Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
利用美国大型金融中介在财报发布窗口期的股价变动识别金融冲击，发现这些冲击显著影响非金融企业的股价、借贷成本和宏观经济变量，且对低信用评级企业和中介净值较低时影响更大。
Abstract We provide empirical evidence on how news about financial intermediaries’ net worth impacts the aggregate economy, using a high-frequency identification strategy. We measure “financial shocks” based on the idiosyncratic stock-price changes of large U.S. intermediaries in a narrow window around their earnings announcements. We document significant effects of these shocks on the stock price and borrowing costs of nonfinancial firms, as well as on macroeconomic variables. The effects are more pronounced for firms with low credit ratings and when the aggregate net worth of intermediaries is low.