Sieve Estimation of Time-varying Factor Loadings

    Author: CHEUNG Ying Lun, Goethe University Frankfurt Abstract: This paper considers the estimation of the time-varying factor (TVF) model. We assume the TV-loadings to be Hölder continuous, and by applying appropriate identification restrictions, we show that the latent factors can be consistently estimated without rotation. We propose to …

The Externalities of Information: Lending to Peer Firms

    Author: Yangming Bao, Goethe University Frankfurt and SAFE Abstract: In this paper, I empirically analyze the externalities of information in bank lending behavior. Using syndicated loan data, I find that banks would accept 10 basis points lower loan rates when lending to their previous borrowers’ local peers, after controlling …