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Monetary Economics: Financial System & Institutions eJournal最新文献

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Interest Rate Pass-Through and Bank Risk-Taking under Negative-Rate Policies with Tiered Remuneration of Central Bank Reserves 负利率政策下的利率传递与银行风险承担与央行准备金的分层报酬
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-11-30 DOI: 10.2139/ssrn.3739888
Christoph Basten, M. Mariathasan
{"title":"Interest Rate Pass-Through and Bank Risk-Taking under Negative-Rate Policies with Tiered Remuneration of Central Bank Reserves","authors":"Christoph Basten, M. Mariathasan","doi":"10.2139/ssrn.3739888","DOIUrl":"https://doi.org/10.2139/ssrn.3739888","url":null,"abstract":"We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates. Second, banks’ ability to offset negative deposit margins with increased mortgage margins is shown to depend on market power. Third, imposing negative rates on all central bank reserves causes banks to replace one sixth with riskier assets, and cut another sixth without replacement, shortening their balance sheets. Together with increased mortgage margins and fee income, the asset replacement preserves profits, but increases financial stability risks. Fourth, mortgage margin increases, balance sheet contractions and risk increases differ from positive rate policy. Fifth, the interruption in pass-through and the risks to financial stability can be reduced by up to 90% through tiered remuneration, charging marginal reserves only.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"5 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130076487","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: 11
Evaluation of European Deposit Insurance Scheme Funding Based on Risk Analysis 基于风险分析的欧洲存款保险计划筹资评价
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-11-28 DOI: 10.2139/ssrn.3738928
P. Fernández-Aguado, E. T. Martínez, Rafael Moreno Ruíz, A. Ureña
{"title":"Evaluation of European Deposit Insurance Scheme Funding Based on Risk Analysis","authors":"P. Fernández-Aguado, E. T. Martínez, Rafael Moreno Ruíz, A. Ureña","doi":"10.2139/ssrn.3738928","DOIUrl":"https://doi.org/10.2139/ssrn.3738928","url":null,"abstract":"In this paper, we carry out a quantitative analysis of the financing measures proposed for the European Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution scheme of member entities. We estimate the loss distribution of the EDIS considering different sources of systemic risk associated with the correlations between bank assets inside and outside the eurozone countries, and we analyse the sensitivity of the results to bank portfolio risk. We determine the variations in the cost of insurance due to the relative risk profile of banks in the Banking Union and the loss-absorbing capacity of the contribution made by countries with the methodologies proposed by the European Banking Authority (2015). Our findings show how the interconnection between banks of different countries has an important influence on accumulated losses in the tail of the distribution, although the correlation within a country exerts a stronger effect. Both aspects must be considered in the calibration of the target level of the fund to avoid underestimating financing needs. Likewise, deterioration in the quality of bank portfolios produces a significant reduction in the fund's loss-absorbing capacity, which calls into question its soundness in times of economic recession. Finally, we assess the impact of the new contribution scheme on moral hazard and the possibility of cross-border subsidies between the countries of the Banking Union.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124970740","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: 5
Government Ownership of Banks: Diversifying of Potential Products and Factors to Subsidize Agriculture 国有银行:补贴农业的潜在产品和要素的多样化
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-11-18 DOI: 10.2139/ssrn.3892083
K. Nith
{"title":"Government Ownership of Banks: Diversifying of Potential Products and Factors to Subsidize Agriculture","authors":"K. Nith","doi":"10.2139/ssrn.3892083","DOIUrl":"https://doi.org/10.2139/ssrn.3892083","url":null,"abstract":"It has recently been shown that government ownership of banks has a significant role in addressing market failures, improving social welfare and economic development. This study explores and identifies the potential products and factors in agriculture that public banks should subsidize. In this paper, the author investigates statistical properties of the two-step generalized method of moments (GMM) estimator to analyze the direct and indirect consumption of inputs in agricultural production on national-level data for 32 crop products and 14 livestock products from Cambodia during the 1989–2018 period. Many specifications have statistical significance and negative competent production growth. These results suggest that the proposed subsidies should clearly define the types of specialty products by local producers and their potential markets, both local and international. This paper investigates some policy options for government ownership of banks to improve agriculture. However, it must also adapt to new climate change and emergency events for the long-run sustainable development of the sector. Future directions should consider studying micro-data for specific types of products and regions.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126619980","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
How Does Greater Bank Competition Affect Borrower Screening? Evidence from a Natural Experiment Based on China's WTO Entry 银行竞争加剧如何影响借款人筛选?基于中国加入WTO的自然实验证据
