PSN: International Financial Crises (Topic)最新文献

{"title":"Firm Performance, the Financial Crisis and the US Tourism Industry","authors":"Renée Fry-McKibbin, C. Hsiao, Alice Zhang","doi":"10.2139/ssrn.3020516","DOIUrl":"https://doi.org/10.2139/ssrn.3020516","url":null,"abstract":"An empirical examination of the effect of the 2007 to 2009 financial crisis on the US tourism industry using equity price returns and firm performance ratios for 30 US tourism firms is undertaken in three parts. The joint test of financial market contagion proposed by Fry-McKibbin, Hsiao and Martin (2017) is applied to show that high frequency aggregate US equity market shocks of the financial crisis have a significant impact on US tourism industry returns. Construction of a crisis severity index shows that the peak of the crisis is concurrent with the collapse of Lehman Brothers in September 2008 where more than 80% of the US tourism firms are affected by more than expected by the crisis. Relating the probability of crisis transmission to fundamentals by estimating a logit model of the ffect of the firm specific indicators of profitability, liquidity and leverage shows that it is the liquidity and leverage ratios that correlate most with being affected by contagion. The findings o¤er practical value to tourism firms to monitor and control their performance measures in preparation for future economic downturns.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"53 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88692777","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":"Financial Imbalances, Crisis Probability and Monetary Policy in Norway","authors":"Ragna Alstadheim, Ørjan Robstad, Nikka Husom Vonen","doi":"10.2139/ssrn.3073747","DOIUrl":"https://doi.org/10.2139/ssrn.3073747","url":null,"abstract":"We assess the strength of the impact of a monetary policy shock on financial crisis probability in Norway. Policy effects go via the interest rate impact on credit, house prices and banks’ wholesale funding. We find that the impact of a monetary policy shock on crisis probability is about 10 times larger than what previous studies suggest. The large impact is mostly due to a fall in property prices and banks’ wholesale funding in response to a contractionary monetary policy shock. In contrast, and in line with existing literature, there is a more limited contribution to reduced crisis probability from the impact of monetary policy on credit.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90923409","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 Looming International Financial Crisis: Can the Introduction of Risk Sharing in the Financial System as Required by Islamic Finance, Play a Positive Role in Reducing Its Severity?","authors":"M. U. Chapra","doi":"10.12816/0038220","DOIUrl":"https://doi.org/10.12816/0038220","url":null,"abstract":"The paper discusses the causes of financial crises and, in particular, the most recent one which started in 2007 and lasted for around 19 months. It argues that since one of the major causes of the crises is the unhealthy rise in international debt in recent years, it is very likely that there will be another serious crisis in the near future because the factors that enable the banks to lend excessively continue relatively unperturbed. The paper then argues whether it is possible for the healthy discipline that the fundamental principles of Islamic finance try to build into the financial system can help rein to some extent the excessive credit extension and thereby contribute to a reduction in the severity and frequency of such crises in the future.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78096176","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 Eurogroup, Power and Accountability","authors":"P. Craig","doi":"10.1111/eulj.12251","DOIUrl":"https://doi.org/10.1111/eulj.12251","url":null,"abstract":"This article considers the role of the Eurogroup in EU decision‐making, a topic that is under‐theorised, more espe-cially given its importance in the overall EU schema. The Eurogroup's power has grown very considerably, largelybecause of the enhanced role that it has been accorded as a result of the financial crisis, with the result that itspower no longer accords with the Treaty provisions that specify its function. The article sets out the Treaty foun-dations of the Eurogroup, examines its role in EU decision‐making, the rationale for its increased power, and theextent to which it is politically and legally accountable.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"51 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80193365","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 Best Strategies for the Worst Crises","authors":"Michael Cook, Edward Hoyle, M. Sargaison, Daniel J. Taylor, Otto Van Hemert","doi":"10.2139/ssrn.2986753","DOIUrl":"https://doi.org/10.2139/ssrn.2986753","url":null,"abstract":"Hedging equity portfolios against the risk of large drawdowns is notoriously difficult and expensive. Holding, and continuously rolling, at-the-money put options on the S&P 500 is a very costly, if reliable, strategy to protect against market sell-offs. Holding ‘safe-haven’ US Treasury bonds, while providing a positive and predictable long-term yield, is generally an unreliable crisis-hedge strategy, since the post-2000 negative bond-equity correlation is a historical rarity. Long gold and long credit protection portfolios appear to sit between puts and bonds in terms of both cost and reliability. In contrast to these passive investments, we investigate two dynamic strategies that appear to have generated positive performance in both the long-run but also particularly during historical crises: futures time-series momentum and quality stock factors. Futures momentum has parallels with long option straddle strategies, allowing it to benefit during extended equity sell-offs. The quality stock strategy takes long positions in highest-quality and short positions in lowest-quality company stocks, benefitting from a ‘flight-to-quality’ effect during crises. These two dynamic strategies historically have uncorrelated return profiles, making them complementary crisis risk hedges. We examine both strategies and discuss how different variations may have performed in crises, as well as normal times, over the years 1985 to 2016.