期刊-NBER美国国民经济研究局-2009no4_36页_1010kb

NBER Reporter Summary - 2009 Number 4

Core Content

The NBER Reporter issue from 2009 Number 4 provides an in-depth analysis of the financial crisis and its implications, focusing on corporate finance research, bank behavior, and policy responses. It also includes summaries of studies on home production, labor supply, and the role of government in financial markets.

Main Topics and Key Findings

Corporate Finance Program Overview

• The NBER's Corporate Finance Program, established in 1991, has explored various aspects of financial markets, including credit booms, illiquidity, bank runs, and credit crunches.
• The financial crisis was driven by factors such as increased lending to low-income borrowers, flawed financial innovation, and government pressure to expand housing access.
• Key research highlights:
  • Atif Mian and Amir Sufi argue that the increase in lending to low-income borrowers was due to a rise in the supply of credit, not an improvement in credit quality.
  • Efraim Benmelech and Jennifer Dlugosz suggest that "ratings shopping" and declining standards at rating agencies contributed to the deterioration in mortgage-backed security quality.
  • Vasiliki Skreta and Laura Veldkamp emphasize that the incentive for issuers to seek the highest ratings may have increased the inherent bias in published ratings.
  • Charles Calomiris and Mian & Sufi propose that government mandates through Fannie Mae and Freddie Mac, along with the Federal Housing Authority, may have exacerbated the lending boom.

Bank Risk-Taking and Incentive Structures

• Douglas W. Diamond and Raghuram G. Rajan discuss how banks were incentivized to take on excessive risk due to short-term compensation structures that rewarded performance on short-term metrics.
• Veronica Guerrieri and Peter Kondor propose that manager career concerns could explain shifts in risk-taking behavior, leading to booms and busts in financial markets.
• Andrea Beltratti and Rene M. Stulz find that banks with high shareholder returns in 2006 performed worse during the crisis, suggesting that risk-taking was driven by maximizing shareholder value.
• Rudiger Fahrenbrach and Stulz show that CEOs with high equity holdings in their firms during 2006 were more likely to perform poorly during the crisis, indicating a misalignment between risk and reward.

Short-Term Debt Financing

• Diamond and Rajan argue that banks financed with short-term debt reduced the risk of lenders losing their investment, as short-term debt allows for quicker exit or higher premiums in case of trouble.
• The use of short-term debt also led to liquidity risk, as firms with short-term debt reduced investment by about one-third during the crisis.
• Marcin Kacperczyk and Philipp Schnabl suggest that the shift to holding longer-term illiquid assets by banks, financed with short-term debt, may have been due to excessive risk-taking or confidence in the Fed's liquidity support.

Panic and Fire Sales

• Zhiguo He and Wei Xiong model the panic as a dynamic rat race, where creditors demand higher safety margins, leading to a self-fulfilling lending freeze.
• Ricardo Caballero and Alp Simsek highlight how the panic led to a downward spiral in asset prices, as banks were forced to sell assets at fire sale prices, further depressing values.
• Gary Gorton and Andrew Metrick discuss how liquidity drying up led to "haircuts" on collateral, reducing the amount of debt banks could raise and forcing asset sales, which worsened the crisis.

Rescue Efforts and Bank Bailouts

• Takeo Hoshi and Anil K. Kashyap analyze the Japanese financial crisis and suggest that a combination of recapitalization and asset purchases is necessary for effective bank recovery.
• Pietro Veronesi and Luigi Zingales estimate that U.S. government intervention in 2008 increased the value of financial claims by $131 billion, at a cost to taxpayers of $25–$47 billion.
• They argue that a bankruptcy would have destroyed about 22% of failing banks' value, but the intervention ultimately benefited the economy.

What Did Not Cause the Panic?

• Christian Laux and Christian Leuz argue that fair value accounting was not the primary cause of the crisis.
• They note that market values, not accounting values, were used in contracts, and that banks may have overvalued their assets, especially where they had discretion.

Other Issues

• Hui Tong and Shang-Jin Wei examine the impact of capital flows on emerging markets, finding that the composition of capital inflows (especially FDI vs. portfolio investment) affected the severity of the crisis.
• Thomas Phillipon and Ariell Reshef argue that finance jobs were overpaid relative to the rest of the economy, both before the 1929 crash and the 2008 crisis.
• They suggest that deregulation increased access to credit and the willingness to take credit risk, but also led to higher salaries for financial sector workers.

Research Summaries

Home Production, Consumption, and Labor Supply

• Mark Aguiar and Erik Hurst explore how individuals allocate time and resources between market and non-market activities.
• They use Becker's framework, where consumption is viewed as home production that combines time and market goods.
• Key findings:
  • As the opportunity cost of time falls, individuals substitute away from market expenditures and increase home production.
  • The framework helps explain the "retirement consumption puzzle," where food expenditures fall but meal preparation time increases.
  • It also explains the increase in women's leisure time as their labor force participation rose since the 1960s.

Home Production and the Retirement Consumption Puzzle

• The decline in food expenditures during retirement is matched by a rise in meal preparation time, indicating that the shift is due to changes in the opportunity cost of time, not a reduction in consumption.
• The study suggests that the consumption puzzle may be better understood by considering the role of home production in the life cycle.

NBER Profiles and Conferences

• The issue includes profiles of NBER directors and information about upcoming conferences and events.
• The NBER is a private, nonprofit research organization focused on objective quantitative analysis of the American economy.

NBER News and Funding

• The NBER relies on funding from individuals, corporations, and private foundations to maintain its independence.
• Contributions are tax-deductible and should be directed to James M. Poterba, President & CEO.

Conclusion

• The financial crisis was driven by a combination of increased lending to low-income borrowers, flawed financial innovation, and government policies.
• Bank behavior was influenced by risk-taking incentives, short-term debt financing, and the potential for future fire sales.
• Rescue efforts, while costly, were necessary to prevent further economic damage.
• Research on home production and labor supply provides a broader understanding of economic behavior and consumption patterns.
• Despite the crisis, corporate finance research remains vital and promising for years to come.