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Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
The Trading Response of Individual Investors to Local Bankruptcies
(2020-03-20)
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are ...
Econometrics at Scale: Spark Up Big Data in Economics
(2020-02-06)
This paper provides an overview of how to use “big data” for economic research. We investigate the performance and ease of use of di?erent Spark applications running on a distributed ?le system to enable the handling and ...
The Impact of Job Referrals on Employment Outcomes in Top Corporate Positions
(2020-03-01)
Using an original dataset on professional networks of directors sitting on the boards of large US corporations, we examine how personal relationships are used by firms to improve job match quality in the high-skill segment ...
Time Preferences over the Life Cycle
(2020-02-01)
We study whether and how time preferences change over the life cycle, exploiting representative long-term panel data. We estimate the age patterns of discount rates from age 25 to 80. In order to identify age effects, we ...
Risk Pooling, Leverage, and the Business Cycle
(2020-02-25)
This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ...
Financial Literacy and Self-Control in FinTech: Evidence from a Field Experiment on Online Consumer Borrowing
(2019-10-14)
We report the results of a longitudinal intervention with students across five universities in China designed to reduce online consumer debt. Our research design allocates individuals to either a financial literacy treatment, ...
Back to the Future: A Sovereign Debt Standstill Mechanism IMF Article VIII, Section 2 (b)
(2020-06-22)
This article provides a proposal to use IMF Article VIII, Section 2 (b) to establish a binding mechanism on private creditors for a sovereign debt standstill. The proposal builds on the original idea by Whitney Deveboise ...
Collateral Eligibility of Corporate Debt in the Eurosystem
(2020-04-01)
We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ...
Higher-Order Income Risk over the Business Cycle: A Parametric Approach
(2020-03-24)
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ...