Annual Review of Financial Economics最新文献_第2页

3区经济学

Annual Review of Financial Economics Pub Date : 2023-10-03 DOI: 10.1146/annurev-financial-110921-101555

Viral V. Acharya, Richard Berner, Robert Engle, Hyeyoon Jung, Johannes Stroebel, Xuran Zeng, Yihao Zhao

{"title":"Climate Stress Testing","authors":"Viral V. Acharya, Richard Berner, Robert Engle, Hyeyoon Jung, Johannes Stroebel, Xuran Zeng, Yihao Zhao","doi":"10.1146/annurev-financial-110921-101555","DOIUrl":"https://doi.org/10.1146/annurev-financial-110921-101555","url":null,"abstract":"We explore the design of climate stress tests to assess and manage macroprudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to ( a) consider many transition risks as dynamic policy choices, ( b) better understand and incorporate feedback loops between climate change and the economy, and ( c) further explore compound risk scenarios in which climate risks co-occur with other risks. We discuss how the process of mapping climate stress scenarios into financial firm outcomes can incorporate existing evidence on the effects of various climate-related risks on credit and market outcomes. We argue that more research is required to ( a) identify channels through which plausible scenarios can lead to meaningful short-run impact on credit risks given typical bank loan maturities, ( b) incorporate bank-lending responses to climate risks, ( c) assess the adequacy of climate risk pricing in financial markets, and ( d) better understand how market participants form climate risk expectations and how that affects financial stability. Finally, we discuss the advantages and disadvantages of using market-based climate stress tests that can be conducted with publicly available data to complement existing stress-testing frameworks. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135739456","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Macro-Financial Stability in the COVID-19 Crisis: Some Reflections 新冠肺炎危机下的宏观金融稳定:几点思考

3区经济学

Annual Review of Financial Economics Pub Date : 2023-09-08 DOI: 10.1146/annurev-financial-110821-022107

Tobias Adrian, Fabio M. Natalucci, Mahvash S. Qureshi

{"title":"Macro-Financial Stability in the COVID-19 Crisis: Some Reflections","authors":"Tobias Adrian, Fabio M. Natalucci, Mahvash S. Qureshi","doi":"10.1146/annurev-financial-110821-022107","DOIUrl":"https://doi.org/10.1146/annurev-financial-110821-022107","url":null,"abstract":"The global financial system showed remarkable resilience during the COVID-19 pandemic, despite a sharp decline in economic activity and the initial financial market upheaval in March 2020. This article takes stock of the factors that contributed to this resilience, focusing on the role of monetary and financial policies. Drawing on the existing literature, it argues that the swift and decisive policy actions of major central banks in response to the pandemic-induced crisis played a key role in easing financial conditions and sustaining the flow of credit to the real economy. While the pandemic crisis has underscored the importance of policies in preventing calamitous financial outcomes, it has also brought to the fore some unintended consequences of policy actions—in particular, of providing prolonged monetary policy support and of applying regulation to specific segments of the financial system rather than taking a broader approach—that could undermine financial stability in the future. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136299693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Introduction to the ARFE Theme on Financial Economics and COVID-19 ARFE金融经济学与新冠肺炎主题介绍

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-09-08 DOI: 10.1146/annurev-financial-060623-032258

Matthew Richardson

引用次数: 0

The Q-Measure Dynamics of Forward Rates 远期利率的q -测度动态

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-25 DOI: 10.1146/annurev-financial-110921-021453

R. Rebonato

引用次数: 0

Reflections on What Financial Economics Can and Cannot Teach Us About the Social Discount Rate 金融经济学对社会贴现率的启示

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-25 DOI: 10.1146/annurev-financial-041123-123258

Deborah J. Lucas

{"title":"Reflections on What Financial Economics Can and Cannot Teach Us About the Social Discount Rate","authors":"Deborah J. Lucas","doi":"10.1146/annurev-financial-041123-123258","DOIUrl":"https://doi.org/10.1146/annurev-financial-041123-123258","url":null,"abstract":"The principles of financial economics provide equally important insights into the optimal choice of discount rates for both public and private sector decision-makers. However, most governments largely ignore those principles, taking their cost of capital for most purposes as their borrowing rate. This article reviews the arguments often made in support of status quo discounting practices, along with the counterarguments to them. Governments have a choice between several methodologies for risk adjustment, and the practical and conceptual reasons that favor a fair value approach are recapped. The limitations of a financial economics approach become apparent for decisions involving very long time horizons, such as for climate policies. For policies with long-term impacts, intergenerational concerns become paramount, projections of cash flows and discount rates become highly uncertain, and present value calculations are an intrinsically unreliable measure of value. No approach to discount rate selection can overcome those problems; alternative decision criteria need to be established. However, most government investments involve much shorter horizons, and the adoption of standard approaches to risk adjustment could significantly improve social welfare. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":3.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42125079","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Introduction to the ARFE Theme on the Social Discount Rate 介绍ARFE关于社会贴现率的主题

