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Financial Crises eJournal最新文献

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Appendix To 'Public Liquidity and Financial Crises' “公共流动性与金融危机”附录
Financial Crises eJournal Pub Date : 2019-12-28 DOI: 10.2139/ssrn.3347232
Wenhao Li
{"title":"Appendix To 'Public Liquidity and Financial Crises'","authors":"Wenhao Li","doi":"10.2139/ssrn.3347232","DOIUrl":"https://doi.org/10.2139/ssrn.3347232","url":null,"abstract":"This is the Appendix of the paper \"Public Liquidity and Financial Crises\", https://ssrn.com/abstract=3175101. \u0000 \u0000In this appendix, I show the numerical methods for solving the general equilibrium model that features infrequent financial crises and the private holding of public liquidity. Additional model properties and quantitative results are also provided.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"30 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120932047","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
Central Clearing and Systemic Risk 中央结算和系统风险
Financial Crises eJournal Pub Date : 2019-12-08 DOI: 10.2139/ssrn.3500442
N. Nowaczyk, Sharyn O'Halloran
{"title":"Central Clearing and Systemic Risk","authors":"N. Nowaczyk, Sharyn O'Halloran","doi":"10.2139/ssrn.3500442","DOIUrl":"https://doi.org/10.2139/ssrn.3500442","url":null,"abstract":"The G20's push towards central clearing changed the shape of the world's financial system: all standardized derivative contracts must now be cleared through central counterparties (CCPs). Despite considerable debate, the impact of central clearing nonetheless remains ambiguous and hard to measure as clearing regulations have been implemented alongside many other changes. In the present paper, we isolate the impact of CCPs by first representing all trade and risk relations of a financial system in a graph model. We then formalize clearing as an operator on those graphs and obtain sharp a priori bounds of its effect on total risk levels. Using numerical simulation, we then show how clearing alters the credit risk exposures of each bank depending on the netting structure of its trades. Further, we demonstrate how CCPs only reduce the total levels of risk in the system if their credit quality is substantially higher than that of the banks. We show, paradoxically, how the CCPs expose the system to substantial concentration risk and thereby undermine their initial purpose.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129466214","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
Product Innovation and Credit Market Disruptions 产品创新和信贷市场混乱
Financial Crises eJournal Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3477726
João Granja, Sara Moreira
{"title":"Product Innovation and Credit Market Disruptions","authors":"João Granja, Sara Moreira","doi":"10.2139/ssrn.3477726","DOIUrl":"https://doi.org/10.2139/ssrn.3477726","url":null,"abstract":"\u0000 We provide new evidence that disruptions in firms’ access to credit during the Global Financial Crisis significantly affected product innovation in the consumer goods sector. We combine highly granular retail scan data with lending data and find that credit-constrained firms introduced fewer new products, those products were less novel, and new products sold less well. Overall, these findings suggest that disruptions to credit markets impair firms’ ability to compete for profits through new product offerings.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121298653","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: 23
Institutional Setup and Banking Regulation: Evidence From Panel Data 机构设置与银行监管:来自面板数据的证据
Financial Crises eJournal Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3586324
Joseph Attila, Maxence Miéra
{"title":"Institutional Setup and Banking Regulation: Evidence From Panel Data","authors":"Joseph Attila, Maxence Miéra","doi":"10.2139/ssrn.3586324","DOIUrl":"https://doi.org/10.2139/ssrn.3586324","url":null,"abstract":"In this paper, we study the effects of different institutional setups on banking regulation and supervision. In-depth econometric analyses are carried out on panel data over the period 1975- 2005 on a large sample and account for the unobserved country-specific effects as well as time effects. Our results suggest strong evidence that both domestic and international institutions are significantly associated with banking regulation and supervision, though with differing impacts. Our analyses also show that democratic institutions negatively affect banking regulation, a result that suggests that such institutions might have a detrimental effect on the process of implementing effective banking supervision. Lastly, our results point to what can be called the “institutional paradox” of banking regulation and supervision in developed countries. These results emerge in both fixed-effects estimators and generalized method of moments (GMM) and are robust across different aspects of banking supervision.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132555291","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
An Introduction to Algorithmic Trading: Opportunities & Challenges within the Systematic Trading Industry 算法交易导论:系统交易行业的机遇与挑战
Financial Crises eJournal Pub Date : 2019-09-23 DOI: 10.2139/ssrn.3466213
N. Burgess
{"title":"An Introduction to Algorithmic Trading: Opportunities & Challenges within the Systematic Trading Industry","authors":"N. Burgess","doi":"10.2139/ssrn.3466213","DOIUrl":"https://doi.org/10.2139/ssrn.3466213","url":null,"abstract":"In what follows we present systematic trading and discuss the benefits. We evaluate contemporary trends, the opportunities arising from machine learning and the operational cost challenges faced, leveraging on the history of the industry to demonstrate why maintaining a competitive edge is paramount to its continued success.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133000855","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
Can CoCo-Bonds Mitigate Systemic Risk? CoCo-Bonds能否缓解系统性风险?
