reveal an inverted-U relationship between firms' RegIndex and their size: On average, RegIndex for mid-sized firms with around 500 employe...