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-25 DOI: 10.1146/annurev-financial-111820-084531

Deborah J. Lucas

{"title":"Introduction to the ARFE Theme on the Social Discount Rate","authors":"Deborah J. Lucas","doi":"10.1146/annurev-financial-111820-084531","DOIUrl":"https://doi.org/10.1146/annurev-financial-111820-084531","url":null,"abstract":"Governments allocate a large share of real and financial capital globally, and their choices of discount rates for project and policy evaluation have a first-order effect on social welfare. The importance of adopting a principles-based approach to selecting discount rates has new urgency in light of the very long horizons over which the benefits and costs of policies to address climate change are being evaluated. The four articles in this theme provide an interpretive overview of the literature on many of the theoretical, practical, legal, and philosophical considerations for discount rate selection by governments. This introduction summarizes the main points of each article and highlights some of the common threads that emerge. These include the importance of using risk-adjusted rates, the problems that arise when discount rates are chosen to be artificially low, and the large disconnect between common government practices and the principles of financial economics. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":3.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43317966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Financial Markets and the COVID-19 Pandemic 金融市场与COVID-19大流行

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-22 DOI: 10.1146/annurev-financial-110821-020444

N. J. Gormsen, R. Koijen

引用次数: 0

Algorithmic Fairness 算法公平性

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-16 DOI: 10.1146/annurev-financial-110921-125930

Sanjiv Ranjan Das, Richard Stanton, N. Wallace

{"title":"Algorithmic Fairness","authors":"Sanjiv Ranjan Das, Richard Stanton, N. Wallace","doi":"10.1146/annurev-financial-110921-125930","DOIUrl":"https://doi.org/10.1146/annurev-financial-110921-125930","url":null,"abstract":"This article reviews the recent literature on algorithmic fairness, with a particular emphasis on credit scoring. We discuss human versus machine bias, bias measurement, group versus individual fairness, and a collection of fairness metrics. We then apply these metrics to the US mortgage market, analyzing Home Mortgage Disclosure Act data on mortgage applications between 2009 and 2015. We find evidence of group imbalance in the dataset for both gender and (especially) minority status, which can lead to poorer estimation/prediction for female/minority applicants. Loan applicants are handled mostly fairly across both groups and individuals, though we find that some local male (nonminority) neighbors of otherwise similar rejected female (minority) applicants were granted loans, something that warrants further study. Finally modern machine learning techniques substantially outperform logistic regression (the industry standard), though at the cost of being substantially harder to explain to denied applicants, regulators, or the courts. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":3.2,"publicationDate":"2023-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48723739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Fixing Our Public Discounting Systems 修复我们的公共折扣系统

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-16 DOI: 10.1146/annurev-financial-102921-111749

Frédéric Cherbonnier, C. Gollier

{"title":"Fixing Our Public Discounting Systems","authors":"Frédéric Cherbonnier, C. Gollier","doi":"10.1146/annurev-financial-102921-111749","DOIUrl":"https://doi.org/10.1146/annurev-financial-102921-111749","url":null,"abstract":"Most Western countries use a single discount rate to evaluate public investments and policies. This ignores the cost of risk, in a world where most risk markets exhibit surprisingly large prices of risk. The current discounting guidelines generate a misallocation of capital that entails a large welfare cost. We claim that the well-established asset pricing literature provides a strong normative justification in favor of risk-adjusting discount rates. More specifically, project-specific discount rates should be increasing in the income elasticity of the project's net benefit. This will favor projects whose net benefit materializes preferentially in low-income states, thereby recognizing their insurance benefit ex ante. The intuition is simple, the welfare benefit of the reform is large, and the methodology only requires evaluators to estimate an income elasticity on top of what is required in the current approach. It is time to fix our public discounting systems. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2023-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41798525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Missing Participants, Missing Markets, and the Social Discount Rate: Borrowing Constraints, Intergenerational Transfers, Altruism, and the Desire for Legacy 缺失的参与者、缺失的市场和社会贴现率:借贷约束、代际转移、利他主义和遗产欲望

IF 3.2 3区经济学

Annual Review of Financial Economics Pub Date : 2023-08-16 DOI: 10.1146/annurev-financial-101822-112948

Andrew Caplin, John Leahy

引用次数: 1