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Working Paper
Investment decisions and negative interest rates
Bracha, Anat
(2016-11-01)
While the current European Central Bank deposit rate and 2-year German government bond yields are negative, the U.S. 2-year government bond and deposit rates are positive. Insights from Prospect Theory suggest that this situation may lead to an excess flow of funds into the United States. Yet the environment of negative interest rates is different from the environment considered in Prospect Theory and subsequent literature, since decisions are framed in terms of rates of return rather than absolute amounts and the task involves the allocation of funds rather than a choice or a pricing task as ...
Working Papers
, Paper 16-23
Working Paper
A Model of Endogenous Debt Maturity with Heterogeneous Beliefs
Darst, Matt; Refayet, Ehraz
(2017-05)
This paper studies optimal debt maturity in an economy with repayment enforcement frictions and investors disagree about repayment probabilities. The optimal debt maturity choice is a mix of long- and short-term debt securities. Spreading risky debt claims on cash flows over time allows debt to be priced by investors most willing to hold risk at each point in time, thereby increasing investment and output. By contrast, a single maturity, either all long- or short-term, will be priced by investors less willing to hold risk, which reduces investment and output. The model provides a novel ...
Finance and Economics Discussion Series
, Paper 2017-057
Working Paper
Peer Pressure: Social Interaction and the Disposition Effect
Heimer, Rawley
(2016-07-14)
Social interaction contributes to some traders? disposition effect. New data from an investment-specific social network linked to individual-level trading records builds evidence of this connection. To credibly estimate causal peer effects, I exploit the staggered entry of retail brokerages into partnerships with the social trading web platform and compare trader activity before and after exposure to these new social conditions. Access to the social network nearly doubles the magnitude of a trader?s disposition effect. Traders connected in the network develop correlated levels of the ...
Working Papers (Old Series)
, Paper 1618
Working Paper
Flights to Safety
Wei, Min; Inghelbrecht, Koen; Bekaert, Geert; Baele, Lieven
(2014-06-05)
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and the Ted spread, decreases in consumer sentiment indicators and appreciations of the Yen, Swiss franc, and US dollar. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Money ...
Finance and Economics Discussion Series
, Paper 2014-46
Report
Worker Betas: Five Facts about Systematic Earnings Risk
Yogo, Motohiro; Schulhofer-Wohl, Sam; Song, Jae; Guvenen, Fatih
(2017-03-06)
The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and ?nancial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker?s earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, aggregate risk exposure is higher for males, younger workers, and those in construction and durable manufacturing. At the top of the earnings ...
Staff Report
, Paper 546
Journal Article
The Money Market Mutual Fund Liquidity Facility
Anadu, Kenechukwu E.; Cipriani, Marco; Craver, Ryan M.; La Spada, Gabriele
(2022-07-01)
In this article, the authors discuss the run on prime money market funds (MMFs) that occurred in March 2020, at the onset of the COVID-19 pandemic, and describe the Money Market Mutual Fund Liquidity Facility (MMLF), which the Federal Reserve established in response to it. They show that the MMLF, like a similarly structured Federal Reserve facility established during the 2008 financial crisis, was an important tool in stemming investor outflows from MMFs and restoring calm in short-term funding markets. The usage of the facility was higher by funds that suffered larger outflows. After the ...
Economic Policy Review
, Volume 28
, Issue 1
Working Paper
Hedging against the government: a solution to the home asset bias puzzle
Bhattarai, Saroj; Berriel, Tiago C.
(2012)
This paper explains two puzzling facts: international nominal bonds and equity portfolios are biased domestically. In our two-country model, holding domestic government nominal debt provides a hedge against shocks to bond returns and the impact on taxes they induce. For this result, only two features are essential: some nominal risk and taxes falling only on domestic agents. A third feature explains why agents choose to hold primarily domestic equity: government spending falls on domestic goods. Then, an increase in government spending raises the returns on domestic equity, providing a hedge ...
