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The reserve supply channel of unconventional monetary policy 非常规货币政策的储备供应渠道
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-21 DOI: 10.1016/j.jfineco.2024.103887
William Diamond , Zhengyang Jiang , Yiming Ma
{"title":"The reserve supply channel of unconventional monetary policy","authors":"William Diamond ,&nbsp;Zhengyang Jiang ,&nbsp;Yiming Ma","doi":"10.1016/j.jfineco.2024.103887","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103887","url":null,"abstract":"<div><p>We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of central bank reserves has the unintended consequence of crowding out bank loans because of bank balance sheet costs.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103887"},"PeriodicalIF":10.4,"publicationDate":"2024-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141439363","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
Importance of transaction costs for asset allocation in foreign exchange markets 交易成本对外汇市场资产配置的重要性
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-19 DOI: 10.1016/j.jfineco.2024.103886
Ilias Filippou , Thomas A. Maurer , Luca Pezzo , Mark P. Taylor
{"title":"Importance of transaction costs for asset allocation in foreign exchange markets","authors":"Ilias Filippou ,&nbsp;Thomas A. Maurer ,&nbsp;Luca Pezzo ,&nbsp;Mark P. Taylor","doi":"10.1016/j.jfineco.2024.103886","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103886","url":null,"abstract":"<div><p>Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid–ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean–variance-transaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications on before-cost profitability. MVTC is robust even when the price impact of trading is severe. Finally, we introduce an accurate extrapolation approach to expand the sample of the realized Amihud measure of Ranaldo and Santucci de Magistris (2022) from 12 to 26 currencies and from 2012 back in time to 1986.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103886"},"PeriodicalIF":8.9,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141429249","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 effects of policy interventions to limit illegal money lending 限制非法放贷的政策干预效果
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-15 DOI: 10.1016/j.jfineco.2024.103894
Kaiwen Leong , Huailu Li , Nicola Pavanini , Christoph Walsh
{"title":"The effects of policy interventions to limit illegal money lending","authors":"Kaiwen Leong ,&nbsp;Huailu Li ,&nbsp;Nicola Pavanini ,&nbsp;Christoph Walsh","doi":"10.1016/j.jfineco.2024.103894","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103894","url":null,"abstract":"<div><p>We estimate a structural model of borrowing and lending in the illegal money lending market using a unique panel survey of 1,090 borrowers taking out 11,032 loans from loan sharks. We use the model to evaluate the effects of interventions aimed at limiting this market. We find that an enforcement crackdown that occurred during our sample period increased lenders’ unit cost of harassment and interest rates, while lowering volume of loans, lender profits and borrower welfare. Policies removing borrowers in the middle of the repayment ability distribution, reducing gambling or reducing time discounting are also effective at lowering lender profitability.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103894"},"PeriodicalIF":8.9,"publicationDate":"2024-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X2400117X/pdfft?md5=6cbcee5fa5f237c1ce1e813e61b9f880&pid=1-s2.0-S0304405X2400117X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141328627","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
The short-termism trap: Catering to informed investors with limited horizons 短期陷阱：迎合视野有限的知情投资者
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-14 DOI: 10.1016/j.jfineco.2024.103884
James Dow , Jungsuk Han , Francesco Sangiorgi
{"title":"The short-termism trap: Catering to informed investors with limited horizons","authors":"James Dow ,&nbsp;Jungsuk Han ,&nbsp;Francesco Sangiorgi","doi":"10.1016/j.jfineco.2024.103884","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103884","url":null,"abstract":"<div><p>Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We show that limited investor horizons indeed have those consequences, as follows. First, informative stock prices increase firm value; in our model, they reduce the agency cost of incentivizing managers. Second, short project maturity improves stock price informativeness by catering to informed investors with short horizons. Third, since informed trading capital is a scarce resource, attracting informed investors cannot increase an individual firm’s price informativeness in equilibrium: it simply destroys shareholder value. This “short-termism trap” can potentially destroy up to 100% of the benefits of stock market listing.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103884"},"PeriodicalIF":8.9,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001077/pdfft?md5=52635f01116d52cc8185a4c04d8a5ebc&pid=1-s2.0-S0304405X24001077-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141322619","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
Financial market concentration and misallocation 金融市场的集中和配置不当
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-14 DOI: 10.1016/j.jfineco.2024.103875
Daniel Neuhann, Michael Sockin
{"title":"Financial market concentration and misallocation","authors":"Daniel Neuhann,&nbsp;Michael Sockin","doi":"10.1016/j.jfineco.2024.103875","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103875","url":null,"abstract":"<div><p>How does financial market concentration affect capital allocation? We propose a complete-markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, cash holdings, investment, asset prices, and capital reallocation over the last two decades, even when market concentration is relatively stable. Overall, our findings suggest that financial market concentration may hamper allocative efficiency.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103875"},"PeriodicalIF":8.9,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141322733","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
Concealed carry 隐蔽携带
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-08 DOI: 10.1016/j.jfineco.2024.103874
Spencer Andrews , Riccardo Colacito , Mariano M. Croce , Federico Gavazzoni
