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An important feature of bond markets is the relationship between the initial public offering (IPO) price and the probability that the issuer defaults. On the one hand, the default probability affects the IPO price; on the other hand, the IPO price affects the default probability. It is a priori unclear whether agents can competitively price such assets. Our paper is the first to explore this question. To do so, we use laboratory experiments. We develop two flexible bond market models that are easily implemented in the laboratory. We find that subjects learn to price the bonds well after only a few repetitions. 相似文献
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MATTHIAS FLECKENSTEIN FRANCIS A. LONGSTAFF HANNO LUSTIG 《The Journal of Finance》2014,69(5):2151-2197
We show that the price of a Treasury bond and an inflation‐swapped Treasury Inflation‐Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS‐Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the mispricing narrows as additional capital flows into the markets. This provides strong support for the slow‐moving‐capital explanation of arbitrage persistence. 相似文献
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Inflation Persistence, Monetary Policy, and the Great Moderation 总被引:1,自引:0,他引:1
CHARLES T. CARLSTROM TIMOTHY S. FUERST† MATTHIAS PAUSTIAN‡ 《Journal of Money, Credit and Banking》2009,41(4):767-786
There is growing evidence that the empirical Phillips curve within the United States has changed significantly since the early 1980s. In particular, inflation persistence has declined sharply. This paper demonstrates that this decline is consistent with a standard dynamic New Keynesian (DNK) model in which: (i) the variability of technology shocks has declined and (ii) the central bank more aggressively responds to inflation. 相似文献
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MATTHIAS WREDE 《Journal of Public Economic Theory》2009,11(2):297-310
Within a second-best duocentric urban economics framework where labor income taxation distorts workplace choices on account of commuting costs, this paper studies a commuting subsidy, which distorts land use. It is shown that a commuting subsidy increases welfare if and only if it shifts labor supply from less to more productive business districts. 相似文献
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We analyze why firms use nonintermediated short‐term debt by studying the commercial paper (CP) market. Using a comprehensive database of CP issuers and issuance activity, we show that firms use CP to provide start‐up financing for capital investment. Firms’ CP issuance is driven by a desire to minimize transaction costs associated with raising capital for new investment. We show that firms with high rollover risk are less likely to enter the CP market, borrow less CP, and borrow more from bank credit lines. Further, CP is often refinanced with long‐term bond issuance to reduce rollover risk. 相似文献
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MATTHIAS BREUER 《Journal of Accounting Research》2021,59(1):59-110
This paper examines the impact of mandatory reporting and auditing of firms’ financial statements on industry‐wide resource allocation. Using threshold‐induced variation in the share of mandated firms in a given industry, I document that reporting mandates facilitate ownership dispersion in capital markets and spur competition in product markets. I, however, do not find that reporting mandates unambiguously improve the efficiency of industry‐wide resource allocation. With respect to auditing mandates, I find only that they impose a fixed cost on firms, deterring smaller entrants. 相似文献
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This article examines an example of private transnational governance in the first decades after the Second World War: the Council of European Industrial Federations (CEIF), created in 1949 by the peak‐level trade associations in western Europe. Based on this case, the article takes issue with two predominant views in the current literature: a view that sees the European integration process, at least in its early stages, as driven largely by nation‐states and political agendas; and another view, widespread among business and economic historians, that contacts between business associations at that time served the main purpose of re‐establishing international cartels. The CEIF actually performed a wide variety of functions: it represented organized business at international events and in organizations, acted as a multilateral arena for the exchange of information and for building trust among the businesspeople of various European countries, and, from 1958 onwards, helped bridge the divide between those inside and those outside the Common Market. On occasions, for example, in the case of export incentives, it even managed to forge a consensus for policy action when national governments were unable to agree. 相似文献
8.
Eat or Be Eaten: A Theory of Mergers and Firm Size 总被引:2,自引:0,他引:2
We propose a theory of mergers that combines managerial merger motives with an industry-level regime shift that may lead to value-increasing merger opportunities. Anticipation of these merger opportunities can lead to defensive acquisitions, where managers acquire other firms to avoid losing private benefits if their firms are acquired, or "positioning" acquisitions, where firms position themselves as more attractive takeover targets to earn takeover premia. The identity of acquirers and targets and the profitability of acquisitions depend on the distribution of firm sizes within an industry, among other factors. We find empirical support for some unique predictions of our theory. 相似文献
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This paper studies noncooperative games between a monetary authority and a macroprudential regulator whose objectives are a subset of those in the social loss function. The analysis is based on a New Keynesian model with a financial sector and a financial friction à la Gertler and Karadi (2011). When the friction affects the financing of all factors of production equally, macroprudential policy is shown to be a powerful additional tool, fully eliminating inefficiencies, regardless of the source of the shock and no matter whether the central bank and the regulator cooperate. But when trade‐offs are present and policy is discretionary, the institutional arrangements become crucial. While coordination leads to higher welfare than a setting in which each authority takes the decision rule of the other as given (namely, the Nash equilibrium), our analysis shows that a noncooperative setting in which the macroprudential authority acts as a leader within the period can be superior to cooperation. Finally, our conclusions are unaffected by whether the macroprudential instrument affects funding costs or acts as a liquidity requirement. 相似文献