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Shocked by Bank Funding Shocks: Evidence from Consumer Credit Cards 受到银行资金冲击的冲击:来自消费者信用卡的证据
IF 8.2 1区 经济学
Review of Financial Studies Pub Date : 2023-05-08 DOI: 10.1093/rfs/hhad039
S. Chava, Rohan Ganduri, N. Paradkar, Linghang Zeng
{"title":"Shocked by Bank Funding Shocks: Evidence from Consumer Credit Cards","authors":"S. Chava, Rohan Ganduri, N. Paradkar, Linghang Zeng","doi":"10.1093/rfs/hhad039","DOIUrl":"https://doi.org/10.1093/rfs/hhad039","url":null,"abstract":"\u0000 Using the near universe of U.S. consumer credit cards, we show that banks transmit their wholesale funding shocks to consumers by reducing their credit card limits. Credit-constrained consumers who are unable to hedge against the transmitted shock by accessing other credit cards experience a stronger and more persistent reduction in aggregate credit card limits at the consumer level. Consequently, these credit-constrained consumers reduce their aggregate credit card borrowing. Our results document a credit card lending channel for the transmission of adverse bank shocks and show who bears the costs of fragile bank funding structures.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":" ","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41987725","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: 1
Sea-Level Rise Exposure and Municipal Bond Yields 海平面上升风险敞口和市政债券收益率
1区 经济学
Review of Financial Studies Pub Date : 2023-05-08 DOI: 10.1093/rfs/hhad041
Paul Goldsmith-Pinkham, Matthew T Gustafson, Ryan C Lewis, Michael Schwert
{"title":"Sea-Level Rise Exposure and Municipal Bond Yields","authors":"Paul Goldsmith-Pinkham, Matthew T Gustafson, Ryan C Lewis, Michael Schwert","doi":"10.1093/rfs/hhad041","DOIUrl":"https://doi.org/10.1093/rfs/hhad041","url":null,"abstract":"Abstract Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013, coinciding with upward revisions to worst-case SLR projections and accompanying uncertainty around these projections. The effect is larger for long-maturity bonds and not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish between the effects of underlying asset values and of uncertainty. The SLR exposure premium exhibits a trend different from house prices and is unaffected by house price controls. Together, our results highlight the importance of climate uncertainty in driving municipal bond prices. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135806616","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: 7
Adjusting to Macroprudential Policies: Loan-to-Value Limits and Housing Choice 调整宏观审慎政策:贷款价值限额和住房选择
IF 8.2 1区 经济学
Review of Financial Studies Pub Date : 2023-05-04 DOI: 10.1093/rfs/hhad035
Nitzan Tzur-Ilan
{"title":"Adjusting to Macroprudential Policies: Loan-to-Value Limits and Housing Choice","authors":"Nitzan Tzur-Ilan","doi":"10.1093/rfs/hhad035","DOIUrl":"https://doi.org/10.1093/rfs/hhad035","url":null,"abstract":"\u0000 This study provides novel evidence regarding the effects of loan-to-value (LTV) limits on housing choices. Using a detailed loan-level dataset, I exploit the introduction of LTV limits in Israel. I find that the LTV limits led borrowers to choose housing units that were more affordable, farther from the central business district, and in lower socioeconomic neighborhoods. Additionally, these LTV limits increase interest rates and decrease loan amounts. The findings of this study indicate that macroprudential policies, which focus on the stability of the financial system, have micro implications on location choices, commuting costs, and movement to less-advantaged areas.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":" ","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46718775","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: 2
Measuring the Expected Effects of the Global Tax Reform 衡量全球税制改革的预期效果
IF 8.2 1区 经济学
Review of Financial Studies Pub Date : 2023-05-04 DOI: 10.1093/rfs/hhad038
Roberto Gómez-Cram, Marcel Olbert
{"title":"Measuring the Expected Effects of the Global Tax Reform","authors":"Roberto Gómez-Cram, Marcel Olbert","doi":"10.1093/rfs/hhad038","DOIUrl":"https://doi.org/10.1093/rfs/hhad038","url":null,"abstract":"\u0000 Over 140 countries agreed on a fundamental corporate tax reform in 2021 to be implemented in 2023 and beyond. To measure its potential effects, we study asset price changes within minutes of the reform announcements. We construct proxies for the reform’s costs regarding U.S. companies’ tax burdens and countries’ public finances. Likely exposed companies exhibit significant negative stock returns. Our lower-bound estimates indicate total shareholder value losses of $112.6 billion one day after the reform announcements. Further, likely exposed countries experience increases in sovereign debt credit risk. Our findings inform the cost-benefit analysis of a historical international tax reform.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"1 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"61122742","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: 1
Financial Crises and the Transmission of Monetary Policy to Consumer Credit Markets 金融危机和货币政策对消费信贷市场的传导
1区 经济学
Review of Financial Studies Pub Date : 2023-05-04 DOI: 10.1093/rfs/hhad036
Sasha Indarte
{"title":"Financial Crises and the Transmission of Monetary Policy to Consumer Credit Markets","authors":"Sasha Indarte","doi":"10.1093/rfs/hhad036","DOIUrl":"https://doi.org/10.1093/rfs/hhad036","url":null,"abstract":"Abstract How does creditor health affect the pass-through of monetary policy to households? Using data on the universe of U.S. credit unions, I document that creditor asset losses increase the sensitivity of consumer credit to monetary policy. Identification exploits plausibly exogenous variation in asset losses and high-frequency identification of monetary policy shocks. Weaker lenders can respond more if they face financial frictions that easing alleviates. The estimates imply constraints on monetary policy become more costly in financial crises featuring creditor asset losses and that an additional benefit of monetary easing is that it weakens the causal, contractionary effect of asset losses. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136316059","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
