Lightnews — Scholar-powered news

Jonathan A. Parker @profjaparker.bsky.social · Feb 19

Everyone who knows anything about finance or government budgeting knows that a crypto reserve fund is an extremely bad idea

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Stefan Nagel @profstefannagel.bsky.social · Dec 31

Our estimates are consistent with bank stock prices (they fell strongly when interest rates went up 2022-2023), but not with banks' estimates of their own interest-rate risk exposure (most of them reported in 10Ks in 2021 that a future rise in interest rates would *raise* their equity values).

Stefan Nagel @profstefannagel.bsky.social · Dec 31

All taken together, franchise value has positive duration -- it falls when interest rates go up. As a consequence, while banks' holdings of long duration securities may help stabilize net interest margins, they do not hedge franchise value.

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Stefan Nagel @profstefannagel.bsky.social · Dec 31

Franchise costs, an interest-rate insensitive stream of costs to run the bank, induce negative duration. But we find empirically that banks earn an interest-rate insensitive spread component on the lending side that more than offsets the franchise costs.

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Stefan Nagel @profstefannagel.bsky.social · Dec 31

Banks earn a spread on deposits, empirically approx. beta x fed funds rate, with beta < 0. As this cash flow floats proportional to the fed funds rate, its duration is zero. When interest rates rise, the cash flow goes up, but the discount rate rise exactly offsets the valuation effect.

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Stefan Nagel @profstefannagel.bsky.social · Dec 31

New paper alert! We estimate bank franchise value and its exposure to interest rate risk, i.e., its duration. We look at the combined effect of several moving parts: (1/n)

NBER @nber.org · Dec 31

Bank franchise value declines with interest rates. Low deposit betas do not imply negative duration for the median bank, once spreads from lending activity are taken into account, from Peter M. DeMarzo, Arvind Krishnamurthy, and Stefan Nagel https://www.nber.org/papers/w33308

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NBER @nber.org · Dec 31

Bank franchise value declines with interest rates. Low deposit betas do not imply negative duration for the median bank, once spreads from lending activity are taken into account, from Peter M. DeMarzo, Arvind Krishnamurthy, and Stefan Nagel https://www.nber.org/papers/w33308

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Stefan Nagel @profstefannagel.bsky.social · Dec 15

Yes.

Alex Imas @aleximas.bsky.social · Dec 15

👇 Students will be using AI (heavily) whether you like it or not. The challenge for us as educators is to incorporate AI responsibly into our classroom to facilitate learning. We can have a debate on what method is best, but the response "AI is bad, don't use it" doesn't engage with reality.

Anton Strezhnev @astrezh.bsky.social · Dec 15

Yeah, the big issue I’m running into is that students will just go to mainstream LLMs to get explanations rather than find other resources or ask *me* questions - and the LLMs are trained on 2010s LinkedIn/Medium data science slop so they end up with the wrong understanding.

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Alex Imas @aleximas.bsky.social · Dec 15

👇 Students will be using AI (heavily) whether you like it or not. The challenge for us as educators is to incorporate AI responsibly into our classroom to facilitate learning. We can have a debate on what method is best, but the response "AI is bad, don't use it" doesn't engage with reality.

Anton Strezhnev @astrezh.bsky.social · Dec 15

Yeah, the big issue I’m running into is that students will just go to mainstream LLMs to get explanations rather than find other resources or ask *me* questions - and the LLMs are trained on 2010s LinkedIn/Medium data science slop so they end up with the wrong understanding.

Sam Tobin-Hochstadt @samth.bsky.social · Dec 15

I think many of the (quite gross) reactions to this are not grappling yet with how many their students already have what they think is this product in the form of chatgpt.

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Ben Moll @benmoll.bsky.social · Nov 29

New paper: benjaminmoll.com/challenge/

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Stefan Nagel @profstefannagel.bsky.social · Nov 19

I remember… it was soooo good! 😋

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Trade Diversion (Jonathan Dingel) @tradediversion.bsky.social · Nov 17

Grad students: Read everything Jesse Shapiro posts at scholar.harvard.edu/shapiro/note.... Office meetings and student talks are often just me reciting "write an aspirational intro", "Your audience does not care about your topic", or "No one wants to see your underwear".

Notes and Lectures

Introduction to Quantitative Economics: Complete form to request a copy of book-in-progress. Political Economy of Electoral Democracies (PhD Course Syllabus, Spring 2024, with Vincent Pons and Aakaas...

scholar.harvard.edu

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Stefan Nagel @profstefannagel.bsky.social · Nov 17

Post a picture you took (no description) to bring some zen to the timeline

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Bluesky @bsky.app · Nov 16

Another day, another million new people have joined Bluesky!

18M users? 🙂‍↔️ 18M friends 🙂‍↕️

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Luis Garicano @lugaricano.bsky.social · Nov 13

42000 companies must prepare sustainability statements based on 1052 data points, 783 mandatory.
We're not just adding a cost to business—we're shifting the incentives for where talent goes and risking a poverty trap: "The Compliance Doom Loop."
www.siliconcontinent.com/p/the-compli...

The Compliance Doom Loop

Why the rules keep growing

www.siliconcontinent.com

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