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"135 7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79628675","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":"Resilience, Supply Chains and the Great Recession","authors":"S. Brakman, Charles van Marrewijk","doi":"10.2139/ssrn.2990942","DOIUrl":"https://doi.org/10.2139/ssrn.2990942","url":null,"abstract":"We analyse the link between supply chains and the extent to which the Great Recession has affected national economies. Our analysis is in two steps, namely first for value added measures of supply chains and then for the Grubel-Lloyd index using gross-export data. Regarding value added measures we find, in general, no effect. Only if we separate out Europe do we find that the trough in Europe occurs about 0.17 years later and the recovery (for the countries that have recovered) about 1.55 years later. Moreover, the duration of the decline in Europe is about 4 months longer and of the recovery about 17 months longer. We explain this link and Europe’s special role using a detailed Grubel-Lloyd index applied to gross-exports as an alternative supply chain measure, which significantly affects the impact of the Great Recession regarding the timing and duration of the recovery (later and longer).","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78004761","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":"Banking Regulation, Institutional Quality, and Financial Crises","authors":"F. Marchionne, B. Pisicoli","doi":"10.2139/ssrn.2914642","DOIUrl":"https://doi.org/10.2139/ssrn.2914642","url":null,"abstract":"This paper examines how financial regulation and institutional quality affect the probability of a banking crisis using a panel of 132 countries over the period 1999-2011. We find that the probability of a financial crisis increases moving from low to medium levels of regulation and decreases from medium to high levels of regulation. This relationship is sensitive to the institutional quality and creates a liberalization trap for “happy mediums”: only countries endowed with good institutions can undertake a liberalization process. This effect is larger for European Union (and Eurozone) members than other countries. As heterogeneity in institutional quality generates also different preferences, international agreements on banking regulation are hard to achieve, especially in Europe. Our results are consistent with several robustness econometric exercises.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86922708","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":"How is the Likelihood of Fire Sales in a Crisis Affected by the Interaction of Various Bank Regulations?","authors":"Divya Kirti, Vijay Narasiman","doi":"10.5089/9781475588675.001.A001","DOIUrl":"https://doi.org/10.5089/9781475588675.001.A001","url":null,"abstract":"We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects the likelihood of fire sales by giving banks the incentive to sell certain assets and retain others. Ex-post incentives from high risk weights and the interaction of capital and liquidity requirements can make fire sales more likely. Time-varying risk weights may be an effective tool to prevent fire sales.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79958628","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 Austrian Way: Sozialpartnerschaft as Means to Curb the Falling Rate of Profit","authors":"Julia M. Puaschunder","doi":"10.2139/ssrn.2919913","DOIUrl":"https://doi.org/10.2139/ssrn.2919913","url":null,"abstract":"Economic crises are inherent in all market systems. The leap from long boom to long downturn is attributed to the lack of advanced capitalist economies to achieve and sustain high profit rates. Economic historians vividly outline overaccumulation and overheating leading to a squeeze of profits as underlying to great booms, recessions and depressions by the historical examples of Italy, France, Germany and Japan. Overaccumulation is based on the capital account being run down due to a demand for labor, which leads to rising wages and capital flight and ultimately to unprofitable economies. Tightening labor markets during long boom phases lead eventually to class conflict, which is the starting point of the profit squeeze and eventually busts and recessions and depressions. Overheating occurs in the wake of strike waves and subsequent wage explosions, such as in Europe between 1968 and 1970 in France, Germany, Netherlands, Italy and the United Kingdom, when workers backed their claims with strike action. Capitalists were forced to concede wage rises, which eventually lowered their rate of profit. Strikes stem out of frustration over moderation of growth of real wages, reduction in labor's share and increase in the share of profits, erosion of differentials, and increased work load. Manifold conventional monetary, fiscal and social intervention strategies as counter-cyclical means to avert booms and busts are described in international examples of the past. This paper aims at adding to the existing literature the case of describing the Austrian Sozialpartnerschaft. This stakeholder engagement means practiced in Austria is shown to avert social imbalances leading to economically inefficient worker uprising, protests and strikes. Since the post-World War II era, the Austrian Wirtschaftswunder (economic miracle) is attributed to the Sozialpartnerschaft breeding economic growth alongside social stability in Austria. The relative low economic fluctuations of the Austrian economy are grounded in the model of Sozialpartnerschaft to solve class struggles and worker rights movements elegantly through self-determination, participation and compromise. The unique Austrian model of the voluntary Sozialpartnerschaft is captured to implicitly curb the falling rate of profit phenomenon. In the Sozialpartnerschaft model, the citizenry, that undermines the profit rate in many other countries, gains access to board meetings to discuss national claims. Rather than partially illegal and counterproductive, risky strike movements, the Sozialpartnerschaft forms an institutionalized relationship between the government, political parties and certain interest groups in the field of labor, social, and economic policy. While it is widely recognized as a key element in Austrian politics since the end of World War II, social partnership is neither anchored in the Austrian constitution nor laid down in any specific legal act. The insights gained from the Austrian way to structure ","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91517267","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":"Asymmetric Macro-Financial Spillovers","authors":"Kristina Bluwstein","doi":"10.2139/SSRN.2923015","DOIUrl":"https://doi.org/10.2139/SSRN.2923015","url":null,"abstract":"The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less procyclical than financial busts. To identify the sources of asymmetry, I estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The model matches the key features of the data and shows that the borrowers’ balance sheet channel accounts for the asymmetry in the macro-financial linkages. The muted macro-financial transmission during financial booms can be exploited for macroprudential policies. By comparing capital buffer rules with monetary policy ‘leaningagainst- the-wind’ rules, I find that countercyclical capital buffers improve welfare.","PeriodicalId":20862,"journal":{"name":"PSN: International Financial Crises (Topic)","volume":"60 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87926140","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}