AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(28)

金融经济学 · 公众号 · · 2020-04-03 21:30

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28期

编辑：黄林凡审核：陆堇

Credit Supply Decomposition and Real Activity
Cultural Distance in Family and Corporate Risk-taking
Banking On Demography: Population Aging and Financial Integration
Slowly Unfolding Disasters

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1. Credit Supply Decomposition and Real Activity

Working paper , 2019

Maximillian Littlejohn, University of California

Abstract

This paper investigates the implications of sector-speciﬁc credit supply shocks on real economic activity in the United States during the past 66 years. These sectors include private households, non-ﬁnancial corporations, and banks. Within a structural vector autoregression (SVAR) framework, I employ a unique sign-restriction strategy to identify one monetary policy shock, two aggregate macroeconomic shocks, and three credit supply shocks. I ﬁnd evidence that credit supply shocks not only vary by the sectors in which they arise, but also by their consequences for business cycle dynamics. Credit shocks originating in the banking sector can explain up to 25% of output ﬂuctuations while those arising in the household and corporate sectors can explain up to 15%. In addition, household and bank credit shocks may hold long-run consequences for inﬂation explaining up to 15% of its ﬂuctuations. Within a historical context, the model identiﬁes several periods where credit supply has been a signiﬁcant driver of GDP. With respect to the recent ﬁnancial crisis, the model uncovers a smaller role for credit shocks relative to aggregate supply shocks than is typically found in the literature. This supports recent empirical evidence suggesting that the early stages of the crisis were more reminiscent of an oil price shock recession.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=324

2. Cultural Distance in Family and Corporate Risk-taking

Working paper , 2019

Constantinos Antoniou, University of Warwick
Carina Cuculiza, University of Miami
Alok Kumar, University of Miami
Lizhengbo Yang, University of Warwick

Abstract

We examine whether distance of Hofstede’s cultural dimension, that is, the attitude toward uncertainty between CEOs and CEO spouses affects corporate risk-taking. We document that the high uncertainty avoidance of CEO spouses will influence CEOs’ personal uncertainty avoidance, and then lead to less corporate risk-taking, reflected in standard deviation of return on assets and Research and Development (R&D) expenditure. Our study contributes to the research on how culture heritage and cultural transmission affect financial outcomes.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=327

3. Banking On Demography: Population Aging and Financial Integration

Working paper , 2019

Gazi Kabas, University of Zurich

Sebastian Doerr， University of Zurich

Abstract

This paper argues that an integrated financial sector mitigates negative effects of population aging. We show that U.S. counties with an aging population see an increase in local deposits, reflecting higher saving rates of seniors. Banks use these deposits to increase credit supply. Using detailed data on mortgage lending, we find that banks channel deposits from aging counties towards counties with a younger population. We find no evidence that banks engage in risky lending: they lend less to counties with a high share of sub-prime borrowers or low incomes, and do not lend disproportionately to low-income borrowers. The increase in credit supply has real effects. Counties with a higher market share of aging-exposed banks see an increase in house prices and building permits, as well as in firm formation. Results are robust to controlling for bank and county characteristics through granular fixed effects and instrumenting local aging with casualties during World War II.

原文链接:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3430184

4. Slowly Unfolding Disasters

Working paper

AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(28)

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