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What Drives Variation in the U.S. Debt-to-Output Ratio? The Dogs that Did not Bark 是什么导致了美国债务产出比的变化？没有吠叫的狗
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-11 DOI: 10.1111/jofi.13363
ZHENGYANG JIANG, HANNO LUSTIG, STIJN VAN NIEUWERBURGH, MINDY Z. XIAOLAN
{"title":"What Drives Variation in the U.S. Debt-to-Output Ratio? The Dogs that Did not Bark","authors":"ZHENGYANG JIANG,&nbsp;HANNO LUSTIG,&nbsp;STIJN VAN NIEUWERBURGH,&nbsp;MINDY Z. XIAOLAN","doi":"10.1111/jofi.13363","DOIUrl":"10.1111/jofi.13363","url":null,"abstract":"<div>\u0000 \u0000 <p>A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Since the start of the Global Financial Crisis, surplus projections have anticipated a large fiscal correction that failed to materialize.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2603-2665"},"PeriodicalIF":7.6,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141315905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inside and Outside Information 内部和外部信息
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-10 DOI: 10.1111/jofi.13360
DANIEL QUIGLEY, ANSGAR WALTHER
{"title":"Inside and Outside Information","authors":"DANIEL QUIGLEY,&nbsp;ANSGAR WALTHER","doi":"10.1111/jofi.13360","DOIUrl":"10.1111/jofi.13360","url":null,"abstract":"<div>\u0000 \u0000 <p>We study an economy with financial frictions in which a regulator designs a test that reveals outside information about a firm's quality to investors. The firm can also disclose verifiable inside information about its quality. We show that the regulator optimally aims for “public speech and private silence,” which is achieved with tests that give insiders an incentive to stay quiet. We fully characterize optimal tests by developing tools for Bayesian persuasion with incentive constraints, and use these results to derive novel guidance for the design of bank stress tests, as well as benchmarks for socially optimal corporate credit ratings.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2667-2714"},"PeriodicalIF":7.6,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141304636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Money and Banking with Reserves and CBDC 货币银行与储备金和 CBDC
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-05 DOI: 10.1111/jofi.13357
DIRK NIEPELT
{"title":"Money and Banking with Reserves and CBDC","authors":"DIRK NIEPELT","doi":"10.1111/jofi.13357","DOIUrl":"10.1111/jofi.13357","url":null,"abstract":"<div>\u0000 \u0000 <p>We analyze the role of retail central bank digital currency (CBDC) and reserves when banks exert deposit market power and liquidity transformation entails externalities. Optimal monetary architecture minimizes the social costs of liquidity provision, and optimal monetary policy follows modified Friedman rules. Interest rates on reserves and CBDC should differ. Calibrations robustly suggest that CBDC provides liquidity more efficiently than deposits unless the central bank must refinance banks and this is very costly. Accordingly, the optimal share of CBDC in payments tends to exceed that of deposits.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2505-2552"},"PeriodicalIF":7.6,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141265112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Time-Varying Price of Financial Intermediation in the Mortgage Market 抵押贷款市场金融中介的时变价格
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-04 DOI: 10.1111/jofi.13358
ANDREAS FUSTER, STEPHANIE H. LO, PAUL S. WILLEN
{"title":"The Time-Varying Price of Financial Intermediation in the Mortgage Market","authors":"ANDREAS FUSTER,&nbsp;STEPHANIE H. LO,&nbsp;PAUL S. WILLEN","doi":"10.1111/jofi.13358","DOIUrl":"10.1111/jofi.13358","url":null,"abstract":"<div>\u0000 \u0000 <p>We introduce a new measure of the price charged by financial intermediaries for connecting mortgage borrowers with capital market investors. Based on administrative lender pricing data, we document that the price of intermediation reacts strongly to variation in demand, reflecting capacity constraints of mortgage originators. This positive comovement of price with quantity reduced the pass-through of quantitative easing. We also find a notable upward trend in this price between 2008 and 2014, likely due to increased legal and regulatory burden in the mortgage market. The trend led to an implicit cost to borrowers of nearly $100 billion over this period.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2553-2602"},"PeriodicalIF":7.6,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141246407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Ravi Jagannathan 拉维-贾甘纳坦
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-03 DOI: 10.1111/jofi.13359
