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Heterogeneity and Asymmetric Macroeconomic Effects of Changes in Loan-to-Value Limits 贷款价值比限额变化的异质性和不对称宏观经济效应
ERN: Commercial Banks (Topic) Pub Date : 2019-05-13 DOI: 10.2139/ssrn.3388199
J. de Jong, Emmanuel de Veirman
{"title":"Heterogeneity and Asymmetric Macroeconomic Effects of Changes in Loan-to-Value Limits","authors":"J. de Jong, Emmanuel de Veirman","doi":"10.2139/ssrn.3388199","DOIUrl":"https://doi.org/10.2139/ssrn.3388199","url":null,"abstract":"We estimate the macroeconomic effects of changes in loan-to-value limits using an approach that involves the cross-sectional loan-to-value distribution and does not require that a limit is actually in place. We show that the effects are asymmetric and non-linear as tighter limits constrain a larger fraction of borrowers. Symmetry is a good approximation when the limit is tight but not at other points. We find that an increase in heterogeneity can substantially increase the effects of a change in loan-to-value caps. We document that if one abstracts from borrower heterogeneity, one understates the size of the effects of LTV limits when the limit lies above the average LTV. <br>","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73833915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Changes in the Effects of Bank Lending Shocks and Development of Public Debt Markets 银行贷款冲击效应的变化与公债市场的发展
ERN: Commercial Banks (Topic) Pub Date : 2019-05-07 DOI: 10.2139/ssrn.3383927
Sangyup Choi
{"title":"Changes in the Effects of Bank Lending Shocks and Development of Public Debt Markets","authors":"Sangyup Choi","doi":"10.2139/ssrn.3383927","DOIUrl":"https://doi.org/10.2139/ssrn.3383927","url":null,"abstract":"This paper investigates whether the effect of bank lending shocks has changed over time using a sign-restriction Vector Autoregression approach. To the extent to which the effect of bank lending shocks depends critically on firms’ ability to access alternative sources of financing, the rapid development in public debt markets from the 1980s might have weakened this effect. Indeed, we confirm that the effect of bank lending shocks on output has decreased significantly since the 1980s. Consistent with the financial innovation-based explanation of such reduced effects of bank lending shocks, we find that their effects on corporate bond markets have substantially changed as well. These changes in the substitutability between loans and bonds via financial innovation are key to understanding the reduced effect of bank lending shocks. Supporting our identifying assumptions regarding firms’ ability to access alternative sources of financing, the substantial decline in the effects of bank lending shocks is only observed on investment, not consumption.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"182 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80337880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Simultaneity of Interbank Market Rates – Theory and Methodological Implications 银行间市场利率的同步性-理论和方法的影响
ERN: Commercial Banks (Topic) Pub Date : 2019-04-28 DOI: 10.2139/ssrn.3082784
Christoph Siebenbrunner, Michael Sigmund
{"title":"Simultaneity of Interbank Market Rates – Theory and Methodological Implications","authors":"Christoph Siebenbrunner, Michael Sigmund","doi":"10.2139/ssrn.3082784","DOIUrl":"https://doi.org/10.2139/ssrn.3082784","url":null,"abstract":"We study price formation on interbank markets. We derive insights from a theoretical model that have important implications for empirical applications. In our theoretical model banks compete on lending and deposit rates in a horizontally differentiated oligopoly. Banks have to close funding gaps or surpluses, but the model allows them to hold both interbank assets and liabilities, a behavior that has been extensively documented empirically. We show the existence of a Nash equilibrium and provide conditions for its uniqueness. The key insight from the theoretical model is that interbank lending and deposit rates are determined simultaneously. We document the presence of simultaneity in an example estimation using real-world data. We show that this simultaneity would induce an economically significant bias into the estimations and lead to flawed inference if it was not accounted for. We thus advocate testing for simultaneity when performing empirical analyses of interbank market rates or spreads.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81305483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Research on the Efficiency of Commercial Banks in China: Based on Two-Stage FDH Method 中国商业银行效率研究——基于两阶段外佣法
ERN: Commercial Banks (Topic) Pub Date : 2019-04-20 DOI: 10.2139/ssrn.3375399
Xiuhua Wang, Panpan Fu, Yonggang Tian
