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Introduces and explains the six major interest rate derivative products: swaps, forward rate agreements, Eurodollar futures, bond options,...
I document economically large and persistent discrepancies in the pricing of credit risk between corporate bonds denominated in different currencies....
- August 2021
- Article
Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates
By: Samuel G. Hanson, David O. Lucca and Jonathan H. Wright
Long-term nominal interest rates are surprisingly sensitive to high-frequency (daily or monthly) movements in short-term rates. Since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes...
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- July, 2021
- Article
The Economic Consequences of Bankruptcy Reform
By: Tal Gross, Ray Kluender, Feng Liu, Matthew J. Notowidigdo and Jialan Wang
A more generous consumer bankruptcy system provides greater insurance against financial risks but may also raise the cost of credit. We study this trade-off using the 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA), which increased the costs of...
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- June 2021
- Case
Modern Endowment Management: Paula Volent and the Bowdoin Endowment
By: Luis M. Viceira, Emily R. McComb and Dean Xu
This case examines modern endowment investment management through the lens of a leadership transition between Chief Investment Officers (CIOs). In March 2021, Paula Volent is about to step down as the CIO of the endowment of Bowdoin College after twenty-one years, and...
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- 2021
- Working Paper
FinTech Lending and Cashless Payments
By: Boris Vallée, Pulak Ghosh and Yao Zeng
This study provides a new perspective to understand the rise and future potential of FinTech lending by linking it to the informational role of cashless payments. We uncover both theoretically and empirically a synergy between FinTech lending and cashless payments....
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Keywords:
Fintech;
Lending;
Payments;
Data Sharing;
Financing and Loans;
Technology;
Banks and Banking;
Business Model
- 2020
- Working Paper
Institutional Corporate Bond Demand
By: Ishita Sen, Lorenzo Bretscher, Lukas Schmid and Varun Sharma
We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to...
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- December 2020
- Article
Monetary Policy and Global Banking
By: Falk Bräuning and Victoria Ivashina
Global banks use their global balance sheets to respond to local monetary policy. However, sources and uses of funds are often denominated in different currencies. This leads to a foreign exchange (FX) exposure that banks need to hedge. If cross-currency flows are...
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- October 2020
- Case
HOPE and Transformational Lending: Netflix Invests in Black Led Banks
By: John D. Macomber and Janice Broome Brooks
Following the killing of George Floyd on Memorial Day in 2020, the large US corporation Netflix elected to make a "transformational deposit" of $10 million into Hope Credit Union (HCU), a small Black led community development finance institution (CDFI) based in...
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- July 2020
- Case
Mortgage Backed Securities and the Covid-19 Pandemic
By: Emil N. Siriwardane, Luis M. Viceira and Dean Xu
In April 2020, global financial markets were still reeling as the COVID-19 pandemic spread rapidly across the world. Global equity markets had initially fallen by 30% in response to the pandemic, and high-yield credit markets had dropped by nearly 20%. In contrast,...
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- 2020
- Working Paper
Why is Dollar Debt Cheaper? Evidence from Peru
By: Victoria Ivashina, Bryan Gutiérrez and Juliana Salomao
In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that enables us to see currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar...
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- 2020
- Working Paper
Anchors Aweigh: Analysis of Anchor Limited Partner Investors in Impact Investment Funds
By: Shawn A. Cole, T. Robert Zochowski, Fanele Mashwama and Heather McPherson
This note describes results from a survey of “anchor investors” in impact funds. Anchor investors
are described as “generally the first investor to make a substantial capital commitment to a fund,”
(according to the Global Impact Investing Network, “GIIN”) and their...
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- May 2020
- Article
How Quantitative Easing Works: Evidence on the Refinancing Channel
By: Marco Di Maggio, Amir Kermani and Christopher Palmer
We document the transmission of large-scale asset purchases by the Federal Reserve to the real economy using rich borrower-linked mortgage-market data and an identification strategy based on mortgage market segmentation. We find that central bank QE1 MBS purchases...
