Financial Crises eJournal最新文献_第2页

A Toolkit for Computing Constrained Optimal Policy Projections (COPPs) 一个计算约束最优策略预测(COPPs)的工具箱

Financial Crises eJournal Pub Date : 2021-05-01 DOI: 10.2139/ssrn.3849839

O. Groot, Falk Mazelis, Roberto Motto, Annukka Ristiniemi

{"title":"A Toolkit for Computing Constrained Optimal Policy Projections (COPPs)","authors":"O. Groot, Falk Mazelis, Roberto Motto, Annukka Ristiniemi","doi":"10.2139/ssrn.3849839","DOIUrl":"https://doi.org/10.2139/ssrn.3849839","url":null,"abstract":"This paper presents a toolkit for generating optimal policy projections. It makes five contributions. First, the toolkit requires a minimal set of inputs: only a baseline projection for target and instrument variables and impulse responses of those variables to policy shocks. Second, it solves optimal policy projections under commitment, limited-time commitment, and discretion. Third, it handles multiple policy instruments. Fourth, it handles multiple constraints on policy instruments such as a lower bound on the policy rate and an upper bound on asset purchases. Fifth, it allows alternative approaches to address the forward guidance puzzle. The toolkit that accompanies this paper is Dynare compatible, which facilitates its use. Examples replicate existing results in the optimal monetary policy literature and illustrate the usefulness of the toolkit for highlighting policy trade-offs. We use the toolkit to analyse US monetary policy at the height of the Great Financial Crisis. Given the Fed’s early-2009 baseline macroeconomic projections, we find the Fed’s planned use of the policy rate was close to optimal whereas a more aggressive QE program would have been beneficial.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128404495","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: 4

Moral Hazard During the Housing Boom: Evidence from Private Mortgage Insurance 房地产繁荣时期的道德风险:来自私人抵押贷款保险的证据

Financial Crises eJournal Pub Date : 2021-03-17 DOI: 10.2139/ssrn.3811996

Neil Bhutta, Benjamin J. Keys

引用次数: 5

Financial Crises eJournal Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3669329

R. Kozhan, Vikas Raman, P. Yadav

引用次数: 0

Digital Finance, COVID-19 and Existential Sustainability Crises: Setting the Agenda for the 2020s 数字金融、COVID-19和存在的可持续性危机:制定2020年代的议程

Financial Crises eJournal Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3783605

D. Arner, Ross P. Buckley, A. Dahdal, D. Zetzsche

{"title":"Digital Finance, COVID-19 and Existential Sustainability Crises: Setting the Agenda for the 2020s","authors":"D. Arner, Ross P. Buckley, A. Dahdal, D. Zetzsche","doi":"10.2139/ssrn.3783605","DOIUrl":"https://doi.org/10.2139/ssrn.3783605","url":null,"abstract":"This paper examines how the digital financial infrastructure that emerged in the wake of the 2008 Global Financial Crisis is being tested and leveraged to meet some of the financial, economic and health challenges presented by the COVID-19 pandemic. The origins of the 2008 crisis and the current crisis are different: the 2008 crisis was a financial crisis that spilt over into the real economy, while COVID-19 is a health and geopolitical crisis spilling over into the real economy. As such, COVID-19 – a pandemic and an existential sustainability crisis – requires different approaches. This paper explores the role of digital finance in this context on two levels. At the macro level, it identifies how digital finance has been used to address areas of systemic risk and underpin wider financial stability. At the micro level, it illustrates how digital financial tools can address a range of emerging challenges particularly relating to recovery. COVID-19 experiences are driving forward a range of efforts to build better infrastructure to address future crises, in particular interoperable electronic payments systems (including central bank digital currencies and other forms of sovereign digital currency), sovereign digital identification (particularly in the context of market integrity and non face-to-face transactions), and use of technology for regulatory, supervisory and compliance purposes, At the same time, we argue that digitization generally and of finance in particular driven by the COVID-19 crisis – while providing effective tools to support the response – have also raised new challenges, particularly around forms of TechRisk arising from control and use of data from both state and non-state actors. Looking forward, these are among the most significant challenges for policy, law and regulation in the 2020s.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130008544","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

Dynamic Banking with Non-Maturing Deposits 不到期存款的动态银行业务

Financial Crises eJournal Pub Date : 2021-01-29 DOI: 10.2139/ssrn.3775790

Urban Jermann, Haotian Xiang

引用次数: 6

Counter-Hegemonic Finance: The Gamestop Short Squeeze 反霸权金融:Gamestop Short Squeeze

Financial Crises eJournal Pub Date : 2021-01-28 DOI: 10.2139/SSRN.3775127

Usman W. Chohan

引用次数: 30

Financial Network and Systemic Risk -- A Dynamic Model 金融网络与系统风险——一个动态模型

Financial Crises eJournal Pub Date : 2021-01-22 DOI: 10.1111/POMS.13384

H. Chen, Tan Wang, D. Yao

引用次数: 13

The COVID-19 Pandemic and Sovereign Credit Risk COVID-19大流行与主权信用风险

Financial Crises eJournal Pub Date : 2021-01-20 DOI: 10.2139/ssrn.3769644

Wei-Fong Pan, Xinjie Wang, Ge Wu, Weike Xu

{"title":"The COVID-19 Pandemic and Sovereign Credit Risk","authors":"Wei-Fong Pan, Xinjie Wang, Ge Wu, Weike Xu","doi":"10.2139/ssrn.3769644","DOIUrl":"https://doi.org/10.2139/ssrn.3769644","url":null,"abstract":"PurposeThe purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries.Design/methodology/approachIn this paper, the authors use a wide set of the sovereign CDS data of 78 countries. To measure the magnitude of the COVID-19 pandemic, the authors use the daily change of confirmed cases collected from Our World in Data. They use panel regressions to estimate the impact of the COVID-19 pandemic on sovereign credit risk.FindingsThe authors show how sovereign CDS spreads have widened significantly in response to the COVID-19 pandemic. Based on the most conservative estimate, a 1% increase in COVID-19 infections leads to a 0.17% increase in sovereign CDS spreads. Furthermore, this effect is stronger for developing countries and countries with worse healthcare systems. Government policies partially offset the impact of the COVID-19 pandemic, although these same policies also lead to widening sovereign CDS spreads. Sovereign CDS spreads narrow dramatically several months after the outbreak of the COVID-19 pandemic. Overall, the results suggest that the ongoing COVID-19 pandemic has been a massive shock to the global financial stability.Originality/valueThis paper provides new evidence that COVID-19 widens sovereign CDS spreads. The authors further show that this widening effect is felt most strongly in developing economies.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125548283","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: 17

Bank Herding, Size, and Financial Health: Evidence from Japanese Regional Banks 银行羊群、规模和财务健康:来自日本地区银行的证据

Financial Crises eJournal Pub Date : 2021-01-12 DOI: 10.2139/ssrn.3767260

Ryuichi Nakagawa

引用次数: 0

The Impact of Covid-19 on Us Firms 新冠肺炎疫情对美国企业的影响

Financial Crises eJournal Pub Date : 2021-01-01 DOI: 10.3386/W28314

N. Bloom, Robert S. G. Fletcher, Ethan Yeh

引用次数: 89