{"title":"Research on the Efficiency of Commercial Banks in China: Based on Two-Stage FDH Method","authors":"Xiuhua Wang, Panpan Fu, Yonggang Tian","doi":"10.2139/ssrn.3375399","DOIUrl":"https://doi.org/10.2139/ssrn.3375399","url":null,"abstract":"The evaluation of bank efficiency is the premise and guidance of high-quality development of the banking industry. On the basis of the existing research on bank efficiency, the operation process of banks is divided into two stages of saving collection and making profits. Based on the conditions of free disposal and the assumption of intermediate connection, the two-stage FDH Production Possibility Set is constructed, and then we build the two-stage FDH model. This model can not only avoid the inconsistency of the estimator of DEA method due to strict assumption but also improve the resolution of the traditional FDH .The efficiency of 57 commercial banks in China from 2013 to 2017 was calculated by using the traditional FDH and two-stage FDH method. The results show that compared with the traditional FDH method, the two-stage FDH method has a great improvement on the resolution to the bank, and can get the benchmark based on the real subsystem of the evaluated bank, and excavate the information of further improving the bank efficiency. The results also show that state-owned banks are more efficient than joint-stock banks, and the efficiency of these two is significantly higher than that of city commercial banks and rural commercial banks.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"77 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83312107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Capital Flows: The Role of Bank and Nonbank Balance Sheets 资本流动:银行和非银行资产负债表的作用
ERN: Commercial Banks (Topic) Pub Date : 2019-04-01 DOI: 10.5089/9781498311472.001
Y. Hashimoto, Signe Krogstrup
{"title":"Capital Flows: The Role of Bank and Nonbank Balance Sheets","authors":"Y. Hashimoto, Signe Krogstrup","doi":"10.5089/9781498311472.001","DOIUrl":"https://doi.org/10.5089/9781498311472.001","url":null,"abstract":"This paper assesses the role of bank and nonbank financial institutions' balance sheet foreign exposures and risk management practices in driving capital flow responses to global risk. Using a unique and previously unexplored dataset on domestic and cross border balance sheet positions of financial institutions collected by the IMF, we show that the response of overall capital flows to global risk shocks is associated with the on-balance sheet foreign exposures of nonbanks, but not with that of banks. A possible interpretation is that risk-averse and dynamically optimizing nonbanks reduce their foreign risk exposure when global risk perceptions increase, leading to capital flows, while banks tend to be hedged against these risks off balance sheet. In advanced countries, the findings suggest that nonbank portfolio adjustment to changing risk conditions may take place through derivatives transactions with banks, the hedging practices of which trigger bank related capital flows rather than portfolio flows.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78395766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Bank Competition and Firm Access to Credit: Bank-Firm Level Evidence from Europe 银行竞争与企业获得信贷:来自欧洲的银行与企业层面的证据
ERN: Commercial Banks (Topic) Pub Date : 2019-03-02 DOI: 10.2139/ssrn.3258485
Pietro Grandi, Caroline Ninou Bozou
{"title":"Bank Competition and Firm Access to Credit: Bank-Firm Level Evidence from Europe","authors":"Pietro Grandi, Caroline Ninou Bozou","doi":"10.2139/ssrn.3258485","DOIUrl":"https://doi.org/10.2139/ssrn.3258485","url":null,"abstract":"We examine the impact of bank competition on firms' access to credit using a large panel of 900 banks matched to almost 60.000 firms across the euro area over the period 2010-2016. Results provide empirical support for the market power hypothesis whereby low inter-bank competition worsens firms' credit conditions. Specifically, we find that higher bank market power is associated with lower short and long-term bank credit, higher reliance on trade credit and higher funding costs for corporate borrowers. Furthermore, the effect of bank competition is heterogeneous across firms and banks. On the one hand, high bank market power is especially detrimental for small and opaque firms, suggesting that low competition exacerbates the financial constraint of borrowers most exposed to information problems. On the other hand, the reduction in credit availability associated with high market power is attenuated for firms that borrow from small and local community banks, a finding consistent with the information hypothesis, whereby low competition increases banks’ incentive to supply relationship loans. On balance, however, the predominance of medium-large commercial banks in our sample determines that the overall effect of low inter-bank competition on credit conditions is unequivocally adverse for most firms, i.e. the market power effect outweighs the information effect. This evidence contributes to previous research on bank competition, firms’ credit constraint and relationship lending, and has implications for competition policy. Indeed, with respect to the prospect of greater banking consolidation in the European Union, our results suggest that considerations of efficiency and financial stability should be weighed against the potential negative consequences in terms of firms’ access to credit.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"73 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82565499","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mortgage Loss Severities: What Keeps Them so High? 抵押贷款损失严重程度:是什么让它们如此之高?
