European Economics: Macroeconomics & Monetary Economics eJournal最新文献

{"title":"The Other Side of the Coin: Risks of the Libra Blockchain","authors":"L. Abraham, D. Guégan","doi":"10.2139/ssrn.3474237","DOIUrl":"https://doi.org/10.2139/ssrn.3474237","url":null,"abstract":"Libra was presented as a cryptocurrency on June 18, 2019 by Facebook. On the same day, Facebook announced plans for Calibra, a subsidiary in charge of the development of an electronic wallet and financial services. In view of the primary risk of sovereignty posed by the creation of Libra, regulators and Central Banks quickly took very clear positions against the project and expressed a lot of questions focusing on regulation aspects and national sovereignty. \u0000The purpose of this paper is to provide a holistic analysis of the project encompassing several aspects of its implementation and the issues it raises. We address a set of questions that are part of the cryptocurrency environment and blockchain technology that support the Libra project. We describe the governance of the project based on two levels, one for the Association and the other for the Libra Blockchain. We identify the main risks considering at the same time political, financial, economic, technological and ethical risks. We emphasize the difficulty to regulate such a project as it will depend on several countries whose legislations are very different. Finally, the future of this kind of projects is discussed through the emergence of Central Bank Digital Currencies.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"152 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":"125845005","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":"Interbank Network Characteristics, Monetary Policy ‘News’ and Sensitivity of Bank Stock Returns","authors":"Aref Mahdavi Ardekani, Isabelle Distinguin, Amine Tarazi","doi":"10.2139/ssrn.3520689","DOIUrl":"https://doi.org/10.2139/ssrn.3520689","url":null,"abstract":"This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices to \"News\", how such reaction could be influenced by the shape of bank networks remains an open issue. We look at how banks' interconnectedness within interbank loan and deposit networks affects investors' expectations of future bank performance in response to monetary policy \"News\". Our sample consists of commercial, investment, real estate and mortgage banks in 10 Euro-zone countries. Our results show that the stock prices of banks with stronger local network positions are less sensitive to monetary policy announcements while those of banks with stronger system-wide positions are more sensitive to them.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"54 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":"130101463","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":"Анализ модели экономической интеграции (Analysis of an Economic Integration Model)","authors":"Kniaz Bagdasaryan","doi":"10.31063/2073-6517/2019.16-3.4","DOIUrl":"https://doi.org/10.31063/2073-6517/2019.16-3.4","url":null,"abstract":"<b>Russian Abstract:</b> При формировании любых типов интеграционных объединений осуществляется выбор некой модели взаимодействия, которая наиболее соответствует представлению ее субъектов и интересам. Целью исследования является выявление общих элементов структуры, присущих всем видам действующих интеграционных моделей, и установление их логической взаимосвязи. Метод исследования позволяет выявить особенности структуры интеграционных моделей в существующих интеграционных объединениях, что даст возможность формировать новые усовершенствованные либо упрощенные модели на основе представленных обобщенных классификационных признаков. Исследование показало, что в теориях международной экономической интеграции не существует универсальной интеграционной модели даже для двух однотипных объединений. Ее формирование происходит путем определения необходимых классификационных признаков, которые формируют структуру в соответствии с интересами и заявленными целями субъектов интеграции. Вместе с тем, в глоссариях международных финансовых, экономических и политических организаций отсутствует любое определение интеграционной модели, в частности, в контексте экономической интеграции. Таким образом, применение интеграционной модели одного объединения к другому по признакам экономической успешности возможно только в теории, однако в практическом аспекте, даже с учетом одинаковых целей и интересов, оно создаст институциональную ловушку, поскольку элементы структуры имеют разную характеристику, а функционирование и взаимодействие субъектов происходит в разных условиях.шении России.