NBER Working Papers by Andrea Beltratti

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Working Papers

July 2009Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
with René M. Stulz: w15180
Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors that have been discussed as having contributed to the poor performance of banks during the credit crisis. More specifically, we investigate whether bank performance is related to bank-level governance, country-level governance, country-level regulation, and bank balance sheet and profitability characteristics before the crisis. Banks that the market favored in 2006 had especially poor returns during the crisis. Using conventional indicators of good governance, banks with more shareholder-friendly bo...

Published: "The credit crisis around the globe: Why did some banks perform better?," with Andrea Beltratti, Journal of Financial Economics, 2012, v105(1), 1-17.

August 1993Sustainable Growth and the Green Golden Rule
with Graciela Chichilnisky, Geoffrey Heal: w4430
We study a growth model with an environmental asset which is a source of utility and an input to consumption and production. The stock of this asset follows its own ecological dynamics, which are affected by economic activity. We study the implications of an approach to ranking sequences of consumption and environment over time that place weight both on the characteristics of the sequence over any finite period and on its very long run or limiting characteristics. Chichilnisky [5] has called these "sustainable preferences". The criterion shows more intertemporal symmetry than the discounted utilitarian approach. which clearly emphasizes the immediate future at the expense of the long run. In this respect Chichilniskys criterion captures some of the concerns of those who argue for sustainab...

Published: Published as "The Green Golden Rule", EL, Vol. 49, no. 2 (1995): 175-179.

March 1991Actual and Warranted Relations Between Asset Prices
with Robert J. Shiller: w3640
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do not imply that the covariances between prices equal the corresponding covariances of ex-post values. We present bounds for covariances and correlations of prices based on the covariance of ex-post values, and show how such bounds can be tightened using information about forecasting variables. The methods are used to examine the historical covariance between the U.S. and U.K. stock markers 1919-1989. The bounds on the covariance include the actual correlation.

Published: Oxford Economic Papers, vol. 45, no. 3, p. 387-402, July 1993 citation courtesy of

October 1990Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?
with Robert J. Shiller: w3464
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector autoregression. This overreaction is not associated with any overreaction to changes in the short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates, and according to the model they should show little reaction. These conclusions were reached from an analysis of annual data in the united states 1871 to 1989 and the united Kingdom 1918 to 1989.

Published: Journal of Monetary Economics 30, pp. 25-46 (1992). citation courtesy of

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