Monetary Economics: Financial System & Institutions eJournal最新文献

{"title":"Disclosure of Bank-specific Information and the Stability of Financial Systems","authors":"Liang Dai, Dan Luo, Ming-yu Yang","doi":"10.2139/ssrn.3762941","DOIUrl":"https://doi.org/10.2139/ssrn.3762941","url":null,"abstract":"We find that disclosing bank-specific information reallocates systemic risk, but whether it mitigates systemic bank runs depends on the information disclosed. Disclosure reveals banks' resilience to adverse shocks, and shift systemic risk from weak to strong banks. Yet, only disclosure of banks' exposure to systemic risk can mitigate systemic bank runs because it shifts systemic risk from more vulnerable banks to those less vulnerable. Optimal disclosure thus maximally differentiates such exposure, provided that banks experience runs simultaneously, if inevitable. Disclosure of banks' idiosyncratic factors does not differentiate such exposure, rendering the resulting reallocation of systemic risk ineffective in mitigating systemic runs. In the context of disclosing stress-test results, when the quality of the banking system deteriorates, the regulator may have to face a sudden run on a huge mass of banks rather than gradually abandoning weak banks.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"2 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124265187","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":"Bank Supervision and Liquidity Creation","authors":"Sara Yasar","doi":"10.2139/ssrn.3914132","DOIUrl":"https://doi.org/10.2139/ssrn.3914132","url":null,"abstract":"This paper examines whether different supervisory practices affect banks’ liquidity creation. Using a sample of commercial banks in the 27 European countries over 1996-2013, we document a negative association between regulators’ supervisory power and bank liquidity creation. However, the level of liquidity creation is unaffected by market-based monitoring. Further analysis reveals that the quality of the institutional environment and market incentives play a crucial role in explaining the cross-country variation in bank liquidity creation. The results of additional analyses suggest that supervisory power and private monitoring affect bank liquidity creation by mitigating liquidity risk, and these two supervisory practices are complementary mechanisms in reducing bank illiquidity. Overall, the results provide new insights into the design of regulatory and supervisory practices of financial institutions.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133576997","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":"Reset Required: The Euro Area Crisis Management and Deposit Insurance Framework","authors":"T. Huertas","doi":"10.2139/ssrn.3836363","DOIUrl":"https://doi.org/10.2139/ssrn.3836363","url":null,"abstract":"The crisis management and deposit insurance (CMDI) framework in the euro area requires a reset. Currently the framework is far more likely to manufacture a crisis rather than enable the authorities to manage one. Specifically, the current framework is far more likely to trigger the doom loop between weak banks and weak governments than to terminate or untie it. Nor will the current framework necessarily protect deposits. There is no guarantee that a euro in covered deposits will remain a euro, if the bank in which the deposit is held fails, and/or the Member State in which the failing bank is headquartered defaults. The CMDI framework aims to enhance financial stability, limit recourse to taxpayer money, promote competition and protect depositors. These policy objectives remain valid. What needs to change is the method that authorities use to achieve those objectives. First, the approach needs to integrate micro- and macro- aspects of crisis management. In particular, the approach needs to take account of the prospective roles of the European Stability Mechanism, both as a provider of credit to Member States as well as a guarantor of the Single Resolution Fund. Second, the approach needs encompass the central bank as a provider of liquidity to banks individually and to the market as a whole. Finally, the approach needs to recognize that by the time any reform proposed as a result of this review would become effective, the SRB and the significant institutions in the euro area will have completed the transition and become fully resolvable via bail-in. This affords the euro area the opportunity to reset expectations about resolution. The euro area should take this opportunity to make the crisis management and deposit insurance framework more European and more uniform. Specifically, there should be a single presumptive path for dealing with failed banks: the use of bail-in to facilitate the orderly liquidation under a solvent- wind down strategy. This will protect deposits and set the stage for the transformation of the Single Resolution Fund (SRF) into the Single Deposit Guarantee Scheme (SDGS) with a backstop from the European Stability Mechanism (ESM). In addition, measures should be taken to avoid forbearance, including the transfer of responsibility for emergency liquidity assistance (ELA) from national central banks to the ECB to create a single lender of last resort. Finally, national deposit guarantee schemes should become investors of last resort in the gone-concern capital of the failing bank. This will ensure that the orderly liquidation approach extends to all banks, including those without access to capital markets. Together, these measures would complete Banking Union, promote market discipline, avoid imposing additional burdens on taxpayers, help untie the doom loop between weak banks and weak governments, strengthen the euro and enhance financial stability.