<br><br><b>English Abstract:</b> Formation of integration associations of any type requires selection of a certain integration model which will best meet the requirements for the presentation of its subjects and interests. To select an appropriate integration model in the formation of new economic associations, it is necessary to explore the theoretical and practical aspects of existing international integration models. The aim of the study is to identify common structural elements inherent in all types of existing models and to establish their logical relationship. The research method allows to reveal the features of the structure of integration models in existing integration associations, as well as to form new improved or simplified models based on the presented generalized classification features. The study has shown that there is no universal integration model for all associations in theories of international economic integration. Its formation occurs by defining the necessary classification criteria that form the structure in accordance with the interests and stated goals of the subjects of integration. However, glossaries of international financial, economic and political organizations do not give any definitions of an integration model, in particular, in the context of economic integration. Therefore, the application of an integration model of any association on the grounds of econom","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129580411","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":"Managerial Ability as a Tool for Prudential Regulation","authors":"Claudia Curi, Ana Lozano-Vivas","doi":"10.2139/ssrn.3499648","DOIUrl":"https://doi.org/10.2139/ssrn.3499648","url":null,"abstract":"Abstract The new prudential regulation framework, established by the European Central Bank (ECB) after the financial crisis encompasses supervisory procedures to measure and monitor bank business models, capital requirements, governance arrangements and liquidity risk. However, research on financial stability has revealed that, during financial crises, it would have been essential to monitor the vulnerability of banks by also assessing the value of their intangible assets. We contribute to the extant literature by examining the impact of a specific intangible asset—namely, managerial ability—on bank risk-taking. Given the interest of the regulatory authority in monitoring financial stability, we quantify management ability and document its double effects on bank risk-taking: the indirect effect through franchise value and its direct effect. We examine a sample of listed banks from 15 EU countries over the period 1997–2016. We find that higher managerial ability is associated with higher franchise value, contributing to a decrease in bank risk-taking (indirect effect), particularly for small banks and during financial crisis. Moreover, managerial ability reduces bank risk-taking through its direct effect. Our evidence suggests that managerial ability could be considered a measure (easily estimated) for regulating the disciplinary role of franchise value and, used in combination with current regulatory measures, could lead to supervisors achieving more effective management oversight.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"257 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":"121141959","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":"Inflation Expectations Anchoring: New Insights from Micro Evidence of a Survey at High-Frequency and of Distributions","authors":"Nikos Apokoritis, G. Galati, R. Moessner, Federica Teppa","doi":"10.2139/ssrn.3447331","DOIUrl":"https://doi.org/10.2139/ssrn.3447331","url":null,"abstract":"We shed new light on the anchoring of long-term euro area inflation expectations since the crisis by using micro evidence from a new survey at high (weekly) frequency. We find that long-term inflation expectations remained well anchored to the ECB's inflation aim, which has acted as a focal point. By contrast, we find no evidence that professional forecasts (reported by Consensus Economics) acted as focal points. But there are subtle signs of long-term inflation expectations not being perfectly well-anchored. Using measures based on the distribution of inflation expectations from a quarterly survey, namely uncertainty based on the full distribution, the probability of expected long-term inflation lying between 1.5% and 2.5%, and the effect of short-term on long-term deflation risk, we find that long-term euro area inflation expectations have remained well-anchored, and have become better-anchored between 2011 and 2018.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134525680","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":"Risk Allocation Through Securitization – Evidence From Non-Performing Loans","authors":"Sascha Tobias Wengerek, B. Hippert, André Uhde","doi":"10.2139/ssrn.3221075","DOIUrl":"https://doi.org/10.2139/ssrn.3221075","url":null,"abstract":"Employing a unique and hand-collected dataset of securitization transactions by European banks, this paper analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations suggesting that banks (partly) securitized NPLs as the most risky junior tranche. In contrast, we find the reverse effect during the crises period indicating that issuing banks demonstrated `skin in the game'. A variety of sensitivity analyses provides further important implications for the vital debate on reducing NPL exposures and regulating securitization markets.