University of California at Berkeley
Haas School of Business
545 Student Services Building
Berkeley, CA 94720
NBER Working Papers and Publications
|November 2014||Do Credit Market Shocks affect the Real Economy? Quasi-Experimental Evidence from the Great Recession and ‘Normal’ Economic Times|
with Michael Greenstone, Alexandre Mas: w20704
We estimate the effect of the reduction in credit supply that followed the 2008 financial crisis on the real economy. We predict county lending shocks using variation in pre-crisis bank market shares and estimated bank supply-shifts. Counties with negative predicted shocks experienced declines in small business loan originations, indicating that it is costly for these businesses to find new lenders. Using confidential microdata from the Longitudinal Business Database, we find that the 2007-2009 lending shocks accounted for statistically significant, but economically small, declines in both small firm and overall employment. Predicted lending shocks affected lending but not employment from 1997-2007.
|November 2011||Hedge Fund Tail Risk|
with Tobias Adrian, Markus K. Brunnermeier
in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo, editors
This chapter uses quantile regressions to examine the interdependencies between different hedge fund styles in times of crisis. It shows that tail sensitivities between different strategies are higher in times of distress, suggesting the potential for simultaneous losses across many hedge funds; identifies seven risk factors related to these tail dependencies; and shows that offloading this risk significantly reduces the sensitivities. However, consistent with existing literature, it is also shown that these factors explain a large part of hedge funds' expected returns. The chapter provides evidence suggesting that capital flows across strategies and over time reward those which load more heavily on the tail risk factors.