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115385081","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 disclosure impacts monitoring spillovers between competing passive and active funds","authors":"Henry L. Friedman, Lucas Mahieux","doi":"10.2139/ssrn.3730578","DOIUrl":"https://doi.org/10.2139/ssrn.3730578","url":null,"abstract":"We examine how disclosure impacts monitoring spillovers between competing passive and active funds. In our model, funds use fees and monitoring capacities to compete with each other over fund flows from a set of heterogeneous risk-averse investors. We provide conditions for when passive and active fund monitoring are strategic complements, leading to monitoring of the same firms, or strategic substitutes, leading to monitoring of different firms. We then highlight several disclosure implications of our model. Disclosure of the active fund's holdings facilitates monitoring complementarities across funds, above and beyond disclosure providing information to investors and firms. Moreover, we show that better information about portfolio firms' cash flows may either increase or decrease monitoring. The net effect depends on whether the dominating effect of disclosure involves reducing the active fund's information advantage or a general reduction in uncertainty about firms' cash flows.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116756815","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":"Sovereign Sustainability-Linked Bonds - Opportunities, challenges and pricing considerations","authors":"abdeldjellil bouzidi, Ph.D., D. Papaioannou","doi":"10.2139/ssrn.3919159","DOIUrl":"https://doi.org/10.2139/ssrn.3919159","url":null,"abstract":"Sustainability-Linked Bonds (SLB) are quickly developing in the corporate space. The market is expected to grow steadily in 2021 with total issuance ranging between 100 and 150 billion $ after a quarterly record of $31 billion of SLB issuance in the second quarter. As sovereign issuers are starting to analyze the opportunities and challenges to issue a SLB, the objective of this working paper is to suggest a framework to choose KPIs and Sustainability Performance Targets for a country. We suggest a framework based on the ESG financial risk materiality and the macroeconomic impact of KPIs linked to Sustainability Development Goals (SDGs). The paper is mainly targeting Debt Management Offices (DMO), investors and investment bank structuring and risk management teams interested in this new asset class. In this article, we describe SLBs, their specificities and analyse the market for corporate SLBs. We try to answer the question of the financial and sustainability structuring for a sovereign issuer interested in SLBs. We derive a formula for estimating the SPT default probability allowing investors and issuers to evaluate and monitor SLB characteristics and performance. This could also allow to compare countries internationally as well as improving discussions in climate summits like COPs. A discussion with the key questions faced by investors and issuers concludes this article.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"95 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131095100","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":"Systemic Implications of the Bail-In Design","authors":"Alissa M. Kleinnijenhuis, C. Goodhart, J. Farmer","doi":"10.2139/ssrn.3913699","DOIUrl":"https://doi.org/10.2139/ssrn.3913699","url":null,"abstract":"The 2007-2008 financial crisis forced governments to choose between the unattractive alternatives of either bailing out a systemically important bank (SIB) or allowing it to fail disruptively. Bail-in has been put forward as an alternative that potentially addresses the too-big-to-fail and contagion risk problems simultaneously. Though its efficacy has been demonstrated for smaller idiosyncratic SIB failures, its ability to maintain stability in cases of large SIB failures and system-wide crises remains untested. This paper’s novelty is to assess the financial-stability implications of bail-in design, explicitly accounting for the multi-layered networked nature of the financial system. We present a model of the European financial system that captures all five of the prevailing contagion channels. We demonstrate that it is essential to understand the interaction of multiple contagion mechanisms and that financial institutions other than banks play an important role. Our results indicate that stability hinges on the bank-specific and structural bail-in design. On one hand, a well-designed bail-in buttresses financial resilience, but on the other hand, an ill-designed bail-in tends to exacerbate financial distress, especially in system-wide crises and when there are large SIB failures. Our analysis suggests that the current bail-in design may be in the region of instability. While policy makers can fix this, the political economy incentives make this unlikely. In all, our findings indicate that the too-big-to-fail problem remains unresolved today.