{"title":"Ravi Jagannathan","authors":"","doi":"10.1111/jofi.13359","DOIUrl":"10.1111/jofi.13359","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2399-2401"},"PeriodicalIF":7.6,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141272740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AMERICAN FINANCE ASSOCIATION 美国金融协会
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-05-04 DOI: 10.1111/jofi.13148
{"title":"AMERICAN FINANCE ASSOCIATION","authors":"","doi":"10.1111/jofi.13148","DOIUrl":"https://doi.org/10.1111/jofi.13148","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2392-2393"},"PeriodicalIF":8.0,"publicationDate":"2024-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140826119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ 您的想法（子）一分钱：跟踪 TAQ 的散户投资者活动
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-05-03 DOI: 10.1111/jofi.13334
BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
{"title":"A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ","authors":"BRAD M. BARBER,&nbsp;XING HUANG,&nbsp;PHILIPPE JORION,&nbsp;TERRANCE ODEAN,&nbsp;CHRISTOPHER SCHWARZ","doi":"10.1111/jofi.13334","DOIUrl":"10.1111/jofi.13334","url":null,"abstract":"<p>We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2403-2427"},"PeriodicalIF":7.6,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13334","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140821472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Spending Less after (Seemingly) Bad News 在收到（看似）坏消息后减少支出
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-04-29 DOI: 10.1111/jofi.13325
MARK J. GARMAISE, YARON LEVI, HANNO LUSTIG
{"title":"Spending Less after (Seemingly) Bad News","authors":"MARK J. GARMAISE,&nbsp;YARON LEVI,&nbsp;HANNO LUSTIG","doi":"10.1111/jofi.13325","DOIUrl":"10.1111/jofi.13325","url":null,"abstract":"<div>\u0000 \u0000 <p>Using high-frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12-month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic conditions. Low-income households display greater excess sensitivity to salience. The decrease in spending is not later reversed. Households in treated areas act as if they are more financially constrained than those in untreated areas with the same fundamentals.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2429-2471"},"PeriodicalIF":7.6,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140808516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is Long-Run Risk Really Priced? Revisiting Liu and Matthies (2022) 长期风险真的定价了吗？重新审视刘和马蒂斯（2022 年）
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-04-22 DOI: 10.1111/jofi.13340
PAULO MAIO
{"title":"Is Long-Run Risk Really Priced? Revisiting Liu and Matthies (2022)","authors":"PAULO MAIO","doi":"10.1111/jofi.13340","DOIUrl":"10.1111/jofi.13340","url":null,"abstract":"<p>The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a combination of questionable empirical choices and misinterpretation of their results. Moreover, the NI model cannot explain prominent capital asset pricing model anomalies not considered in their study.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2885-2900"},"PeriodicalIF":7.6,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13340","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140637558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Rent or Buy? Inflation Experiences and Homeownership within and across Countries 租房还是买房？各国国内和跨国的通胀经历与住房拥有率
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-04-19 DOI: 10.1111/jofi.13332
ULRIKE MALMENDIER, ALEXANDRA STEINY WELLSJO
{"title":"Rent or Buy? Inflation Experiences and Homeownership within and across Countries","authors":"ULRIKE MALMENDIER,&nbsp;ALEXANDRA STEINY WELLSJO","doi":"10.1111/jofi.13332","DOIUrl":"10.1111/jofi.13332","url":null,"abstract":"<div>\u0000 \u0000 <p>We show that past inflation experiences strongly predict homeownership within and across countries. First, we collect novel survey data, which reveal inflation protection to be a key motivation for homeownership, especially after high inflation experiences. Second, using household data from 22 European countries, we find that higher exposure to historical inflation predicts higher homeownership rates. We estimate similar associations among immigrants to the United States who experienced different past inflation in their home countries but face the same U.S. housing market. Consistent with the experience effects model, the relationship is strongest in countries with predominantly fixed-rate mortgages.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"1977-2023"},"PeriodicalIF":8.0,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140622863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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