Annual Conference

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Real Estate and Urban Economics

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May 2023

Leveraging the Disagreement on Climate Change: Theory and Evidence

Russell Tsz-Nga WONG, Laura BAKKENSEN, Toan PHAN
We model a mortgage market where agents have different beliefs over a longrun climate risk. In contrast with existing two-period competitive-equilibrium models, our infinite-horizon competitive-search model predicts more pessimistic agents are more likely to make leveraged investments on properties ...
Keywords: climate finance, sea level rise, heterogeneous beliefs, real estate, mortgage, search and matching, monetary policy
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Leverage Network and Market Contagion

Jiangze BIAN, Hao ZHOU, Zhi DA, Dong LOU
Using detailed data of margin investors’ leverage ratios and trading activities, we provide novel evidence for the effect of margin-induced trading on the cross-section of stock returns during the recent market turmoil in China. We first document the deleverge-induced sales. Aggregating this behav...
Keywords: Margin trading, Leverage, contagion, network centrality
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Annual Conference

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Economic Transformation of Asia, Senior Fellows/Fellows

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May 2017

Leverage Induced Fire Sales and Asset Prices

Jiangze BIAN, Cong LIN, Hao ZHOU, Kelly SHUE, Zhiguo HE
We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level leverage e...
Keywords: stock market, FinTech Lending, fire sales
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Annual Conference

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Investment Finance

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May 2017

Leverage

Pietro VERONESI, Tano SANTOS
Many stylized facts of leverage, trading, and asset prices follow from a frictionless general equilibrium model that features agents’ heterogeneity in endowments and habit preferences. Our model predicts that aggregate debt increases in good times when stock prices are high, return volatility is l...
Keywords: Risk Preferences, Leverage, Heterogeneity, Intermediary
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Specialty Conference

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Specialty Conference

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Nov 2018

Lessons for Cryptocurrencies from Foreign Exchange Markets

Charles ENGEL
This essay brings insights from the academic literature on foreign exchange rate determination to the analysis of cryptocurrency markets. We present a simple framework to summarize the factors that determine exchange rates. To the extent that cryptocurrencies are like national currencies issued by c...
Keywords: Foreign exchange, cryptocurrency, money, digital currencies, policy
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