Financial Crises eJournal最新文献

{"title":"Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels","authors":"Garbrand Wiersema, Alissa M. Kleinnijenhuis, Thom Wetzer, J. Farmer","doi":"10.2139/SSRN.3408533","DOIUrl":"https://doi.org/10.2139/SSRN.3408533","url":null,"abstract":"Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only handle a single contagion mechanism. We develop an eigenvalue-based approach that gives the best of both worlds, allowing analysis of multiple, interacting contagion channels without the need to impose a subjective stress scenario. This allows us to demonstrate that the instability due to interacting channels can far exceed that of the sum of the individual channels acting alone. We derive an analytic formula in the limit of a large number of institutions that gives the instability threshold as a function of the relative size and intensity of contagion channels, providing valuable insights into financial stability whilst requiring very little data to be calibrated to real financial systems.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123325216","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}

{"title":"Book Review: House OF Debt. How They (and You) Caused the Great Recession, and How We Can Prevent It from Happening Again by Atif Mian and Amir Sufi","authors":"S. Avetisyan","doi":"10.2139/ssrn.3424173","DOIUrl":"https://doi.org/10.2139/ssrn.3424173","url":null,"abstract":"Economic policy since the onset of the financial crisis has been a dismal failure. It's true that we have avoided a full replay of the Great Depression. My motivation for writing this review comes from Hess's Critical Book Review where he compares Geithner's Stress Test and Mian and Sufi's House of Debt (Figure 1.). I have read both, this review is about \"House of Debt\" by comparing with \"Stress Test\". Timothy Geithner, who was Treasury secretary, has published a book, \"Stress Test\", about his experiences.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133490466","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}

{"title":"Changing Expected Returns Can Induce Spurious Serial Correlation","authors":"Kuntara Pukthuanthong, Richard Roll, A. Subrahmanyam","doi":"10.2139/ssrn.3906157","DOIUrl":"https://doi.org/10.2139/ssrn.3906157","url":null,"abstract":"Changing expected returns can induce spurious autocorrelation in returns and possible bias in other financial models. We show why this happens with some simple examples and then investigate its prevalence in actual equity data. Assets may undergo changes in expected returns for a variety of reasons. Hence, autocorrelations computed from extended records can be subject to spurious bias. The bias might be difficult to measure because of noise but a re-sampling method (the bootstrap) discloses its rather ubiquitous presence in US equity data. Turning the phenomenon on its head, return serial correlation in an efficient market is evidence of changing expected returns. Estimated risk measures such as “beta” might also be subject to bias induced by non-stationary mean returns, but the direction of the bias is more ambiguous.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116758160","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}

{"title":"Detecting Crisis Vulnerability Using Yield Spread Interconnectedness","authors":"Fernando Garcia Alvarado","doi":"10.2139/ssrn.3780617","DOIUrl":"https://doi.org/10.2139/ssrn.3780617","url":null,"abstract":"This paper explores the interconnections among foreign term spreads across different economies and their systemic implications on crisis vulnerability. The term spread, understood as the difference between long‐term and short‐term interest rates on Treasury securities, has a well‐known predictive ability to forecast economic recessions in the short‐run. An initial explanatory analysis evidences an increasing correlation between term spreads in the recent years and, in particular, the constitution of country clusters whose term structures share common latent factors. Moreover, these correlations seem to have augmented after the last international financial crisis. Further, the results from a probit model considering domestic term spreads, supply shocks on oil and energy prices, and an international term spread network structure reveal a statistically significant effect of term spread interconnectedness on future economic output. Following, this paper empirically shows how an increasing number of Granger‐causality in‐degree connections may be associated with a higher crisis vulnerability in the short‐run. Additionally, a panel data regression corroborates the latter result to be robust under a wide range of conditions. Thus, an economy whose term spread is significantly caused in the Granger sense by external yield rates may be more prone to experience future recessions.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114412957","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}

{"title":"Monetary Policy and Firm Heterogeneity: The Role of Leverage Since the Financial Crisis","authors":"Aeimit Lakdawala, Timothy Moreland","doi":"10.2139/ssrn.3405420","DOIUrl":"https://doi.org/10.2139/ssrn.3405420","url":null,"abstract":"We study how leverage determines firm-level responses to monetary policy. Using both high-frequency financial market and quarterly investment data, we find that the role of leverage in monetary transmission changed around the financial crisis of 2007-09. Firms with high leverage were less responsive to monetary policy shocks in the pre-crisis period but have become more responsive since the crisis. The higher responsiveness is driven by firms whose leverage is more dependent on long-term debt, suggesting an outsize role for monetary policy affecting long-term funding conditions since the crisis. We also find suggestive evidence for transmission through changes in monetary policy uncertainty.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127730238","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}

{"title":"The Effect of Collateral Shocks in the Context of Labor Market Frictions","authors":"Shushu Liao","doi":"10.2139/ssrn.3412111","DOIUrl":"https://doi.org/10.2139/ssrn.3412111","url":null,"abstract":"The recent financial crisis was associated with a large and prolonged deterioration to the collateral value and to the collateral-based credit supply. I calibrate a model to explore the impact of collateral shocks on real firm behavior. I discover that: (i) a negative shock to the collateral value depresses the business activities by tightening the borrowing capacity. Such adverse impact is alleviated (worsened) by a lower (higher) productivity-driven credit demand; (ii) following a negative collateral shock, the reduction of labor adjustment costs causes the firms to decrease their activities to a less extent, and such positive effects of labor adjustment flexibility are more pronounced for firms facing a high level of productivity (demand). Empirically, I find that a lower labor unionization rate can mitigate the negative impact of supply shocks on the high-demand firms during the crisis.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130468153","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}

