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Financial Crises eJournal最新文献

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Minskyen Finansal Kırılganlık Hipotezi ve Post Keynesyen Temelleri: Teorik Bir Yaklaşım (Minskian Financial Instability Hypothesis and Its Post Keynesian Roots: A Theoretical Approach)
Financial Crises eJournal Pub Date : 2019-04-19 DOI: 10.17233/SOSYOEKONOMI.2019.02.06
Ömer Tuğsal Doruk, Yusuf Can Şahintürk
{"title":"Minskyen Finansal Kırılganlık Hipotezi ve Post Keynesyen Temelleri: Teorik Bir Yaklaşım (Minskian Financial Instability Hypothesis and Its Post Keynesian Roots: A Theoretical Approach)","authors":"Ömer Tuğsal Doruk, Yusuf Can Şahintürk","doi":"10.17233/SOSYOEKONOMI.2019.02.06","DOIUrl":"https://doi.org/10.17233/SOSYOEKONOMI.2019.02.06","url":null,"abstract":"Minsky’s financial instability hypothesis (FIH) has the main assumptions of the Post Keynesian macroeconomics. The main assumptions of the FIH and its Post Keynesian roots are discussed in this paper in a detailed way. Thus, it is seen that FIH is a business cycle analysis within Post Keynesian framework, the theoretical underpinnings of the Post Keynesian macroeconomic analysis are put in the forefront for understanding business cycles in Minsky’s analysis.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125424983","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
Bank Information Sharing and Liquidity Risk 银行信息共享与流动性风险
Financial Crises eJournal Pub Date : 2019-03-27 DOI: 10.2139/ssrn.3362223
F. Castiglionesi, Z. Li, K. Ma
{"title":"Bank Information Sharing and Liquidity Risk","authors":"F. Castiglionesi, Z. Li, K. Ma","doi":"10.2139/ssrn.3362223","DOIUrl":"https://doi.org/10.2139/ssrn.3362223","url":null,"abstract":"We propose a novel rationale for the existence of bank information sharing schemes. Banks may voluntarily disclose borrowers' credit history to maintain asset market liquidity. By sharing such information, banks mitigate adverse selection when selling their loans in secondary markets. This reduces the cost of asset liquidation in case of liquidity shocks. Information sharing arises endogenously when the liquidity benefit dominates the cost of losing market power in the primary loan market competition. We show banks having incentives to truthfully disclose borrowers' credit history, even if such information is non-verifiable. We also provide a rationale for promoting public credit registries.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116898923","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
Corporate Transparency in the Technological Frontier 技术前沿的公司透明度
Financial Crises eJournal Pub Date : 2019-03-05 DOI: 10.2139/ssrn.3383778
Nicholas L. Georgakopoulos
{"title":"Corporate Transparency in the Technological Frontier","authors":"Nicholas L. Georgakopoulos","doi":"10.2139/ssrn.3383778","DOIUrl":"https://doi.org/10.2139/ssrn.3383778","url":null,"abstract":"After a review of the traditional disclosure justifications, this paper examines the dangers that new technologies are creating in finance, such as flash crashes and the hack of the DAO. Whereas the dangers do require and have received regulatory responses, the environment that is forming does not appear to be one requiring a systematically different regulatory approach to transparency or disclosure.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115545464","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
Systemic Risk and Centrality Revisited: The Role of Interactions 系统性风险和中心性:互动的作用
Financial Crises eJournal Pub Date : 2019-03-03 DOI: 10.2139/ssrn.2960629
Hossein Asgharian, D. Krygier, Anders Vilhelmsson
{"title":"Systemic Risk and Centrality Revisited: The Role of Interactions","authors":"Hossein Asgharian, D. Krygier, Anders Vilhelmsson","doi":"10.2139/ssrn.2960629","DOIUrl":"https://doi.org/10.2139/ssrn.2960629","url":null,"abstract":"We suggest that banks contribute extensively to systemic risk only if they are both \"risky\" and centrally placed in the financial network. To calculate systemic risk we apply the CoVaR measure of Adrian and Brunnermeier (2016) and measure centrality using detailed US loan syndication data. In agreement with our conjecture our main finding is that centrality is an important determinant of systemic risk but primarily not by its direct effect. Rather, its main influence is to make other firm specific risk measures more important for highly connected banks. A bank's contribution to systemic risk from a fixed level of Value-at-Risk is about four times higher for a bank with two standard deviations above average centrality compared to a bank with average network centrality. Neglecting this indirect moderation effect of centrality severely underestimates the importance of centrality for \"risky\" banks and overestimates the effect for \"safer\" banks.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129639583","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 Stability and Public Confidence in Banks 金融稳定与公众对银行的信心
