In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities that integrates the premature default risk conditions with loan rate-setting behavioral mode and multiple shadow banking activities under capital regulation. The barrier options theory of corporate...

We propose a new conceptual framework for monetary policy transmission through shadow banks in the mortgage market that highlights the role of mortgage servicing in generating non-deposit funds for lending. We document that mortgage servicing acts as a natural hedge against interest rate shocks...

This paper investigates how gender disparities affect the time to repay group micro-finance loans using survival analysis and hazard decomposition techniques. We also control for the effect of the COVID-19 pandemic on the time needed by micro-finance loan borrowers to repay. We use a large...

Despite the growing share of shadow banks in the U.S. mortgage market, the interaction between their origination and servicing business and its implications for monetary policy transmission are not well understood. We propose and test a novel channel of monetary policy transmission through...

We investigate the impact of Big Tech lending on non-bank traditional lenders, which have a more overlapping clientele with Big Techs than traditional banks. Our empirical methodology exploits geographical differences in Big Tech penetration ratios and adopts the instrumental variable (IV)...

Loan funds are open-end mutual funds holding predominantly corporate leveraged loans. We document empirically that loan funds are significantly more susceptible to run risk than any other category of debt funds, including corporate bond funds. Most importantly, we establish a link between loan...

This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994-2017. We find that on average, LLPs are negatively associated with one year ahead stock returns. This effect is particularly significant during the global financial crisis but much weaker during...

We present a model of secured credit chains in which assets generated from intermediation activity and pledged as collateral create fragility. A dealer stands between a borrower and a financier. The dealer borrows from the financier to fund her project, subject to a moral hazard problem, In...

We present a model of secured credit chains in which assets generated from intermediation activity and pledged as collateral create fragility. A dealer stands between a borrower and a financier. The dealer borrows from the financier to fund her project, subject to a moral hazard problem, In...

This paper studies the capital regulation of banks that choose whether to become traditional, deposit taking banks or shadow banks that provide credit intermediation through securitization. If capital regulation only covers traditional banks, it will lead to the emergence of excessively risky...