{"title":"La Crisis Subprime Y Sus Efectos En La Eficiencia Del Sector Bancario Chileno (The Subprime Crisis and its Effects on the Efficiency of the Chilean Banking Sector)","authors":"Claudio Candia Campano, Medardo Aguirre González, Vanessa Orellana Valenzuela, Michael Gaete Morales","doi":"10.18601/01245996.V21N41.08","DOIUrl":"https://doi.org/10.18601/01245996.V21N41.08","url":null,"abstract":"Este trabajo mide los efectos de la crisis subprime en la producción de eficiencia y la eficiencia técnica de la banca chilena. Se aplica el método de fronteras estocásticas de producción a un panel de datos balanceados de 14 bancos que operaban en territorio chileno entre 2004 y 2015. Los principales resultados indican que durante la crisis la producción de eficiencia y la eficiencia técnica fueron menores que en los periodos anterior y posterior, con mayores diferencias respecto del periodo posterior.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129574357","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}

{"title":"Ambiguity and Information Processing in a Model of Intermediary Asset Pricing","authors":"Leyla Jianyu Han, Kenneth Kasa, Yulei Luo","doi":"10.2139/ssrn.3386888","DOIUrl":"https://doi.org/10.2139/ssrn.3386888","url":null,"abstract":"The paper incorporates ambiguity and information processing contraints into a model of intermediary asset pricing. Financial intermediaries are assumed to possess greater information processing capacity. Households purchase this capacity, and then delegate their investment decisions to intermediaries. As in He and Krishnamurthy (2012), the delegation contract is constrained by a moral hazard problem, which gives rise to a minimum capital requirement. Both agents have a preference for robustness, reflecting ambiguity about asset returns (Hansen and Sargent (2008)). We show that ambiguity aversion tightens the capital constraint, and amplifies its effects. Indirect inference is used to calibrate the model's parameters to the stochastic properties of asset returns. Detection error probabilities are used to discipline the degree of ambiguity aversion. The model can explain both the unconditional moments of asset returns and their state dependence, even with DEPs in excess of 20%.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"162 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116161783","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}

{"title":"Ten Years After: Reflections on the Global Financial Crisis","authors":"Laurence B. Siegel, Luis García‐Feijóo","doi":"10.2139/ssrn.3485770","DOIUrl":"https://doi.org/10.2139/ssrn.3485770","url":null,"abstract":"The “Ten Years After” Brief contains summaries of research articles and central banker discussions from the “2008 Financial Crisis: A Ten-Year Review” conference that took place in November 2018 in New York City. The full versions of the articles were published by the Annual Review of Financial Economics, and actual live conference sessions can be accessed via the CFA Institute website.<br><br>The summaries in the Brief, which are short descriptions of the original articles, are intended for practitioners and investors interested in learning about the current status of academic research related to the 2008 financial crisis. An edited and annotated transcript of a conversation between central bankers Ben Bernanke, Lord Mervyn King, and Jean-Claude Trichet about the crisis makes the Brief of particular interest.<br><br>The 11 articles summarized in the Brief provide an overview of recent research that not only offers insights into the 2008 crisis but also describes lines of inquiry and findings that go beyond understanding the origins of the global financial crisis.<br><br>In “Deglobalization: The Rise of Disembedded Unilateralism,” Harold James describes the growing opposition to globalization in the wake of the crisis, with an associated decline in cross-border investing and international trade. However, he notes that opposition to globalization may lead to its reform and resurgence.<br><br>Gary Gorton relates financial crises to the vulnerability of short-term debt, broadly defined. This vulnerability is inherent in market economies because maturity transformation is an essential function of banks, which in turn are necessary for market economies to exist. Therefore, financial crises have occurred repeatedly over history. <br><br>Christopher L. Foote and Paul S. Willen review research on mortgage default, which policymakers need to understand better to more effectively respond to financial crises. They note that research supports the view that payment forbearance is an effective way to reduce default. However, defaults by individual borrowers are difficult to predict because they depend on loss-of-income shocks that are unforecastable. <br><br>Manuel Adelino, Antoinette Schoar, and Felipe Severino indicate why a proper diagnosis of the reasons for the 2008 financial crisis is necessary to prevent a repeat in the future. They analyze the origins of the crisis and unveil evidence that contradicts some popular beliefs. They conclude that regulators should consider time-varying capital requirements and countercyclical loan-to-value requirements. Matthew Richardson, Kermit L. Schoenholtz, and Lawrence J. White critically discuss the following three levers of recent prudential regulation: capital requirements, liquidity requirements, and regulation of scope. They emphasize that regulators should select the most cost-effective tools to reduce systemic risk. Andrew Metrick and June Rhee provide an overview of reforms that occurred after the financial cr","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"30 18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116577184","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}

{"title":"The Macroeconomics of the Greek Depression","authors":"Gabriel Chodorow-reich, Loukas Karabarbounis, Rohan Kekre","doi":"10.3386/W25900","DOIUrl":"https://doi.org/10.3386/W25900","url":null,"abstract":"Greece experienced a boom until 2007, followed by a collapse of unprecedented magnitude and persistence. We assess the sources of the boom and the bust, using a rich estimated dynamic general equilibrium model. External demand and government consumption fueled the boom in production, whereas transfers fueled the boom in consumption. Different from the standard narrative, wages and prices declined substantially during the bust. Tax policy accounts for the largest fraction of the bust in production, whereas uninsurable risk accounts for the bust in consumption and wages. We assess how the composition of fiscal adjustment and bailouts affected the crisis. (JEL E21, E23, E24, E32, E62, F41, H20)","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131233258","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}