AFA2019会议论文（37）： Financial Crises and Transmission of Shocks

AFA2019会议论文（37）： Financial Crises and Transmission of Shocks

金融经济学 4天前

1、The Financial Intermediation Premium in the Cross Section of Stock Returns

Tatyana Marchuk,BI Norwegian Business School

Abstract

This paper documents a significant risk premium for financial intermediation risk in the cross section of equity returns. Firms that borrow from highly levered financial intermediaries have on average 4% higher expected returns relative to firms with low-leverage lenders. This difference cannot be attributed to differences in firm characteristics and is driven by firms’ exposure to the financial sector. The dispersion in the leverage of financial intermediaries in the debt market forecasts the growth of macroeconomic aggregates.To shed light on the underlying mechanism behind the intermediation risk, I propose a tractable model with state-dependent borrowing costs.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=730

2、Identifying Banking Crises

Matthew Baron,Cornell University

Emil Verner,Princeton University

Wei Xiong,Princeton University

Abstract

We identify historical banking crises in 46 countries over the period 1870 - 2016 using new historical data on bank equity returns. We argue bank equity crashes provide an objective, quantitative, and theoretically-motivated measure of banking crises. We validate our measure by showing that bank equity crashes line up well with other indicators of banking crises (e.g., panics, bank failures, government intervention). They also forecast long-run output gaps. Bank equity declines tend to pick up impending crises first before credit spread and nonfinancial equity measures. Nevertheless, crises gradually unfold in bank equity prices over one to three years, rather than in sudden Minsky moments. Our approach uncovers several newly-identified banking crises and removes spurious banking crises. Comparing our revised chronology to previous ones, the aftermath of banking crises appears more severe, especially when restricting to crises featuring large bank equity declines.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1246

3、Bank Balance Sheets and Liquidation Values: Evidence from Real Estate Collateral

Rodney Ramcharan,University of Southern California

Abstract

This paper investigates the role of bank balance sheets in shaping the liquidation value of real estate collateral. It finds that liquidation values are lower when the selling bank is closer to insolvency or faces increased funding pressures. These effects are especially large among banks with historically illiquid balance sheets or when the absorptive capacity in the local market is limited. The lower liquidation values obtained in bank sales also reduce the prices of nearby non-bank owned real estate transactions. These results suggest that balance sheet adjustments at financial institutions and the resulting asset sales can help explain asset price dynamics and economic fluctuations.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=919

4、Dynamic Interpretation of Emerging Risks in the Financial Sector

Kathleen Hanley,Lehigh University

Gerard Hoberg,University of Southern California

Abstract

We use computational linguistics to develop a dynamic, interpretable methodology that can detect emerging risks in the financial sector. Our model can predict heightened risk exposures as early as mid 2005, well in advance of the 2008 financial crisis. Risks related to real estate, prepayment, and commercial paper are elevated. Individual bank exposure strongly predicts returns, bank failure and return volatility. We also document a rise in market instability since 2014 related to sources of funding and mergers and acquisitions. Overall, our model predicts the build-up of emerging risk in the financial system and bank-specific exposures in a timely fashion.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=192

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