ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)最新文献_第3页

Provisioning and Non-Performing Exposures During the Financial Crisis: Are Italian Banks Special? 金融危机期间的拨备和不良敞口:意大利银行特别吗?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2015-11-22 DOI: 10.2139/ssrn.2694226

A. Carboni, A. Carboni

{"title":"Provisioning and Non-Performing Exposures During the Financial Crisis: Are Italian Banks Special?","authors":"A. Carboni, A. Carboni","doi":"10.2139/ssrn.2694226","DOIUrl":"https://doi.org/10.2139/ssrn.2694226","url":null,"abstract":"Using a sample of 500 Italian banks over the period 2007 - 2014, our paper provides evidence on the hypothesis behind the management of credit risk provisions and non-performing exposures for the entire banking system and for different types of banks, clustered on dimension. We also study on the behavior of riskier banks and offer an interpretation of higher provisions during recent episodes of unconventional monetary measures. We summarize our main results in these points. First, provisions of Italian banks support the earnings management and the capital management hypothesis, reflecting their procyclicality. Second, the evidence shows that banks with different dimensions do not have the same response to selected determinants. In particular, macroeconomic variables affect provisioning only for medium and large banks, the capital management hypothesis holds for cooperative and small banks, while the earnings management is not validated for large banks. Third, non-performing loans are highly persistent for cooperative and small banks, while the hypothesis regarding efficiency, profitability and risk-taking are confirmed in relation to non-performing loans. Fourth, we also observe that banks with weaknesses in credit risk practices have insufficient provisions and therefore need more non-discretionary income to enlarge their coverage capacity. They also violate the capital management hypothesis. Finally, results show increased sensitivity of provisions to earnings in 2011 - 2013, due to unconventional measures.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131315083","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

Do Bond Investors Price Tail Risk Exposures of Financial Institutions? 债券投资者对金融机构尾部风险敞口定价吗?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-10-16 DOI: 10.2139/ssrn.2417499

S. Chava, Rohan Ganduri, Vijay Yerramilli

引用次数: 3

Basel III, Ownership Concentration, Risk-Taking, and Capital Stability: Evidence from Asia 巴塞尔协议III:股权集中度、风险承担和资本稳定性:来自亚洲的证据

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-09-13 DOI: 10.2139/ssrn.2495842

Pichaphop Chalermchatvichien, Seksak Jumreonwong, P. Jiraporn

引用次数: 2

Preferential Regulatory Treatment and Banks’ Demand for Government Bonds 优惠监管待遇与银行对政府债券的需求

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-07-30 DOI: 10.2139/ssrn.2474058

C. Bonner

引用次数: 60

Competitor Firms’ Stock-Price Reaction to Private Equity Placement Announcements: Evidence from China 竞争对手对私募股权配售公告的股价反应:来自中国的证据

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-02-14 DOI: 10.2139/ssrn.2396029

M. Fonseka, Sisira R. N. Colombage, G. Tian

引用次数: 0

Collateral-Motivated Financial Innovation 抵押品驱动的金融创新

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-01-24 DOI: 10.2139/ssrn.2014928

Ji Shen, Hongjun Yan, Jinfan Zhang

引用次数: 47

Is Financial Regulation Appropriately Dealing with Systemic Risk? Are We Really Fixing Existing Problems or Creating New Ones? 金融监管是否恰当地处理了系统性风险?我们是在解决现有问题还是在制造新问题?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2014-01-18 DOI: 10.2139/SSRN.2381180

Rosa M. Abrantes-Metz

{"title":"Is Financial Regulation Appropriately Dealing with Systemic Risk? Are We Really Fixing Existing Problems or Creating New Ones?","authors":"Rosa M. Abrantes-Metz","doi":"10.2139/SSRN.2381180","DOIUrl":"https://doi.org/10.2139/SSRN.2381180","url":null,"abstract":"What is the purpose of financial sector regulation? What problem are we trying to solve? We are not (or should not be) trying to eliminate risk from the market. There is an \"optimal level of risk,\" and surely it is not zero. That means that there could exist inefficiently high levels of risk, but also inefficiently low levels.Instead, we are trying to eliminate what might be called \"excessive risk.\" But what makes risk \"excessive?\" To an economist, that can only mean risk which is priced too low, perhaps even not priced at all. But that is another way of saying risk which has not been fully internalized in the market, which is another way of describing an externality. In this article I summarize important shortfalls of current regulatory requirements, namely stress testing, to deal with the actual problem.I argue that the risk to fix the problem of \"excessive risk\" by the banks is to directly look into the banks’ liabilities that are prone to a bank run and regulate these instead. It is simpler, straight to the core of the problem, significantly less costly to implement and less costly in terms of negative effects that excessive and mis-targeted regulation can have in terms of economic growth, than the approach actually adopted.There were many components to the 2007-2009, which did create a perfect financial storm. But at the end of the day, it was fundamentally a problem of too much leverage on very short term debt. This fact was the trigger of the run and I believe also a key driver of contagion throughout the financial sector. Therefore, avoiding excessive risk will require that financial institutions taking deposits, borrowing overnight and issuing fixed-value money-market shares or any other type of asset that can cause a bank run then it will have to back up 100% of its liabilities with short term treasuries or reserves at the Fed.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128873670","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

Are There Common Factors in Individual Commodity Futures Returns? 个别商品期货收益是否存在共同因素?

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2013-11-22 DOI: 10.2139/ssrn.2056186

Charoula Daskalaki, Alexandros Kostakis, G. Skiadopoulos

引用次数: 4

How Bank Business Models Drive Interest Margins: Evidence from U.S. Bank-Level Data 银行业务模式如何推动息差:来自美国银行层面数据的证据

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2013-08-01 DOI: 10.2139/ssrn.2311117

Saskia E. van Ewijk, I. Arnold

{"title":"How Bank Business Models Drive Interest Margins: Evidence from U.S. Bank-Level Data","authors":"Saskia E. van Ewijk, I. Arnold","doi":"10.2139/ssrn.2311117","DOIUrl":"https://doi.org/10.2139/ssrn.2311117","url":null,"abstract":"The two decades prior to the credit crisis witnessed a strategic shift from a traditional, relationships-oriented model (ROM) to a transactions-oriented model (TOM) of financial intermediation in developed countries. A concurrent trend has been a persistent decline in average bank interest margins. In the literature, these phenomena are often explained using a causality that runs from increased competition in traditional segments to lower margins to new activities. Using a comprehensive dataset with bank-level data on over 16,000 FDIC-insured U.S. commercial banks for a period ranging from 1992 to 2010, this paper qualifies this chain of causality. We find that a bank's business model, measured using a multi-dimensional proxy of relationship banking activity, exerts a robust, positive effect on interest margins. Relationship banks still enjoy considerable interest margins. Our results provide evidence that banks' quest for growth, not the level of competition in traditional retail segments, has transformed banks' balance sheets and has reduced interest rate margins as a by-product.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131278124","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: 7

Treasury Liquidity, Funding Liquidity and Asset Returns 国库流动性，资金流动性和资产回报

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2013-07-16 DOI: 10.2139/ssrn.2023187

Ruslan Goyenko

引用次数: 5