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作者：Fedyk, Anastassia; Kakhbod, Ali; Li, Peiyao; Malmendier, Ulrike
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：AI promises to accelerate and broaden access to automated investment advice. But can it capture the investment preferences and rationales of historically underrepresented investors? We ask 1272 human survey respondents and 1350 AI-generated agents to rate stocks, bonds, and cash. First, default AI-generated responses overrepresent young, high-income individuals. However, algorithmic bias is reduced with demographically-seeded prompts. Second, AI-generated free-form responses correctly reflect ...
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作者：Liu, Jiageng; Makarov, Igor; Schoar, Antoinette
作者单位：Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We examine the dramatic collapse of the Terra blockchain in May 2022. Using granular blockchain data, we show that the run resulted from the interaction of three economic forces: subsidized money creation, real-time observability of transactions, and investor concentration. The early success of Terra's algorithmic stablecoin, UST, was fueled by highly subsidized deposit rates, which attracted many investors but failed to engage them meaningfully with other services. Blockchain transparency all...
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作者：Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo
作者单位：Aalto University; University of New South Wales Sydney; University of Basel; Swiss Finance Institute (SFI)
摘要：Deviations from covered interest rate parity (CIP) are often linked to limits to arbitrage, yet trading volumes surge during periods of apparent no-arbitrage violations. We show that these distortions stem from constraints on non-U.S. agents' access to wholesale U.S. dollar markets and reflect a premium for unencumbered synthetic dollar funding: non-U.S. banks substitute secured USD borrowing with FX swaps to meet regulatory requirements. A shadow cost-augmented CIP condition holds, implying n...
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作者：Loualiche, Erik; Pecora, Alexandre R.; Somogyi, Fabricius; Ward, Colin
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University; Northeastern University; University of Alberta
摘要：We show that US monetary policy is transmitted internationally through the factor structure of exchange rates. Following an easing of monetary policy, investment funds sell safe and buy risky currencies. Global US banks, similarly, tilt their distribution of foreign loan origination toward currencies with greater systematic currency risk. The effects of monetary policy on currency flows and loans persist for several months and feed into the leverage and real investment decisions of firms and, ...
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作者：Maingi, Quinn
作者单位：University of Southern California
摘要：I develop and estimate a quantitative spatial model featuring banks' spatial lending networks to study the real effects of bank funding shocks. I apply the model to the 2023 regional bank panic. I show that, during the panic, deposits were reallocated towards regional banks with better marginal lending opportunities, which offered higher deposit rates. This reallocation substantially mitigated the otherwise negative aggregate output effects of the remaining, panic-related deposit flows. This p...
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作者：Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper Meisner; Peijnenburg, Kim
作者单位：Copenhagen Business School; Centre for Economic Policy Research - UK; National University of Singapore; Tilburg University
摘要：We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase stocks with higher past returns. Forecast bias is negatively associated with capital gains of sold stocks. Forecast bias also explains investor heterogeneity in the relation between market returns and net...
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作者：Li, Dan; Petrasek, Lubomir; Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We show that self-imposed risk limits significantly constrain dealers' risk-taking and Treasury market intermediation, especially during market stress. Dealers near value-at-risk (VaR) limits reduce positions and demand higher compensation for risk. During March 2020, constrained dealers sold more Treasuries to the Fed at lower prices and provided less liquidity to clients. An aggregate measure of dealer VaR constraints closely tracks Treasury market illiquidity. Our findings offer a micro-fou...
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作者：Cassella, Stefano; Rizzo, A. Emanuele; Spalt, Oliver G.; Zimmerer, Leah
作者单位：Tilburg University; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); University of Mannheim
摘要：We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative pr...
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作者：D'amico, Stefania; Klausmann, Johannes; Pancost, N. Aaron
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Houston System; University of Houston; University of Texas System; University of Texas Austin
摘要：Exploiting the twin structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors' green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market pric...
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作者：Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We use newspapers to create Equity Market Volatility (EMV) trackers at daily and monthly frequencies. Our headline EMV tracker moves closely with the VIX and the S&P500 returns volatility in and out of sample. We exploit the volume of newspaper text to construct forty category-specific EMV trackers. News about commodity markets, interest rates, real estate markets, aggregate activity, and inflation figure prominently in EMV articles. Policy news is another major source of market volatility: 30...