Globalization Institute Working Papers
, Paper 113
Working Paper
Applications of Markov Chain Approximation Methods to Optimal Control Problems in Economics
Phelan, Tom; Eslami, Keyvan
(2021-02-10)
In this paper we explore some of the benefits of using the finite-state Markov chain approximation (MCA) method of Kushner and Dupuis (2001) to solve continuous-time optimal control problems. We first show that the implicit finite-difference scheme of Achdou et al. (2017) amounts to a limiting form of the MCA method for a certain choice of approximating chains and policy function iteration for the resulting system of equations. We then illustrate the benefits of departing from policy function iteration by showing that using variations of modified policy function iteration to solve income ...
Working Papers
, Paper 21-04
Working Paper
Can Leverage Constraints Help Investors?
Heimer, Rawley
(2014-12-03)
This paper provides causal evidence that leverage constraints can reduce the underperformance of individual investors. In accordance with Dodd-Frank, the CFTC was given regulatory authority over the retail market for foreign exchange and capped the maximum permissible leverage available to U.S. traders. By comparing U.S. traders on the same brokerages with their unregulated European counterparts, I show that the leverage constraint reduces average per-trade losses even after adjusting for risk. Since this causal approach holds constant contemporaneous market factors, these findings challenge ...
Working Papers (Old Series)
, Paper 1433
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Socially responsible investing 1 items
Sovereign risk 1 items
Spillovers 1 items
Stochastic Uncertainty 1 items
Stochastic Volatility 1 items
Stock return anomalies 1 items
Stockownership 1 items
Survey data 1 items
Syndicated loans 1 items
Systematic cojumps 1 items
Term Premia 1 items
Treasury Market Practices Group 1 items
Treasury auctions 1 items
Treasury market liquidity 1 items
U.S. bonds 1 items
Uncertainty Aversion 1 items
Underpricing 1 items
Unites States 1 items
Universities and colleges 1 items
VAR 1 items
Venture Capital 1 items
Volatility and Uncertainty Disconnect 1 items
Web3 1 items
Wholesale funding 1 items
Yield curve 1 items
Zero lower bound 1 items
active management 1 items
asset inequality 1 items
asset prices 1 items
asset pricing anomalies 1 items
asset pricing factors 1 items
asynchronicity 1 items
balance sheets 1 items
bank complexity 1 items
bank credit 1 items
bank loans 1 items
bank size 1 items
banking 1 items
banks 1 items
big data 1 items
blockchain 1 items
boards of directors 1 items
business cycle 1 items
buyouts 1 items
capacity constraints 1 items
capital allocation decisions 1 items
change points 1 items
cojumps 1 items
complexity 1 items
consumer durables 1 items
consumer finance 1 items
corporate loans 1 items
corporate social responsibility 1 items
countercyclical fiscal policy 1 items
counterparty concentration 1 items
credit market frictions 1 items
credit markets 1 items
crisis 1 items
cross-sectional asset pricing 1 items
cryptocurrency 1 items
currency returns 1 items
dealer inventory 1 items
debt management 1 items
deforestation risk 1 items
diffusion index 1 items
discount rates 1 items
diversification benefit 1 items
dynamic inconsistency 1 items
dynamic trading 1 items
economic development 1 items
economic impact payments 1 items
economic policy 1 items
economic research 1 items
efficiency 1 items
efficient international portfolio 1 items
efficient markets 1 items
entrusted loans 1 items
environmental law enforcement 1 items
equity index portfolio 1 items
equity investment 1 items
equity participation 1 items
etfs 1 items
exchange rate stabilization 1 items
expectation formation 1 items
factors 1 items
federal funds rates 1 items
financial institutions 1 items
financial centers 1 items
financial institutions 1 items
financial linkages 1 items
financial risk 1 items
financial sector debt 1 items
financial services 1 items
fixed exchange rates 1 items
fixed-rate 1 items
fixedrate 1 items
flight-to-quality 1 items
forecasting 1 items
foreclosures 1 items
foreign exchange interventions 1 items
foreign exchange reserves 1 items
foreign exposure 1 items
framing effect 1 items
global imbalances 1 items
global risks 1 items
governance 1 items
graphical approach 1 items
hierarchical priors 1 items
high-frequency data 1 items
household 1 items
idiosyncratic risk 1 items
illiquidity 1 items
imperfect markets 1 items
inaction bands 1 items
individual stock returns 1 items
inflation 1 items
inflation hedging 1 items
information aggregation 1 items
information costs 1 items
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