AFA2019会议论文（27）：Macro Finance

AFA2019会议论文（27）：Macro Finance

金融经济学 前天

1. The Economics of the Fed Put

Anna Cieslak,  Duke University

Annette Vissing-Jorgensen, University of California, Berkeley

Abstract

We document the tendency for low stock returns to predict accommodating monetary policy in the U.S. Negative stock returns realized between FOMC meetings are a more powerful predictor of subsequent federal funds target changes than standard macroeconomic news releases. Using textual analysis of FOMC minutes and transcripts, we argue that stock returns cause Fed policy. FOMC participants are more likely to pay attention to the stock market after market declines—a pattern that arises from mid-1990s. The frequency of negative stock market mentions in FOMC documents predicts target rate cuts. The FOMC discusses the stock market mostly as a driver of consumption and, albeit to a lesser extent, investment and broader financial conditions. Less attention is placed on the stock market simply predicting (as opposed to driving) the economy. About 80% of the Fed’s reaction to the stock market can be explained by the Fed revising its expectations of economic activity down following stock market declines.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1263

2. Risk-Adjusted Capital Allocation and Misallocation

Joel David, University of Southern California

 Lukas Schmid, Duke University

David Zeke, University of Southern California

Abstract

We develop a theory linking misallocation, i.e., dispersion in static marginal products of capital (MPK), to systematic investment risks. In our setup, firms differ in their exposure to these risks, leading to heterogeneity in firm-level risk premia and thus MPK. The theory predicts that cross-sectional dispersion in MPK (i) depends on cross-sectional dispersion in risk exposures and (ii) fluctuates with the price of risk, and thus is countercyclical. We empirically evaluate these predictions and document strong support for them. We devise a novel empirical strategy to quantify variation in firm-level risk exposures using data on the dispersion of expected stock market returns. Our estimates imply that risk considerations explain about 40% of observed MPK dispersion among US firms and in particular, can rationalize a large persistent component in firm-level MPK deviations. Our framework provides a sharp link between cross-sectional asset pricing, aggregate (e.g., business cycle) volatility and long-run economic performance – MPK dispersion induced by risk premium effects lower the average level of aggregate TFP by as much as 8%.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=863

3. Term Structure of Risk in Expected Returns

Irina Zviadadze, Stockholm School of Economics

Abstract

Return predictability reveals economic variables that drive expected returns. Alternative economic theories relate fluctuations in predictive variables to different sources of risk. I develop an empirical approach that exploits these observations and measures how economically interpretable shocks propagate in the term structure of expected buy-and-hold returns. Shock propagation patterns constitute term structure of risk in expected returns whose shape and level serve as informative moments to test competing equilibrium theories of return predictability. As an application, I examine sources of stock return predictability. I find that equilibrium shocks in the long-run mean of the variance of consumption growth can justify the level and the shape of the term structure of expected stock returns, in contrast to consumption disasters or long-run risk.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=456

4. Detecting Opportunistic Behavior in Public Short Campaigns

Pedro Gete, IE Business School Franco Zecchetto

Abstract

We show that mortgage recourse systems, by discouraging default, magnify the impact of nominal rigidities and cause deeper and more persistent recessions. Default mitigates liquidity traps because it redistributes wealth towards the borrowers with the highest marginal propensity to consume. This redistribution has positive aggregate efects when nominal rigidities are binding. This mechanism can account for up to 30% of the recovery gap during the Great Recession between the U.S. (mostly a non-recourse economy) and European economies with recourse mortgage systems. General equilibrium efects account for most of the diferences in default rates and aggregate outcomes across mortgage systems.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1558

END