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116497639","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":"Tax Evasion Policies and the Demand for Cash","authors":"Edoardo Rainone","doi":"10.2139/ssrn.3899781","DOIUrl":"https://doi.org/10.2139/ssrn.3899781","url":null,"abstract":"This paper analyzes the relationship between cash and tax evasion by studying the effects of two measures to fight evasion: accessing taxpayers’ banking data to check the consistency with reported income and discouraging the use of cash with thresholds on payments. We show that variation in cash holdings triggered by these policies can be substantial, about 1.5% of the GDP. Accessing taxpayers’ banking data generates a conversion to the highest denomination banknotes, the most efficient for storing (and hiding) value. Sanctions on payments above a certain threshold are effective in decreasing cash inventory. Exploiting dynamic spatial heterogeneity in tax evasion and cash demand, we find that access to banking data has a higher effect in regions more inclined to evade taxes. No substantial difference is found for the effect of cash thresholds. We rationalize such evidences using a simple model of tax evasion and payment choice, which casts doubts on the effectiveness of such policies.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123233736","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 Strong Are British Banks? And Can They Pass the Covid-19 Stress Test?","authors":"K. Dowd, D. Buckner","doi":"10.2139/ssrn.3851948","DOIUrl":"https://doi.org/10.2139/ssrn.3851948","url":null,"abstract":"The Bank of England maintains that banks in the United Kingdom are strongly capitalised, but there is ample evidence from banks’ share prices and market values that contradicts this claim. Banks are more fragile now than they were going into the last crisis, and the Bank of England’s failure to ensure the resilience of the banking system suggests a need for radical reform that does away with the regulator.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124691431","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":"A Fiscal Theory of Money and Banking","authors":"P. He, Zehao Liu, Chengbo Xie","doi":"10.2139/ssrn.3874760","DOIUrl":"https://doi.org/10.2139/ssrn.3874760","url":null,"abstract":"We introduce banks to the fiscal theory of price level to study the effectiveness of open market operations in correcting the distortions caused by an improper tax rate. A rise in the tax rate increases the real purchasing power of payment liquidity for short-term consumption, but reduces firms' incentive to take loans for long-term investment. An excessively low tax rate leads to an over-investment problem, which can be rectified by a combination of reverse repo operations and a positive reserve requirement. The optimal reverse repo rate is a function of the “fiscal gap”, that is, the difference between the optimal tax rate and the actual tax rate. By contrast, an excessively high tax rate leads to an under-investment problem. Open market operations are ineffective in this case as the zero lower bound of interest rates prevents the central bank from injecting additional credit to the economy.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129451294","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":"Does Banking Deregulation Affect Accounting Conservatism?","authors":"Wei Huang","doi":"10.2139/ssrn.3439016","DOIUrl":"https://doi.org/10.2139/ssrn.3439016","url":null,"abstract":"Abstract This study examines the effect of banking competition on borrowing firms’ conditional accounting conservatism (i.e., asymmetric timely loss recognition). The context of the study is the staggered passage of the Interstate Banking and Branching Efficiency Act (IBBEA), the deregulation that permits banks to establish branches across state lines and increases bank competition. I find that firms report less conservatively after the passage of the IBBEA in their headquarter states. The effect on conditional conservatism is stronger for firms in states with a greater increase in competition among banks, firms that are more likely to borrow from in-state banks, firms with greater financial constraint, and firms subject to less external monitoring. Additional tests confirm that the decline in conditional conservatism is observed only after the adoption of IBBEA and lasts for two years. The findings indicate that banks tend to “lowball” borrowers when competition arises by relaxing their demand for conservative reporting. Overall, this study highlights the unintended impacts of banking competition on borrowing firms’ financial reporting.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127793367","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}