Financial Crises eJournal Pub Date : 2019-09-18 DOI: 10.2139/ssrn.3455924
Arndt-Gerrit Kund, Matthias Petras
{"title":"Can CoCo-Bonds Mitigate Systemic Risk?","authors":"Arndt-Gerrit Kund, Matthias Petras","doi":"10.2139/ssrn.3455924","DOIUrl":"https://doi.org/10.2139/ssrn.3455924","url":null,"abstract":"After the 2007 financial crises, the idea of contingent convertible (CoCo) capital was revived and manifold proposed as a means to stabilize individual banks, and hence the entire banking system. The purpose of this paper is to empirically test, whether CoCo-bonds indeed improve the stability of the banking system and reduce systemic risk. Using the broadly applied SRISK metric, we obtain contradicting results, based on the classification of the CoCo-bond as debt or equity. We remedy this short-coming by proposing an adjustment to the original SRISK formula that now correctly accounts for CoCo-bonds. Using empirical tests, we show that the undue disparity has been solved by our adjustment, and that CoCo-bonds reduce systemic risk.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116829665","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
Financial Performance Analysis of Distressed Banks in Ghana: Exploration of Financial Ratios and Z-score 加纳陷入困境银行的财务绩效分析:财务比率和z分数的探索
Financial Crises eJournal Pub Date : 2019-09-17 DOI: 10.20944/preprints201911.0314.v1
Matey Juabin
{"title":"Financial Performance Analysis of Distressed Banks in Ghana: Exploration of Financial Ratios and Z-score","authors":"Matey Juabin","doi":"10.20944/preprints201911.0314.v1","DOIUrl":"https://doi.org/10.20944/preprints201911.0314.v1","url":null,"abstract":"A robust bank industry is a major player in the stability of an economy. By way of financial ratios and Z-score, the study analysed UT Bank’s financial performance prior to the recent bank sector reforms in Ghana. Annual financials over a ten year period (2007-2016) were used. Debt management practices of UT Bank per the results obtained were quite on the hind side. Leverage and risk variables were poorly handled. Inability to meet creditors’ claims would have been eminent considering the average mean values of debt-to-assets and debt-to equity ratios of 0.76 and 0.90 respectively. The entire bank sector will be put on a sound footing if credit management practices of individual banks are refreshed. The bank industry regulator should tighten its supervisory and monitoring role over banks to help detect early signs of non-performing banks. The study further recommends that statutory lending limits of banks be re-enforced to uphold the threshold of 10 percent for unsecured loans and 25 percentage for secured loans of net owned funds of the bank.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124152210","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
Does the Fed’s Job Performance Justify Its Independence? 美联储的工作表现证明了它的独立性吗?