Financial Crises eJournal Pub Date : 2019-02-19 DOI: 10.2139/ssrn.3339743
Lucy Chernykh, D. Davydov, Jukka Sihvonen
{"title":"Financial Stability and Public Confidence in Banks","authors":"Lucy Chernykh, D. Davydov, Jukka Sihvonen","doi":"10.2139/ssrn.3339743","DOIUrl":"https://doi.org/10.2139/ssrn.3339743","url":null,"abstract":"We use a novel, household opinions-based measure – Public Confidence in a Bank – to explore the role of bank-level and system-wide determinants of customers’ trust in banks. Our study covers a panel of approximately 260 large Russian commercial banks publicly monitored during 2010–2017. We find that public confidence in a bank is highly sensitive to the industry-level financial stability indicators, but less sensitive to bank-level risk characteristics. This result reveals an important role of overall banking sector stability in determining public perception of the safety and soundness of individual banks.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133938371","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
CoCo Bond and Systemic Risk CoCo债券与系统性风险
Financial Crises eJournal Pub Date : 2019-02-15 DOI: 10.2139/ssrn.3242736
J. Fajardo, L. Mendes
{"title":"CoCo Bond and Systemic Risk","authors":"J. Fajardo, L. Mendes","doi":"10.2139/ssrn.3242736","DOIUrl":"https://doi.org/10.2139/ssrn.3242736","url":null,"abstract":"Issuing CoCo bonds is a possible way for banks to protect against economic uncertainty scenario. However, it remains unclear if CoCo bonds will be useful in loss absorption for issuers in the event of another financial distress. Using the model of Systemic Risk proposed by Brownlees and Engle (2016a), we estimated the expected capital shortfall for 103 banks that issue the CoCo bonds. The results show that CoCo can avoid the collapse of 6 institutions in the short term. Also, we design an event study that determines how the announce and the issue of CoCo bonds influence the systemic risk. The results show that the first issue can be interpreted for the market as a positive signal since the SRISK decrease. On the other hand, the SRISK increase when banks issue the second, thus this may reflect the investor’s fear of seeing the bank taking more capital.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"165 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126474631","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
Anticipating the Bust: A New Cyclical Systemic Risk Indicator to Assess the Likelihood and Severity of Financial Crises 预测破产:评估金融危机发生可能性和严重程度的一种新的周期性系统性风险指标
Financial Crises eJournal Pub Date : 2019-02-14 DOI: 10.2139/ssrn.3334835
J. Lang, Cosimo Izzo, S. Fahr, J. Růžička
{"title":"Anticipating the Bust: A New Cyclical Systemic Risk Indicator to Assess the Likelihood and Severity of Financial Crises","authors":"J. Lang, Cosimo Izzo, S. Fahr, J. Růžička","doi":"10.2139/ssrn.3334835","DOIUrl":"https://doi.org/10.2139/ssrn.3334835","url":null,"abstract":"This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that captures risks stemming from domestic credit, real estate markets, asset prices, and external imbalances. The d-SRI increases on average several years before the onset of systemic financial crises, and its early warning properties for euro area countries are superior to those of the total credit-to-GDP gap. In addition, the level of the d-SRI around the start of financial crises is highly correlated with measures of subsequent crisis severity, such as GDP declines. Model estimates suggest that the d-SRI has significant predictive power for large declines in real GDP growth three to four years down the line, as it precedes shifts in the entire distribution of future real GDP growth and especially of its left tail. The d-SRI therefore provides useful information about both the probability and the likely cost of systemic financial crises many years in advance. Given its timely signals, the d-SRI is a useful analytical tool for macroprudential policymakers. JEL Classification: G01, G17, C22, C54","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115556184","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: 46
Digital Currency Runs 数字货币挤兑
Financial Crises eJournal Pub Date : 2019-01-30 DOI: 10.2139/ssrn.3294313
David Skeie