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"33 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":"132103318","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":"French Households’ Portfolio: The Financial Almost Ideal Demand System Appraisal","authors":"S. Avouyi-Dovi, C. Pfister, Franck Sédillot","doi":"10.2139/ssrn.3449065","DOIUrl":"https://doi.org/10.2139/ssrn.3449065","url":null,"abstract":"Over the last decades, the composition of financial wealth of French households has dramatically changed. We seek explanatory factors for these changes by estimating an extended version of Deaton and Muellbauer (1980) model applied to French households’ portfolio choices. We find that most of the estimated parameters of the benchmark model are in line with economic priors. In particular, wealth and real returns are the key determinants of the long run dynamics of the different asset shares in the portfolio. We use the model to simulate the effect on French households’ portfolio allocation for the replacement in 2018 of the various tax regimes of most financial products with a flat tax on savings income. We find that the flat tax should support investment in equities at the expense of life insurance contracts.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"117 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":"122424363","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":"Credit Risk in Commercial Real Estate Bank Loans: The Role of Idiosyncratic versus Macro-Economic Factors","authors":"Dimitris Mokas, Rob Nijskens","doi":"10.2139/ssrn.3448455","DOIUrl":"https://doi.org/10.2139/ssrn.3448455","url":null,"abstract":"The commercial real estate market is pro-cyclical. This feature, together with the relative size of the industry and the large capital inflows, has made this sector relevant for financial stability. Using a novel loan level data set covering the commercial real estate portfolios of Dutch banks we aim to uncover potential drivers of distress in commercial real estate loans. Furthermore, we estimate the relative importance of idiosyncratic and systematic factors and emphasize the importance of bank behavior for distinguishing between good and bad credit growth. We find that loans originated near the peak of the cycle are riskier, confirming the pro-cyclical nature of the market. As opposed to loans originated during busts, the risk of boom loans does not decrease when economic conditions improve. Idiosyncratic factors correlated with higher credit risk are loan-to-value ratios and interest rates, especially when coupled with variable rate contracts. Moreover, we find that collateral type plays a role, as loans for non-residential (office, retail, industrial) real estate with higher vacancy rates are riskier. These results have implications for both macroprudential and microprudential supervision, as they demonstrate the pro-cyclicality of the market and show that indicators like loan-to-value, interest rate structure and vacancy rates must be monitored more carefully in boom times.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"30 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128315924","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":"Micro-Evidence From a System-Wide Financial Meltdown: The German Crisis of 1931","authors":"Kristian S. Blickle, Markus K. Brunnermeier, Stephan Luck","doi":"10.2139/ssrn.3436140","DOIUrl":"https://doi.org/10.2139/ssrn.3436140","url":null,"abstract":"This paper studies a major financial panic, the run on the German banking system in 1931, to distinguish between banking theories that view depositors as demanders of liquidity and those that view them as providers of discipline. Our empirical approach exploits the fact that the German Crisis of 1931 was system-wide with cross-sectional variation in deposit flows as well as bank distress and took place in absence of a deposit insurance scheme. We find that interbank deposit flows predict subsequent bank distress early on. In contrast, wholesale depositors are more likely to withdraw from distressed banks at later stages of the run and only after the interbank market has started to collapse. Retail deposits are—despite the absence of deposit insurance—largely stable. Our findings emphasize the heterogeneity in depositor roles, with discipline being best provided through the interbank market.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124535753","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":"On Becoming an O-SII ('Other Systemically Important Institution')","authors":"A. Andrieș, Simona Nistor, S. Ongena, N. Sprincean","doi":"10.2139/ssrn.3019888","DOIUrl":"https://doi.org/10.2139/ssrn.3019888","url":null,"abstract":"How have financial markets reacted to the disclosure of the list of Other Systemically Important Institutions by the European Banking Authority? With an event study of bank stock prices, we document that the immediate reaction of the stock market is negative, suggesting that the included financial institutions are perceived to be less profitable because they are subject to tighter regulation. However, within a few days, investors change their perception in the case of both euro-zone and noneuro-zone banks, which can be attributed to their too-big-to-fail status. CDS spreads react similarly, increasing first before decreasing almost immediately thereafter. On the day of the event, abnormal returns are more negative for banks selected using supervisory judgement and for large banks. In the long run, the market reacts more positively in the case of financial institutions selected using discretionary information and those with a lower capitalization.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126728982","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}