Financial Crises eJournal Pub Date : 2019-09-14 DOI: 10.2139/ssrn.3453757
Laurie Thomas Vass
{"title":"Does the Fed’s Job Performance Justify Its Independence?","authors":"Laurie Thomas Vass","doi":"10.2139/ssrn.3453757","DOIUrl":"https://doi.org/10.2139/ssrn.3453757","url":null,"abstract":"We examine the Fed's argument that its independence from political influence is justified because their decisions are \"based on the best interests of the nation, not the interests of a small group of politicians.\"<br><br>The issue raised by the article is not the Fed's decisions, it is the Fed's performance and results of those decisions.<br><br>We argue that the Fed shifted its mission, in 1998, from domestic economic stability to stabilizing global financial conditions.<br><br>Their dismal economic performance must be viewed within the context of their effort to promote globalism, not create economic prosperity for common American citizens.<br>","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116144573","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
Exposition, Climax, Denouement: Life-Cycle Evaluation of the Recent Financial Crisis in the EU by Linking the ESRB Financial Crisis Database to the European Commission's Macroeconomic Imbalance Procedure Scoreboard 阐述、高潮、结局:将ESRB金融危机数据库与欧盟委员会宏观经济失衡程序记分板联系起来，对欧盟近期金融危机的生命周期评估
Financial Crises eJournal Pub Date : 2019-09-01 DOI: 10.2139/ssrn.3723438
Szilárd Erhart
{"title":"Exposition, Climax, Denouement: Life-Cycle Evaluation of the Recent Financial Crisis in the EU by Linking the ESRB Financial Crisis Database to the European Commission's Macroeconomic Imbalance Procedure Scoreboard","authors":"Szilárd Erhart","doi":"10.2139/ssrn.3723438","DOIUrl":"https://doi.org/10.2139/ssrn.3723438","url":null,"abstract":"The paper investigates the life-cycle of the 2008-2009 financial crisis by linking the Macroeconomic Imbalance Procedure (MIP) Scoreboard of the European Commission to the crisis database of the European Systemic Risk Board (ESRB). The novelty of the analysis is that early warning capacity of MIP indicators is empirically tested in case of various crisis events case by case (i) Currency/Balance-of-Payment/Capital flow events, (ii) Sovereign crisis events, (iii) Banking crisis events and (iv) Significant asset price corrections in EU Member States. Furthermore, we contribute to the literature by studying the predicting power of the MIP Scoreboard in the identification of the overheating in the economy in advance of crises (preventive arm of the MIP). We found that the predictive power of the MIP Scoreboard may be twice as high to capture sovereign and Currency/Balance-of-Payment/Capital flow type of crisis events than its power to capture a banking crisis or serious asset price corrections. We confirm the results of earlier empirical studies that some MIP indicators perform relatively well (current account and net international position) in all specifications. A simple composite indicator based on the threshold breaches of MIP Scoreboard Indicators, performed in most cases as good as the best individual indicator, and hence could be considered as an input to a simple, rule based and accountable decision making. JEL Classification: C40, G01, E44, E61, G28","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127944769","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
Financial Contagion Effect and Investor Behavior in African Financial Markets During the 2007–09 Global Financial Crisis 2007-09年全球金融危机期间非洲金融市场的金融传染效应与投资者行为
Financial Crises eJournal Pub Date : 2019-08-25 DOI: 10.2139/ssrn.3442636
Jaliyyah Bello
{"title":"Financial Contagion Effect and Investor Behavior in African Financial Markets During the 2007–09 Global Financial Crisis","authors":"Jaliyyah Bello","doi":"10.2139/ssrn.3442636","DOIUrl":"https://doi.org/10.2139/ssrn.3442636","url":null,"abstract":"This paper examines contagion effect on 10 African financial markets. These markets can be considered risky as they carry additional political and economic risks. They are also a lot less integrated with the US as depicted in financial integration literature. A consequence of this is that African financial markets, generally have much lower correlations with the US market. The distinguishing characteristic of the 2007-09 crisis is its long nature characterised by a series of sub-shocks. The insight that this paper gives is that, a multiple-event crisis that consists of a series of shocks, leads us to examine contagion as a series of events. Using correlation coefficient analysis, evidence of contagion is found in different crisis periods which mostly disappeared following the adjustment for heteroscedasticity bias. Our results do point to investors’ herding behaviour as the main driving force for contagion in our sample.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129854533","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
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