ERN: Commercial Banks (Topic) Pub Date : 2019-03-01 DOI: 10.21799/frbp.wp.2019.19
Xudong An, Larry Cordell
{"title":"Mortgage Loss Severities: What Keeps Them so High?","authors":"Xudong An, Larry Cordell","doi":"10.21799/frbp.wp.2019.19","DOIUrl":"https://doi.org/10.21799/frbp.wp.2019.19","url":null,"abstract":"Mortgage loss-given-default (LGD) increased significantly when house prices plummeted and delinquencies rose during the financial crisis, but it has remained over 40 percent in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs post-crisis are due to a combination of an overhang of crisis-era foreclosures and prolonged foreclosure timelines, which have offset higher sales recoveries. Simulations show that cutting foreclosure timelines by one year would cause LGD to decrease by 5?8 percentage points, depending on the trade-off between lower liquidation expenses and lower sales recoveries. Using difference-in-differences tests, we also find that recent consumer protection programs have extended foreclosure timelines and increased loss severities in spite of their benefits of increasing loan modifications and enhancing consumer protections.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82108517","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Central Bank Digital Currency and Financial Stability 央行数字货币与金融稳定
ERN: Commercial Banks (Topic) Pub Date : 2019-02-08 DOI: 10.2139/ssrn.3330914
Young sik Kim, Ohik Kwon
{"title":"Central Bank Digital Currency and Financial Stability","authors":"Young sik Kim, Ohik Kwon","doi":"10.2139/ssrn.3330914","DOIUrl":"https://doi.org/10.2139/ssrn.3330914","url":null,"abstract":"We examine the implications of central bank digital currency (CBDC) for financial stability using a monetary general equilibrium model in which (i) banks provide liquidity in the form of fiat currency, and (ii) commercial bank deposits compete with the central bank deposits in CBDC account. CBDC is a national currency-denominated, interest-bearing and account-based claim on the central bank. People have access to CBDC via direct deposit at the central bank. Claims on specific agents cannot be traded across locations due to limited communication and hence in the event of relocation an agent needs to withdraw deposits in the form of universally verified paper currency. Claims on interest-bearing CBDC is not subject to limited communication problem in the sense that it is also universally verified across locations as an account-based legal tender. The introduction of deposits in CBDC account essentially decreases supply of private credit by commercial banks, which raises the nominal interest rate and hence lowers a commercial bank's reserve-deposit ratio. This has negative effects on financial stability by increasing the likelihood of bank panic in which commercial banks are short of cash reserves to pay out to depositors. However, once the central bank can lend all the deposits in CBDC account to commercial banks, an increase in the quantity of CBDC which does not require reserve holdings can enhance financial stability by essentially increasing supply of private credit and hence lowering nominal interest rate.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"156 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79883806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 31
Complexity in Large U.S. Banks 美国大型银行的复杂性
ERN: Commercial Banks (Topic) Pub Date : 2019-02-01 DOI: 10.2139/ssrn.3342464
L. Goldberg, April Meehl
{"title":"Complexity in Large U.S. Banks","authors":"L. Goldberg, April Meehl","doi":"10.2139/ssrn.3342464","DOIUrl":"https://doi.org/10.2139/ssrn.3342464","url":null,"abstract":"While both size and complexity are important for the largest U.S. bank holding companies (BHCs), specific types of complexity and their patterns across banks are not well understood. We introduce a range of measures of organizational, business, and geographic complexity. Comparing 2007 with 2017, we show that large U.S. BHCs remain very complex, with some declines along organizational and geographical complexity dimensions. The numbers of legal entities within some large BHCs have fallen. By contrast, the multiple industries spanned by legal entities within the BHCs have shifted more than they have declined, especially within the financial sector. Nonfinancial entities within U.S. BHCs still tilt heavily toward real-estate-related businesses and span numerous other industries. Fewer large BHCs have global affiliates, and the geographic span of the most complex has declined. Favorable tax treatment locations still attract a significant share of the foreign bank and nonbank entities, while fewer legal entities are present in informationally opaque locations.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"54 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76058989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
The Effects of the Eurosystem's App on Euro Area Bank Lending: Letting Different Data Speak 欧元体系应用程序对欧元区银行贷款的影响:让不同的数据说话
ERN: Commercial Banks (Topic) Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3473021
Barno Blaes, Björn Kraaz, C. Offermanns
{"title":"The Effects of the Eurosystem's App on Euro Area Bank Lending: Letting Different Data Speak","authors":"Barno Blaes, Björn Kraaz, C. Offermanns","doi":"10.2139/ssrn.3473021","DOIUrl":"https://doi.org/10.2139/ssrn.3473021","url":null,"abstract":"We study the implications of the Eurosystem's expanded Asset Purchase Programme (APP) for the bank lending business of euro area banks with euro area non-financial corporations (NFCs) using microeconometric matching techniques. Based on confidential bank-level data on quantitative balance sheet items and interest rates as well as on qualitative survey responses to the Eurosystem's Bank Lending Survey, we identify the exposure of banks to the APP and corresponding effects on loan growth. We find that the APP was effective in stimulating the lending activity with NFCs for a subset of relatively sound banks. At the same time, our results show that there is a non-negligible number of banks with less healthy balance sheets which could not transfer the APP stimulus into more lending. Instead, such banks appear to have used the APP stimulus for consolidating their balance sheets, thereby also reducing their lending business with NFCs. This confirms the importance of accounting for the large degree of heterogeneity in the euro area banking sector in analyses of the effectiveness of monetary policy measures.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"53 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87308716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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