Found 29 article(s) for author 'Samuel Hanson'

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. Robin Greenwood, Samuel Hanson, November 17, 2015, Paper. “We present a model of the yield curve in which the central bank can provide market participants with forward guidance on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond risk premia. If a QE operation is expected to be undone in the near term, then its announcement will have a hump-shaped effect…Link

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A Comparative-Advantage Approach to Government Debt Maturity

A Comparative-Advantage Approach to Government Debt Maturity. Robin Greenwood, Samuel Hanson, Jeremy Stein, August 2015, Paper. “The government’s choice of shorter-maturity debt issuance may complement prudential financial regulation by crowding out private issuance, thereby limiting excess private money creation. Although greater short-term government debt increases rollover risk because of a reduction in private short-term debt, the government’s optimal debt maturity choice can reduce the social cost of excessive private debt issuance.Link

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Who Neglects Risk? Investor Experience and the Credit Boom

Who Neglects Risk? Investor Experience and the Credit Boom. Samuel G. Hanson, Adi Sunderam, April 2015, Paper. “Many argue that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds’ holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors beliefs. During the 2003 to 2007 mortgage boom, inexperienced fund managers loaded up on securitizations linked to nonprime mortgages, accumulating twice the holdings of more seasoned managers by 2007…” Link

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Government Debt Management at the Zero Lower Bound

Government Debt Management at the Zero Lower Bound. Robin Greenwood, Samuel G. Hanson, Lawrence H. Summers, September 30, 2014, Paper. “This paper re-examines government debt management policy in light of the U.S. experience with extraordinary fiscal and monetary policies since 2008. We first document that the Treasury’s decision to lengthen the average maturity of the debt has partially offset the Federal Reserve’s attempts to reduce the supply of long-term bonds held by private investors through its policy of quantitative easing…” May require purchase or user account. Link

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Banks as Patient Fixed Income Investors

Banks as Patient Fixed Income Investors. Samuel G. Hanson, Andrei Shleifer, Jeremy Stein, August 2014, Paper. “We examine the business model of traditional commercial banks in the context of their coexistence wit shadow banks. While both types of intermediaries create safe “money-like” claims, they go about this in very different ways. Traditional banks create safe claims with a combination of costly equity capital and fixed income assets that allows their depositors to remain “sleepy”: They do not have to pay attention to transient fluctuations in the mark-to-market value of bank assets. In contrast…” Link Verified October 18, 2014

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Fiscal Risk and the Portfolio of Government Programs

Fiscal Risk and the Portfolio of Government Programs. Samuel G. Hanson, David S. Scharfstein, Adi Sunderam, June 2014, Paper. “This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions. The government internalizes market failures and therefore perceives project payoffs differently than do individual private actors. This gives it a “social risk management” motive—projects that generate social benefits are attractive, particularly if those benefits are realized in bad economic states…” Link

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A Comparative-Advantage Approach to Government Debt Maturity

A Comparative-Advantage Approach to Government Debt Maturity. Robin Greenwood, Samuel G. Hanson, May 2014, Paper. “We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a setting where the government is the only issuer of such riskless paper, it trades off the monetary premium associated with short-term debt against the refinancing risk implied by the need to roll over its debt more often. We then extend the model to allow private financial intermediaries…” Link verified June 19, 2014

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An Evaluation of Money Market Fund Reform Proposals

An Evaluation of Money Market Fund Reform Proposals. Samuel G. Hanson, David S. Scharfstein, Adi Sunderam, May 2014, Paper. “U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of considerable instability during the financial crisis of 2007-2009, resulting in extraordinary government support to help stabilize the funding of global financial institutions. In light of the problems that emerged during the crisis, a number of MMF reforms have been proposed…” Link

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Monetary Policy and Long-Term Real Rates

Monetary Policy and Long-Term Real Rates. Samuel G. Hanson, Jeremy Stein, April 2014, Paper. “Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on an FOMC announcement day is associated with a 42 basis point increase in the ten-year forward real rate. This finding is at odds with standard macro models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the economy can readjust…” Link

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