AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(25)

How important are macro risks for explaining variation in bond yields? We show that the macroeconomic impact on yield curve volatility varies substantially over time. For this purpose, we introduce a novel no-arbitrage macro-finance term structure model with multivariate GARCH volatility. Our model is tractable and captures empirical measures of volatility in U.S. Treasury bond yields between 1971 and 2019 closely. We find that the fraction of yield curve variation due to macro risks ranges between 0 and 56 pct with large month-to-month changes. Macro risks explain most variation in expansions and primarily affect bond yields through expectations to future short rates. Also, we show that the importance of macro risks ceased during the Great Moderation but regained explanatory power after the Great Recession. Finally, investors are willing to pay large premia for hedging uncertainty related to macro risks.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=294

This paper analyzes how banks' simultaneous holding of both debt and equity claim of the same firm (dual holding) affect the firm's tax avoidance activities. We find that the presence of bank dual holder is associated with a significant increase in corporate tax avoidance. Using the mergers between debt-holding banks and equity-holding banks of the same firms as an exogenous shock to dual holding status, we establish the causality  between dual holders and tax avoidance in differences-in-difference tests.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=295

This paper develops a tractable micro-founded dynamic platform model featuring cross-group network effects. Networks are analogous to capital-assets, and the platform enterprise invests in the networks by making subsidies to users. The paper solves for the entrepreneur's optimal financing and investment strategies, with limited enforcement as the major financial friction. The main results are: 1) making highly aggressive subsidies by using up available funds is constrained-optimal; 2) per-transaction subsidies decrease over time and are followed by increasing fees; 3) the platform with stronger network effects has a propensity to make more subsidies at initial stages and enjoys a higher valuation; 4) staged financing mitigates the limited enforcement problem, and ceteris paribus, the number of funding rounds decreases with profitability of the platform and increases with required profits by financiers; 5) the value of funds raised each round increases and the financing frequency decreases over time.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=298