{"title":"Digital Currency Runs","authors":"David Skeie","doi":"10.2139/ssrn.3294313","DOIUrl":"https://doi.org/10.2139/ssrn.3294313","url":null,"abstract":"Digital currency is designed to compete with central bank fiat money and the banking system but may create new financial stability risk. Central banks are considering issuing their own fiat public digital currency in response. This paper shows that privately issued digital currency, such as bitcoin, may be adopted in reaction to distortionary central bank inflation on fiat money. Banks that take private digital currency deposits can emerge to provide efficient liquidity risk sharing without the inflationary risk of fiat money. Rather than displacing banks, private and public digital currency threaten a new form of banking crises caused by disintermediation runs through withdrawals of digital currency. A central bank can act as lender of last resort to prevent the threat of such digital currency runs for banks with public but not private digital currency deposits. There is a trade-off for private digital currency that avoids the costs of central bank inflation but is subject to fragility through digital currency runs.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"162 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131436625","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: 14
A Book Review of After the Music Stopped: The Financial Crisis, the Response and the Work Ahead 《音乐停止后:金融危机、应对措施和未来工作》书评
Financial Crises eJournal Pub Date : 2018-12-14 DOI: 10.2139/ssrn.3304311
Tianhao Liu
{"title":"A Book Review of After the Music Stopped: The Financial Crisis, the Response and the Work Ahead","authors":"Tianhao Liu","doi":"10.2139/ssrn.3304311","DOIUrl":"https://doi.org/10.2139/ssrn.3304311","url":null,"abstract":"Although there are many books talk about the financial crises of 2007-2008, Professor Alan S. Blinder’s work, After the Music Stopped: the financial crisis, the response and the work ahead, really stands out for its comprehensiveness of narrative and its focus on the future. Blinder draws a thorough picture explained what and why the crisis happened and illustrated what we need in the future, from his both scholastic and monetary-regulator’s perspective. Notwithstanding readers can find some unstated assumptions in his theories, this paper uses his chronology as a foundation and illustrates some similarities of the stories in financial industry in history. What kept constant and what has changed? Finally, the paper provides a potential clue of financial system regulation in the future.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128120924","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
Factors Affecting Islamic and Conventional Mutual Funds’ Returns. A Comparative Analysis of Different Classes of Funds in Pakistan 影响伊斯兰和传统共同基金回报的因素。巴基斯坦不同类别基金的比较分析
Financial Crises eJournal Pub Date : 2018-12-13 DOI: 10.2139/ssrn.3305546
Imran Ahmed, D. Siddiqui
{"title":"Factors Affecting Islamic and Conventional Mutual Funds’ Returns. A Comparative Analysis of Different Classes of Funds in Pakistan","authors":"Imran Ahmed, D. Siddiqui","doi":"10.2139/ssrn.3305546","DOIUrl":"https://doi.org/10.2139/ssrn.3305546","url":null,"abstract":"This study aims to analyze and investigate the factors influencing returns of Islamic and conventional mutual funds in Pakistan. Furthermore, this study aims to investigate whether macroeconomic and systematic factors affect Shariah compliant Equity, Income and Assets allocation Mutual Funds differently as compared their conventional counterparts. Different statistical techniques like correlation and regression analysis were applied to study their effect. The study concluded that macro-economic factors have an impact on both conventional and Islamic mutual funds however their impact seems to be insignificant at large. Overall funds behaved negatively with discount rate, inflation and GDP, whereas positively with trade and market index. Apart from income funds that were affected positively with discount rate. Furthermore, income funds were not affected by market index.  Moreover, inflation and GDP that is usually backed by higher interest rates, also effects overall returns negatively. There was no significant difference in the behavior among the Islamic and conventional funds with respect to the above-mentioned factors. Lastly, there was high correlation among both the equity and asset allocation based mutual funds (both Islamic and conventional). It was also found that asset allocation funds had close resemblance to equity-based funds as compared to income-based funds in term of factors influencing their returns, which suggested that most of the asset allocation funds have more portion of equity as compared to debt and could be considered high risk. Hence, they seem to be against Modern portfolio theory Markowitz (1952) presuming it to be in a minimum level of risk. \u0000 ","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131076507","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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