Annual Conference

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Real Estate and Urban Economics

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May 2018

There's No Place like Home: Information Asymmetries, Local Asset Concentration, and Portfolio Returns

David C. LING, Andy NARANJO, Benjamin SCHEICK
We provide robust evidence showing local information plays a significant role in local asset concentrations and return outperformance. Using a unique setting with significant cross-market information asymmetries and large sample of individual commercial property holdings, we find property portfolio ...
Keywords: Asset Concentration, Information asymmetry, Home Bias, Location, Real Estate Returns
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Corporate Default Risk and Loan Pricing Behavior in China

Hongyi CHEN, Jianghui CHEN, Gaofeng HAN
This paper studies banks’ loan pricing behaviour in mainland China from 2003-2013 by applying panel regressions to firm-level loan data and estimated default likelihood for listed companies. We find that, with the progress of market-oriented financial reforms, banks generally require compensation ...
Keywords: Default Risk, Bank Loan Pricing, SOE, Non-SOE, China
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

A Survey-based Shadow Rate and Unconventional Monetary Policy Effects

Yoichi UENO, Hibiki ICHIUE
Many studies estimate a shadow interest rate, which can be negative when the short-term rate is at the effective lower bound, and use it as the monetary policy indicator. This study proposes a novel method to estimate the shadow rate using survey forecasts of macroeconomic variables and allowing the...
Keywords: monetary policy, Effective Lower Bound, zero lower bound, Shadow Rate, Survey Forecasts
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Quantitative or Qualitative Forward Guidance: Does it matter?

Richhild MOESSNER, Ozer KARAGEDIKLI, Gunda-Alexandra DETMERS
Every monetary policy decision by the Reserve Bank of New Zealand (RBNZ) is accompanied by a written statement about the state of the economy and the policy outlook, but only every second decision by a published interest rate forecast. We exploit this difference to study the relative influences of q...
Keywords: monetary policy, forward guidance, interest rate forecasts
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Bank Supply Shocks and Firm Investment: A Granular View from the Thai Credit Registry Data

Nasha ANANCHOTIKUL, Vorada LIMJAROENRAT
This paper attempts to link bank loan supply shocks to the real economic activity at the firm and aggregate level. We apply the methodology pioneered by Amiti and Weinstein (2017) to bank-firm credit registry dataset in Thailand for the period of 2004-2015. Loan growth dynamics of individual banks a...
Keywords: Bank supply shocks, Credit cycle, Bank relationships, Bank concentration, Granular shocks, Firm investment, Credit registry data, Thailand
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