We propose a model of banks’ exposure to movements in interest rates and their role the transmission monetary shocks. Since bank deposits provide liquidity, higher allow banks earn larger spreads on deposits. Therefore, if risk aversion is than one, optimal dynamic hedging strategy take losses when rise. This can be achieved by traditional maturity-mismatched balance sheet amplifies effects sho...

Over the last two decades, bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model where banks can originate loans, earn their fee, and then sell them off to investors who desire such exposures. We show that the borrowers whose loans are sold in the secondary market underperform other bank borrowers by between 8% and 14% per year on a risk-adj...

This paper provides an empirical analysis of the trading behavior and the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine-year suspension. First, we find that the new investors initiated the bubble. Second, echoing common wisdom, we empirically show that the continuous entries of new investors sustained the bubble. T...

In a multi-industry growth model, firms require external funds to conduct productivityenhancing R&D, and are limited by financing constraints. The cost of research differs across industries, so financing constraints hinder productivity growth in some industries more than in others. Equilibrium industry dynamics map into a differences-indifferences regression specification where industry growth ...

Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide. The author reviews some of the concepts recently introduced in the literature, examining mu...

This paper studies the efficiency of competitive equilibria in economies where the expansion of investment is facilitated by securitization. We show that the use of securitization is generally associated with constrained inefficient aggregate investment, thereby justifying regulatory intervention in markets for securitized assets. We examine the effectiveness of three policy instruments to addr...