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作者：Chen, Hui; Didisheim, Antoine; Scheidegger, Simon
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Lausanne; University of London; London School Economics & Political Science; University of Melbourne
摘要：We introduce deep surrogates - high-precision approximations of structural models based on deep neural networks, which speed up model evaluation and estimation by orders of magnitude and allow for various compute-intensive applications that were previously infeasible. As an application, we build a deep surrogate for a high-dimensional workhorse option pricing model. The surrogate enables us to re-estimate the model at high frequency to construct an option-implied tail risk measure, which is hi...
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作者：Eren, Egemen; Malamud, Semyon; Zhou, Haonan
作者单位：Bank for International Settlements (BIS); Swiss Federal Institutes of Technology Domain; Swiss Finance Institute (SFI); Ecole Polytechnique Federale de Lausanne; University of Hong Kong
摘要：Firms often expose themselves to currency risk by borrowing in foreign currencies, even when the local currency actually provides a better hedge in downturns. Motivated by this novel fact, we develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique separating equilibrium, good firms optimally expose themselves to currency risk to signal their type. Crucially, the nature of this equilibrium depends on...
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作者：Clara, Nuno; Cocco, Joao F.; Naaraayanan, S. Lakshmi; Sharma, Varun
作者单位：Duke University; University of London; London Business School; Pennsylvania State System of Higher Education (PASSHE); Indiana University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：Operation of residential buildings is responsible for roughly 22% of global energy consumption and 17% of CO2 emissions. We study the investments triggered by a regulatory intervention requiring rented properties to satisfy minimum energy efficiency standards. The analysis shows significant investments in low capital expenditure retrofits. Using an instrumented difference-in-differences methodology, we show that the investments do not have an economically significant impact on rents, so that l...
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作者：Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T.
作者单位：University of Southern California; Center for Economic & Policy Research (CEPR); University of Surrey; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Can governments use real bonds such as Treasury Inflation-Protected Securities (TIPS) to tame inflation? We propose a novel framework of optimal debt management with sticky prices and a government issuing nominal and real state-uncontingent bonds. A government debt portfolio with both nominal and real bonds helps completing markets unless the monetary policy stance renders them perfect substitutes. Under Full Commitment, the government borrows with nominal debt and accumulates real assets, to ...
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作者：Li, Wenhao; Ma, Yiming; Zhao, Yang
作者单位：University of Southern California; Columbia University; National Bureau of Economic Research
摘要：We demonstrate the passthrough of Treasury supply to bank deposits through bank market power. We show that a larger Treasury supply crowds out deposits with disproportionate effects in more competitive deposit markets. A larger Treasury supply further curtails bank lending and affects bank funding structure. The explanatory power of Treasury supply is not driven by other shocks to deposit demand and supply. In comparison, monetary policy rate hikes have a larger impact on deposit funding in mo...
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作者：Bittner, Christian; Fecht, Falko; Pala, Melissa; Saidi, Farzad
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Frankfurt School Finance & Management; University of Bonn
摘要：How do bank networks facilitate information flows that shape market outcomes? Using international banks' advisory activities in corporate takeovers as their source of private information, we show in supervisory data that banks with closer ties to the target, but not the acquirer, advisor trade profitably in the target's stock prior to the deal announcement. This trading behavior is associated with a higher premium paid without compromising deal success. As connected banks' incentives are align...
