The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Measuring Liquidity Mismatch in the Banking Sector
Published: 11/16/2017, Volume: 73, Issue: 1 | DOI: 10.1111/jofi.12591 | Cited by: 167
JENNIE BAI, ARVIND KRISHNAMURTHY, CHARLES‐HENRI WEYMULLER
This paper constructs a liquidity mismatch index (LMI) to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities, for 2,882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from +$4 trillion precrisis to −$6 trillion in 2008. We conduct an LMI stress test revealing the fragility of the banking system in early 2007. Moreover, LMI predicts a bank's stock market crash probability and borrowing decisions from the government during the financial crisis. The LMI is therefore informative about both individual bank liquidity and the liquidity risk of the entire banking system.
The Impact of Bank Credit on Labor Reallocation and Aggregate Industry Productivity
Published: 10/14/2018, Volume: 73, Issue: 6 | DOI: 10.1111/jofi.12726 | Cited by: 173
JOHN (JIANQIU) BAI, DANIEL CARVALHO, GORDON M. PHILLIPS
We provide evidence that the deregulation of U.S. state banking markets leads to a significant increase in the relative employment and capital growth of local firms with higher productivity, and that this effect is concentrated among young firms. Using financial data for a broad range of firms, our analysis suggests that this effect is driven by a shift in the composition of local bank credit supply toward more productive firms. We estimate that this effect translates into economically important gains in aggregate industry productivity and that changes in the allocation of labor play a central role in driving these gains.