Browsing LIF-SAFE Working Papers by Title
Now showing items 262-281 of 334
-
Taking the Lead: When Non-Banks Arrange Syndicated Loans
(2015-04-01)In the mid-1990s, institutional investors entered the syndicated loan market and started to serve borrowers as lead arrangers. Why are non-banks able to compete for this role against banks? How do the composition of ... -
Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011)
(2016-02-01)Shortcomings revealed by experimental and theoretical researchers such as Allais (1953), Rabin (2000) and Rabin and Thaler (2001) that put the classical expected utility paradigm von Neumann and Morgenstern (1947) into ... -
Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach
(2015-05-19)Abstract. Microeconomic modeling of investors behavior in financial markets and its results crucially depends on assumptions about the mathematical shape of the underlying preference functions as well as their parameterizations. ... -
Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices
(2017-10-05)The international diffusion of technology plays a key role in stimulating global growth and explaining co-movements of international equity returns. Existing empirical evidence suggests that countries are heterogeneous in ... -
Temperature Shocks and Welfare Costs
(2018-01-22)This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor ... -
The Anatomy of the Euro Area Interest Rate Swap Market
(2019-06-01)"Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ... -
The carrot and the stick: Bank bailouts and the disciplining role of board appointments
(2021-07-08)We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the ... -
The Case for a Normatively Charged Approach to Regulating Shadow Banking - Multipolar Regulatory Dialogues as a Means to Detect Tail Risks and Preclude Regulatory Arbitrage
(2020-02-11)This paper contributes to the debate on the adequate regulatory treatment of non-bank financial intermediation (NBFI). It proposes an avenue for regulators to keep regulatory arbitrage under control and preserve sufficient ... -
The Collateralizability Premium
(2019-10-09)A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital ... -
The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Ital
(2020-10-29)We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of ... -
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
(2018-06-15)This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ... -
The Disposition Effect in Boom and Bust Markets
(2021-02-05)The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several ... -
The Dynamics of Crises and the Equity Premium
(2015-05-18)It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ... -
The Economic Consequences of Algorithmic Discrimination: Theory and Empirical Evidence
(2020-12-09)Using a novel theoretical framework and data from a comprehensive field study we conducted over a period of three years, we outline the causal effects of algorithmic discrimination on economic efficiency and social welfare ... -
The Effect of Personal Financing Disruptions on Entrepreneurship
(2018-10-14)This paper studies how disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking ... -
The Effects of a Low Interest Rate Environment on Life Insurers
(2015-01-01)Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a ... -
The Effects of Contingent Convertible (CoCo) Bonds on Insurers’ Capital Requirements under Solvency II
(2015-02-01)The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they ... -
The Financing Dynamics of Newly Founded Firms
(2016-11-01)Little evidence exists on the financing decisions of newly founded firms or on the financing dynamics of these firms over their life cycle. We aim to help filling this gap by investigating the financing dynamics of 2,456 ... -
The FOMC Risk Shift
(2021-01-27)We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ... -
The Forward-looking Disclosures of Corporate Managers: Theory and Evidence
(2016-07-15)We consider an infinitely repeated game in which a privately informed, long-lived manager raises funds from short-lived investors in order to finance a project. The manager can signal project quality to investors by making ...