Published: 3/11/2022

Robin Greenwood

Harvard Business School

 

Samuel G. Hanson

Harvard Business School

 

Andrei Shleifer

Harvard Business School

 

Jakob Ahm SØrensen

Harvard Business School

Abstract: Using historical data on postwar financial crises around the world, we show that the combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with a 40% probability of entering a financial crisis within the next three years. This compares with a roughly 7% probability in normal times, when neither credit nor asset price growth is elevated. Our evidence challenges the view that financial crises are unpredictable “bolts from the sky” and supports the Kindleberger‐Minsky view that crises are the byproduct of predictable, boom‐bust credit cycles. This predictability favors policies that lean against incipient credit‐market booms.

世界各地战后金融危机的历史数据表明，无论是非金融企业还是家庭部门，前三年信贷和资产价格的快速增长与未来三年内进入金融危机的40%的概率有关。而在正常时期，当信贷和资产价格增长都不高时，这一概率约为7%。我们的证据挑战了金融危机是不可预测的“从天而降”这一观点，并支持金德伯格-明斯基的观点，即危机是可预测的繁荣-萧条信贷周期的副产品。这种可预测性有利于制定反对信贷市场初期繁荣的政策。

Link: https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13105

Published: 15 March 2022

David Easley

Cornell University

Abstract: We develop a model of psychological-games-played-on-a-network to demonstrate a role for endogenously determined, rationally chosen ethics. Our analysis produces sharp results about contagion of nonethical or ethical behavior and the possible equilibrium configurations of each type of behavior. We find, and quantify, critical densities for clusters of each type of behavior that determine everything about contagion. We introduce society as a third player to investigate ethical failures as externalities. We use these results to show how regulations and network structure can affect whether clusters of ethical behavior can survive and how large they can be in a financial market setting.

我们建立了一个在网络上进行的心理游戏的模型，以证明内生决定的、理性选择的道德的作用。我们的分析产生了关于非道德或道德行为的传染以及每种行为的可能均衡配置的尖锐结果。我们发现并量化了每一类行为集群的临界密度，这决定了关于传染的一切。我们把社会作为第三个角色来研究作为外部因素的道德失败。我们用这些结果来说明法规和网络结构如何影响道德行为集群是否能够生存以及它们在金融市场环境中的规模。

Link: https://doi.org/10.1093/rfs/hhac015

Published: 14 March 2022

Sergey Chernenko

University Faculty Scholar

 

Isil Erel

Ohio State University

 

Robert Prilmeier

Ohio State University

Abstract: Analyzing hand-collected credit agreements for a sample of middle-market firms over 2010–2015, we find that one-third of all loans are directly extended by nonbank financial intermediaries. Two-thirds of such nonbank lending can be attributed to bank regulations that constrain banks’ ability to lend to unprofitable and highly levered borrowers. Firms with negative EBITDA and debt/EBITDA greater than six are 32% and 15% more likely to borrow from nonbanks. These firms pay significantly higher interest rates, especially following the 2013 leveraged loan guidance revisions. Nonbank borrowers also receive different nonprice terms compared to firms borrowing from banks.

通过分析2010-2015年中间市场企业样本的手工收集的信贷协议，我们发现三分之一的贷款是由非银行金融中介机构直接发放的。这种非银行贷款的三分之二可归因于银行的法规，这些法规限制了银行向无利可图和高杠杆的借款人贷款的能力。EBITDA为负数且债务/EBITDA大于6的企业从非银行贷款的可能性分别为32%和15%。这些企业支付的利率要高得多，特别是在2013年杠杆贷款指导意见修订后。与从银行借款的企业相比，非银行借款人也得到了不同的非价格条款。

Link: https://doi.org/10.1093/rfs/hhac016

Published: 11 March 2022

Enrico Perotti

University of Amsterdam

 

Magdalena Rola-Janicka

Tilburg University

Abstract: Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead to asset underpricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.

一些信贷繁荣导致了金融危机的发生。虽然过度的风险承担可以合理地解释繁荣到萧条的周期，但许多投资者并没有预期到风险的增加。我们表明，由于不透明的银行资产掩盖了风险激励，信贷繁荣可能被误解为由高生产力驱动。相对于生产前景而言，平衡的资金可以维持谨慎的贷款（良好的繁荣），而资金不平衡可能会诱发高风险暴露并推动资产价格（不良的繁荣），或者导致资产定价过低和贷款不足（错过的繁荣）。理性的代理人从价格中推断出的错误可能会放大资金失衡的影响，并传播风险。

Link: https://doi.org/10.1093/rfs/hhac014