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Rounding and the Impact of News: A Simple Test of Market Rationality 四舍五入和新闻的影响:市场理性的简单测试
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2007-02-01 DOI: 10.2139/ssrn.970323
Meredith J. Beechey, Jonathan H. Wright
{"title":"Rounding and the Impact of News: A Simple Test of Market Rationality","authors":"Meredith J. Beechey, Jonathan H. Wright","doi":"10.2139/ssrn.970323","DOIUrl":"https://doi.org/10.2139/ssrn.970323","url":null,"abstract":"Certain prominent scheduled macroeconomic news releases contain a rounded number on the first page of the release that is widely cited by newswires and the press and a more precise number in the text of the release. The whole release comes out at once. We propose a simple test of whether markets are paying attention to the rounded or unrounded numbers by studying the high-frequency market reaction to such news announcements. In the case of inflation releases, we find evidence that markets systematically ignore some of the information in the unrounded number. This is most pronounced for core CPI, a prominent release for which the rounding in the headline number is large relative to the information content of the release.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121345849","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Why are Plant Deaths Countercyclical: Reallocation Timing or Fragility? 为什么植物死亡是逆周期的:重新分配时机还是脆弱性?
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2006-09-01 DOI: 10.2139/ssrn.951007
Andrew Figura
{"title":"Why are Plant Deaths Countercyclical: Reallocation Timing or Fragility?","authors":"Andrew Figura","doi":"10.2139/ssrn.951007","DOIUrl":"https://doi.org/10.2139/ssrn.951007","url":null,"abstract":"Because plant deaths destroy specific capital with large local economic impacts and potentially important macroeconomic effects, understanding the causes of deaths and, in particular, why they are concentrated in cyclical downturns, is important. The reallocation-timing hypothesis posits that plants suffering adverse permanent demand/productivity shocks delay shutdowns until cyclical downturns when plant capacity is less valuable, while the fragility hypothesis posits that shutdowns occur in downturns because the option value of maintaining the plant through weak demand periods is too low. I show that the effect that a plant's specific capital has on the timing of plant deaths differs across these two hypotheses and then use this insight to test the hypotheses' relative importance. I find that fragility is the dominant cause of the countercyclical behavior of plant deaths. This suggests that the endogenous destruction of capital is likely an important amplification and propagation mechanism for cyclical shocks and that stabilization policies have the benefit of reduced capital destruction.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126777805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Inflation Targeting Under Imperfect Knowledge 不完全知识下的通胀目标制
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2006-04-01 DOI: 10.2139/ssrn.910905
Athanasios Orphanides, John C. Williams
{"title":"Inflation Targeting Under Imperfect Knowledge","authors":"Athanasios Orphanides, John C. Williams","doi":"10.2139/ssrn.910905","DOIUrl":"https://doi.org/10.2139/ssrn.910905","url":null,"abstract":"A central tenet of inflation targeting is that establishing and maintaining well-anchored inflation expectations are essential. In this paper, we reexamine the role of key elements of the inflation targeting framework towards this end, in the context of an economy where economic agents have an imperfect understanding of the macroeconomic landscape within which the public forms expectations and policymakers must formulate and implement monetary policy. Using an estimated model of the U.S. economy, we show that monetary policy rules that would perform well under the assumption of rational expectations can perform very poorly when we introduce imperfect knowledge. We then examine the performance of an easily implemented policy rule that incorporates three key characteristics of inflation targeting: transparency, commitment to maintaining price stability, and close monitoring of inflation expectations, and find that all three play an important role in assuring its success. Our analysis suggests that simple difference rules in the spirit of Knut Wicksell excel at tethering inflation expectations to the central bank's goal and in so doing achieve superior stabilization of inflation and economic activity in an environment of imperfect knowledge.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"193 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131565468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 103
Liquidity, Default, Taxes and Yields on Municipal Bonds 市政债券的流动性、违约、税收和收益率
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2006-03-14 DOI: 10.2139/ssrn.687500
Chunchi Wu, Junbo Wang, F. Zhang
{"title":"Liquidity, Default, Taxes and Yields on Municipal Bonds","authors":"Chunchi Wu, Junbo Wang, F. Zhang","doi":"10.2139/ssrn.687500","DOIUrl":"https://doi.org/10.2139/ssrn.687500","url":null,"abstract":"We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we estimate the liquidity risk of municipals and its effect on bond yields. Empirical evidence shows that municipal bond yields are strongly affected by all three factors. The effects of default and liquidity risk on municipal yields increase with maturity and credit risk. Liquidity premium accounts for about 9-13% of municipal yields for AAA bonds, 9-15% for AA/A bonds and 8-19% for BBB bonds. A substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributed to the liquidity premium. Ignoring the liquidity risk effect thus results in a severe underestimation of municipal bond yields. Conditional on the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and institutional investors. Furthermore, these implicit income tax rates are quite stable across bonds of different maturities. Results show that including liquidity risk in the municipal bond pricing model helps explain the muni puzzle.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121450393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 94
Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms 解释信用违约互换价差与个别公司股票波动和跳跃风险
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2005-09-02 DOI: 10.2139/ssrn.713482
B. Y. Zhang, Hao Zhou, Haibin Zhu
{"title":"Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms","authors":"B. Y. Zhang, Hao Zhou, Haibin Zhu","doi":"10.2139/ssrn.713482","DOIUrl":"https://doi.org/10.2139/ssrn.713482","url":null,"abstract":"This paper tries to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 50 percent of the variation in CDS spread levels, while the jump risk alone forecasts 19 percent. After controlling for credit ratings, macroeconomic conditions, and firms’ balance sheet information, we can explain 77 percent of the total variation. Moreover, the pricing effects of volatility and jump measures vary consistently across investmentgrade and high-yield entities. The estimated nonlinear effects of volatility and jump risks on credit spreads are in line with the implications from a calibrated structural model with stochastic volatility and jumps, although the challenge of simultaneously matching credit spreads and default probabilities remains.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127382308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 629
The Effects of Competition from Large, Multimarket Firms on the Performance of Small, Single-Market Firms: Evidence from the Banking Industry 大型、多市场企业竞争对小型、单一市场企业绩效的影响:来自银行业的证据
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2005-02-01 DOI: 10.2139/ssrn.673862
Allen N. Berger, A. Dick, L. Goldberg, L. White
{"title":"The Effects of Competition from Large, Multimarket Firms on the Performance of Small, Single-Market Firms: Evidence from the Banking Industry","authors":"Allen N. Berger, A. Dick, L. Goldberg, L. White","doi":"10.2139/ssrn.673862","DOIUrl":"https://doi.org/10.2139/ssrn.673862","url":null,"abstract":"We offer and test two competing hypotheses for the consolidation trend in banking using U.S. banking industry data over the period 1982-2000. Under the efficiency hypothesis, technological progress improved the performance of large, multimarket firms relative to small, single-market firms, whereas under the hubris hypothesis, consolidation was largely driven by corporate hubris. Our results are consistent with an empirical dominance of the efficiency hypothesis over the hubris hypothesis-on net, technological progress allowed large, multimarket banks to compete more effectively against small, single-market banks in the 1990s than in the 1980s. We also isolate the extent to which technological progress occurred through scale versus geographic effects and how they affected the performance of small, single-market banks through revenues versus costs. The results may shed light as well on some of the research and policy issues related to community banking, and on the question of how community banks should be defined.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134005201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 27
Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns 模型模糊下的密度选择与组合:在股票收益中的应用
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2005-01-01 DOI: 10.2139/ssrn.688442
Stefania D’Amico