{"title":"Concealed carry","authors":"Spencer Andrews ,&nbsp;Riccardo Colacito ,&nbsp;Mariano M. Croce ,&nbsp;Federico Gavazzoni","doi":"10.1016/j.jfineco.2024.103874","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103874","url":null,"abstract":"<div><p>The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-2008. We connect these findings through an equilibrium model in which countries feature heterogeneous exposure to news shocks about global output and global inflation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103874"},"PeriodicalIF":8.9,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000977/pdfft?md5=9c32d779882742b49f29c6fd0559c9ba&pid=1-s2.0-S0304405X24000977-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141298049","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
How do Treasury dealers manage their positions? 国库交易商如何管理其头寸？
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-07 DOI: 10.1016/j.jfineco.2024.103885
Michael Fleming , Giang Nguyen , Joshua Rosenberg
{"title":"How do Treasury dealers manage their positions?","authors":"Michael Fleming ,&nbsp;Giang Nguyen ,&nbsp;Joshua Rosenberg","doi":"10.1016/j.jfineco.2024.103885","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103885","url":null,"abstract":"<div><p>Using 31 years of data (1990–2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers’ weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post-crisis regulatory changes, dealers significantly reduce their position taking and layoff inventory faster. Moreover, the increased participation of non-dealers (investment funds) in the primary market contributes to diminishing compensation for inventory risk taken on at auctions.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103885"},"PeriodicalIF":8.9,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286514","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
Intermediation frictions in debt relief: Evidence from CARES Act forbearance 债务减免中的中介摩擦：CARES 法案》宽限措施的证据
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-07 DOI: 10.1016/j.jfineco.2024.103873
You Suk Kim , Donghoon Lee , Tess Scharlemann , James Vickery
{"title":"Intermediation frictions in debt relief: Evidence from CARES Act forbearance","authors":"You Suk Kim ,&nbsp;Donghoon Lee ,&nbsp;Tess Scharlemann ,&nbsp;James Vickery","doi":"10.1016/j.jfineco.2024.103873","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103873","url":null,"abstract":"<div><p>We study how intermediaries – mortgage servicers – shaped the implementation of mortgage forbearance during the COVID-19 pandemic and use servicer-level variation to trace out the causal effects of forbearance on borrowers. Forbearance provision varied widely across servicers. Small servicers, nonbanks, and especially nonbanks with small liquidity buffers, facilitated fewer forbearances and saw a higher incidence of forbearance-related complaints. Easier access to forbearance substantially increased mortgage nonpayment but also reduced delinquencies outside of forbearance. Part of the liquidity from forbearance was used to reduce credit card debt, but most was saved or used for nondurable consumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103873"},"PeriodicalIF":8.9,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286515","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 death of a regulator: Strict supervision, bank lending, and business activity 监管者之死严格监管、银行贷款和商业活动
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-07 DOI: 10.1016/j.jfineco.2024.103871
João Granja , Christian Leuz
{"title":"The death of a regulator: Strict supervision, bank lending, and business activity","authors":"João Granja ,&nbsp;Christian Leuz","doi":"10.1016/j.jfineco.2024.103871","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103871","url":null,"abstract":"<div><p>We exploit the extinction of the thrift supervisor (OTS) to analyze the effects of supervision on bank lending and bank management. We first show that the OTS replacement resulted in stricter supervision of former OTS banks. Next, we analyze the ensuing lending effects and show that former OTS banks on average increase small business lending by roughly 10 percent. This increase is concentrated in well-capitalized banks and especially in banks that changed management practices following the supervisory transition. These findings suggest that stricter supervision operates not only through the enforcement of loss recognition and capital adequacy, but can also act as a catalyst for operational changes that correct deficiencies in bank management and lending practices, which in turn increase lending.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103871"},"PeriodicalIF":8.9,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286513","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
Discrimination in the payments chain 支付链中的歧视
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-04 DOI: 10.1016/j.jfineco.2024.103872
Anna M. Costello , Michael Minnis , Irina Rabinovich
{"title":"Discrimination in the payments chain","authors":"Anna M. Costello ,&nbsp;Michael Minnis ,&nbsp;Irina Rabinovich","doi":"10.1016/j.jfineco.2024.103872","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103872","url":null,"abstract":"<div><p>We examine whether discrimination affects customers’ willingness to pay their suppliers. Using a dataset of detailed trade credit networks, we find that when facing a macroeconomic shock, customers delay payments to their suppliers with female or black trade credit officers at a 10%–20% higher rate relative to their payments to non-minorities. These results hold after controlling for a host of economic differences between minority groups and non-minority groups. In particular, we exploit the complexity of the supply chain network – wherein suppliers transact with multiple customers in each month and customers transact with multiple suppliers in each month – to estimate <em>within-relationship</em> changes in payment behavior during periods of financial hardship. Results indicate that the largest increases in payment delays are between customers that are classified as having racial or gender biases and suppliers that have minority lead credit officers. The results suggest that biased beliefs and preferences play a critical role in trade credit.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103872"},"PeriodicalIF":8.9,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141243056","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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