Reference Points Spillovers: Micro-Level Evidence from Real Estate 参考点溢出效应:来自房地产微观层面的证据
IF 8.2 1区 经济学
Review of Financial Studies Pub Date : 2023-05-04 DOI: 10.1093/rfs/hhad037
M. Giacoletti, Christopher Parsons
{"title":"Reference Points Spillovers: Micro-Level Evidence from Real Estate","authors":"M. Giacoletti, Christopher Parsons","doi":"10.1093/rfs/hhad037","DOIUrl":"https://doi.org/10.1093/rfs/hhad037","url":null,"abstract":"\u0000 Homeowners who originally bought when marketwide price levels were high (low) fetch high (low) sales prices and rents, even decades later. We study the propagation of reference-dependence to neighboring listings. The “spillover” reference point effect is about one-half as large as the “own” reference point effect. Neither house quality nor location appears capable of explaining the result. Using a simple model to provide empirical predictions, we find support for a competition-based mechanism. We quantify the aggregate effect of own and spillover reference point effects on aggregate prices and/or rents at the ZIP code level.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"22 7-12","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41289949","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
Field of Study and Financial Problems: How Economics Reduces the Risk of Default 研究领域与金融问题：经济学如何降低违约风险
IF 8.2 1区 经济学
Review of Financial Studies Pub Date : 2023-05-03 DOI: 10.1093/rfs/hhad034
Kristoffer Balle Hvidberg
{"title":"Field of Study and Financial Problems: How Economics Reduces the Risk of Default","authors":"Kristoffer Balle Hvidberg","doi":"10.1093/rfs/hhad034","DOIUrl":"https://doi.org/10.1093/rfs/hhad034","url":null,"abstract":"\u0000 This paper documents how extensive economic education can reduce the risk of getting into financial trouble by comparing people who enter business and economics programs with people who enter other higher education programs. To identify the causal effect, I exploit GPA admission thresholds that quasi-randomize applicants near the thresholds into different higher education programs. I find that admission to an economics program reduces the probability of loan default and delinquency by one half. This large reduction is associated with changes in financial behavior, but it is not associated with differences in the level or stability of people’s income.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":" ","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46110607","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: 1
Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation? 美联储在货币政策实施中获得了有竞争力和适当的价格吗?
1区 经济学
Review of Financial Studies Pub Date : 2023-04-27 DOI: 10.1093/rfs/hhad032
Yu An, Zhaogang Song
{"title":"Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?","authors":"Yu An, Zhaogang Song","doi":"10.1093/rfs/hhad032","DOIUrl":"https://doi.org/10.1093/rfs/hhad032","url":null,"abstract":"Abstract Many of the Federal Reserve’s (the Fed’s) monetary policy operations involve trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per $100 face value) higher selling to the Fed than to non-Fed customers. Controlling for the same dealer, same security, and same trading time, this discriminatory pricing likely arises from dealers’ market power rather than inventory costs. Further, matching trade size reduces the price differential by more than half, implying that dealers’ market power greatly relates to the Fed’s purchases in large amounts, whereas the Fed’s limited breadth of counterparty choice also plays some role.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136086217","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: 1
Financing Competitors: Shadow Banks’ Funding and Mortgage Market Competition 融资竞争者:影子银行融资与抵押贷款市场竞争
1区 经济学
Review of Financial Studies Pub Date : 2023-04-21 DOI: 10.1093/rfs/hhad031
Erica Xuewei Jiang
{"title":"Financing Competitors: Shadow Banks’ Funding and Mortgage Market Competition","authors":"Erica Xuewei Jiang","doi":"10.1093/rfs/hhad031","DOIUrl":"https://doi.org/10.1093/rfs/hhad031","url":null,"abstract":"Abstract Using novel shadow bank funding data, I find that shadow banks are funded by the very banks they compete with when originating mortgages. Evidence suggests that banks have market power in the upstream market for shadow banks’ funding, which in turn softens mortgage market competition through their strategic behaviors in both markets. I build and calibrate a quantitative model of vertical integration and competition to show that those consumers who would most benefit from shadow bank services are the ones to bear the costs. Secondary market innovation could increase downstream competition by reducing shadow banks’ reliance on their competitors. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135463840","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
Connected Funds 连接基金
1区 经济学
Review of Financial Studies Pub Date : 2023-04-21 DOI: 10.1093/rfs/hhad030
Daniel Fricke, Hannes Wilke
{"title":"Connected Funds","authors":"Daniel Fricke, Hannes Wilke","doi":"10.1093/rfs/hhad030","DOIUrl":"https://doi.org/10.1093/rfs/hhad030","url":null,"abstract":"Abstract Mutual funds often invest in other funds. In this paper, we analyze the economics behind such cross-fund investments and investigate their financial stability implications. Using granular data for the German fund sector, our main findings are that cross-fund investments (a) are becoming increasingly important over time, (b) were heavily liquidated during March 2020, and (c) display measurable contagion effects. Overall, cross-fund investments can elevate structural fund sector vulnerabilities. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135464339","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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