{"title":"Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns","authors":"Stefania D’Amico","doi":"10.2139/ssrn.688442","DOIUrl":"https://doi.org/10.2139/ssrn.688442","url":null,"abstract":"This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models. The paper shows that the KLD between the nonparametric and the parametric density estimates is asymptotically normally distributed. This result leads to determining the weights in the model combination, using the distribution function of a Normal centered on the average performance of all plausible models. Consequently, the final weight is determined by the ability of a given model to perform better than the average. As such, this combination technique does not require the true structure to belong to the set of competing models and is computationally simple. I apply the proposed method to estimate the density function of daily stock returns under different phases of the business cycle. The results indicate that the double Gamma distribution is superior to the Gaussian distribution in modeling stock returns, and that the combination outperforms each individual candidate model both in- and out-of-sample.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124063203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Magnitude and Cyclical Behavior of Financial Market Frictions 金融市场摩擦的规模和周期性行为
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2004-11-01 DOI: 10.2139/ssrn.655363
Andrew T. Levin, Fabio Natalucci, Egon Zakraǰsek
{"title":"The Magnitude and Cyclical Behavior of Financial Market Frictions","authors":"Andrew T. Levin, Fabio Natalucci, Egon Zakraǰsek","doi":"10.2139/ssrn.655363","DOIUrl":"https://doi.org/10.2139/ssrn.655363","url":null,"abstract":"We quantify the cross-sectional and time-series behavior of the wedge between the cost of external and internal finance by estimating the structural parameters of a canonical debt-contracting model with informational frictions. For this purpose, we construct a new dataset that includes balance sheet information, measures of expected default risk, and credit spreads on publicly traded debt for about 900 U.S. firms over the period 1997Q1 to 2003Q3. Using nonlinear least squares, we obtain precise time-specific estimates of the bankruptcy cost parameter and consistently reject the null hypothesis of frictionless financial markets. For most of the firms in our sample, the estimated premium on external finance was very low during the expansionary period 1997-99, but rose sharply in 2000--especially for firms with higher ratios of debt to equity--and remained elevated until early 2003.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123944889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 141
Trading Activity and Price Volatility in the Municipal Bond Market 市政债券市场的交易活动和价格波动
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2004-04-01 DOI: 10.2139/ssrn.333620
Chris Downing, F. Zhang
{"title":"Trading Activity and Price Volatility in the Municipal Bond Market","authors":"Chris Downing, F. Zhang","doi":"10.2139/ssrn.333620","DOIUrl":"https://doi.org/10.2139/ssrn.333620","url":null,"abstract":"Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume-volatility relation in the municipal bond market. We find a positive relation between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a \"negative\" relation between average deal size and price volatility. These results are found to be robust throughout the sample. Our results are inconsistent with current theoretical models of the volume-volatility relation. These inconsistencies may arise because current models fail to account for the effects of overall market liquidity on the costs of large transactions. Copyright 2004 by The American Finance Association.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128366069","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 111
Testing for Adverse Selection and Moral Hazard in Consumer Loan Markets 消费贷款市场逆向选择与道德风险检验
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2004-02-01 DOI: 10.2139/ssrn.515903
Wendy Edelberg
{"title":"Testing for Adverse Selection and Moral Hazard in Consumer Loan Markets","authors":"Wendy Edelberg","doi":"10.2139/ssrn.515903","DOIUrl":"https://doi.org/10.2139/ssrn.515903","url":null,"abstract":"This paper explores the significance of unobservable default risk in mortgage and automobile loan markets. I develop and estimate a two-period model that allows for heterogeneous forms of simultaneous adverse selection and moral hazard. Controlling for income levels, loan size and risk aversion, I find robust evidence of adverse selection, with borrowers self-selecting into contracts with varying interest rates and collateral requirements. For example, ex-post higher-risk borrowers pledge less collateral and pay higher interest rates. Moreover, there is strongly suggestive evidence of moral hazard such that collateral is used to induce a borrower's effort to avoid repayment problems. Thus, loan terms may have a feedback effect on behavior. Also, higher-risk borrowers are more difficult to induce into exerting effort, explaining the counter-intuitive result that higher-risk borrowers sometimes pay lower interest rates than observably lower-risk borrowers.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132980510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 74
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