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Keywords:
Monetary Policy;
MBS;
Quantitative Easing;
LSAP;
Refinancing;
Deleveraging;
HARP;
GSE;
Central Banking;
Global Range;
Financing and Loans;
Credit;
United States
- 2020
- Working Paper
Costly External Financing and Monetary Policy Transmission: Evidence from a Natural Experiment
By: Emily Williams
I provide new evidence that large and small banks have different external financing costs, which generates cross sectional variation in a deposits market pricing power channel of monetary policy transmission. I do so by exploiting a natural experiment using anti-trust...
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- 2021
- Working Paper
Corporate Environmental Impact: Measurement, Data and Information
By: David Freiberg, DG Park, George Serafeim and T. Robert Zochowski
As an organization’s environmental impact has become a central societal consideration, thereby affecting industry and organizational competitiveness, interest in measuring and analyzing environmental impact has increased. We develop a methodology to derive comparable...
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Keywords:
Environment;
Impact;
Measurement;
Environmental Ratings;
Corporate Valuation;
Financial Materiality;
Sustainability;
Environmental Impact;
Environmental Strategy;
Impact-Weighted Accounts;
IWAI;
Environmental Sustainability;
Corporate Social Responsibility and Impact;
Measurement and Metrics;
Valuation
- 2020
- Working Paper
Heterogeneity in Net-Interest Income Exposure to Interest Rate Risk and Non-Interest Expense Adjustment
By: Emily Williams
In this paper I document two new facts. First, bank net-interest margins (NIM) are insensitive to the short rate on average but this masks substantial heterogeneity in the cross section. I find cross sectional variation ranging from a -30bp to +40bp change in one...
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- March 2020
- Article
Which Early Withdrawal Penalty Attracts the Most Deposits to a Commitment Savings Account?
By: John Beshears, James J. Choi, Christopher Harris, David Laibson, Brigitte C. Madrian and Jung Sakong
Previous research has shown that some people voluntarily use commitment contracts that restrict their own choice sets. We study how people divide money between two accounts: a liquid account that permits unrestricted withdrawals and a commitment account that is...
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- 2019
- Working Paper
Regulatory Limits to Risk Management
By: Ishita Sen
Using derivative positions and a regulatory change that results in different regulatory risk sensitivities for economically similar products, I show that inconsistencies in regulatory incentives restrict hedging and increase shadow insurance for U.S. life insurers....
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- November 9, 2019
- Article
Effect of Revealing Authors' Conflicts of Interests in Peer Review: Randomized Controlled Trial
By: Leslie K. John, George Loewenstein, Andrew Marder and Michael Callaham
Objective: To assess the impact of disclosing authors’ conflict of interest declarations to peer reviewers at a medical journal.
Design: Randomised controlled trial.
Setting: The study was conducted within the manuscript review process at the... View Details
Design: Randomised controlled trial.
Setting: The study was conducted within the manuscript review process at the... View Details
- 2020
- Working Paper
A Quantity-Driven Theory of Term Premia and Exchange Rates
We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the...
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- 2019
- Chapter
From Coast to Hinterland: Fiscal State Formation in British and French West Africa, c. 1880–1960
By: Ewout Frankema and Marlous van Waijenburg
This chapter contrasts and compares the ways different colonial states in West Africa developed local fiscal capacity. We show that per capita revenues were higher in the more commercialised coastal export economies than in remote parts of the interior. We argue that...
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Keywords:
Fiscal Capacity;
Public Debt;
French West Africa;
British West Africa;
Geography;
History;
Africa
- October 2019 (Revised February 2021)
- Case
Myanmar: Special Economic Zones
By: Willy Shih and Dawn Lau
This case examines four Special Economic Zones in Myanmar. While the country's development had been hobbled by a complex history of military rule, ethnic conflict, and international sanctions, as it pursued liberalization it sought avenues to developing its economy....
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