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-11-17 DOI: 10.2139/ssrn.3223534
Thomas J. Chemmanur, Jiaqi Qin, Yan Sun, Qianqian Yu, Xiang Zheng
{"title":"How Does Greater Bank Competition Affect Borrower Screening? Evidence from a Natural Experiment Based on China's WTO Entry","authors":"Thomas J. Chemmanur, Jiaqi Qin, Yan Sun, Qianqian Yu, Xiang Zheng","doi":"10.2139/ssrn.3223534","DOIUrl":"https://doi.org/10.2139/ssrn.3223534","url":null,"abstract":"We analyze the relationship between greater bank competition and the screening of potential borrowers. Using a large sample of Chinese private firms and China's entry into the WTO as a natural experiment, we find the following. First, the sensitivity of bank credit to prior borrowing-firm performance increases after China's WTO entry. This sensitivity increase is greater in more bank-dependent industries and smaller in Chinese regions with greater financial sector development. Second, the increase in the sensitivity of bank credit to firm performance is much greater for state-owned firms compared to private firms. Third, the effect of bank credit on subsequent firm productivity and performance is greater for loans given after China's WTO entry compared to those given prior to WTO entry. Overall, the results of our empirical analysis suggest that the stringency of bank screening of borrowers in China increased with greater banking sector competition.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127748131","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
Credit Market Power: Branch-level Evidence from the Great Financial Crisis 信贷市场力量:来自金融大危机的分行层面证据
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-11-15 DOI: 10.2139/ssrn.3734347
Rustam Jamilov
{"title":"Credit Market Power: Branch-level Evidence from the Great Financial Crisis","authors":"Rustam Jamilov","doi":"10.2139/ssrn.3734347","DOIUrl":"https://doi.org/10.2139/ssrn.3734347","url":null,"abstract":"This paper investigates the credit market power channel of macroeconomic transmission. I propose a novel measure of competition on the asset side of bank balance sheets by estimating demand elasticities across local U.S. credit markets. My empirical approach exploits within-bank cross- regional variation in weekly changes in branch-level interest rates during the Great Financial Crisis. The average nationwide elasticity is 1.2, a low value which is consistent with localized monopolistic competition in bank lending. I show that credit market power can have real economic implications: regional variation in elasticities was a good predictor of growth in small business lending, employment, output, wages, and establishment dynamism during the Financial Crisis. My results are robust to bank heterogeneity and measures of deposit market concentration.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124033029","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
What Drives U.S. Treasury Re-Use? 是什么推动了美国财政部的再利用?
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-10-30 DOI: 10.2139/ssrn.3722272
Sebastian Infante, Zack Saravay
{"title":"What Drives U.S. Treasury Re-Use?","authors":"Sebastian Infante, Zack Saravay","doi":"10.2139/ssrn.3722272","DOIUrl":"https://doi.org/10.2139/ssrn.3722272","url":null,"abstract":"We study what drives the re-use of U.S. Treasury securities in the financial system. Using confidential supervisory data, we estimate the degree of collateral re-use at the dealer level through their collateral multiplier : the ratio between a dealer's secured funding and their outright holdings. We find that Treasury re-use increases as the supply of available securities decreases, especially when supply declines due to Federal Reserve asset purchases. We also find that non-U.S. dealers' re-use increases when profits from intermediating cash are high, U.S. dealers' re-use increases when demand to source on-the-run Treasuries is high, and both types of dealers' re-use can alleviate safe asset scarcity. Finally, we document a sharp drop in Treasury re-use at the onset of the COVID-19 pandemic, with a subsequent reversal after the Federal Reserve's intervention to support market functioning.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115678795","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
Non-US Global Banks and Dollar (Co-)Dependence: How Housing Markets Became Internationally Synchronized 非美国全球银行和美元(共同)依赖:房地产市场如何成为国际同步
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-10-29 DOI: 10.2139/ssrn.3762381
Torsten Ehlers, Mathias Hoffmann, Alexander Raabe
{"title":"Non-US Global Banks and Dollar (Co-)Dependence: How Housing Markets Became Internationally Synchronized","authors":"Torsten Ehlers, Mathias Hoffmann, Alexander Raabe","doi":"10.2139/ssrn.3762381","DOIUrl":"https://doi.org/10.2139/ssrn.3762381","url":null,"abstract":"US net capital inflows drive the international synchronization of house price growth. An increase (decrease) in US net capital inflows improves (tightens) US dollar funding conditions for non-US global banks, leading them to increase (decrease) foreign lending to third-party borrowing countries. This induces a synchronization of lending across borrowing countries, which translates into an international synchronization of mortgage credit growth and, ultimately, house price growth. Importantly, this synchronization is driven by non-US global banks’ common but heterogenous exposure to US dollar funding conditions, not by the common exposure of borrowing countries to non-US global banks. Our results identify a novel channel of international transmission of US dollar funding conditions: As these conditions vary over time, borrowing country pairs whose non-US global creditor banks are more dependent on US dollar funding exhibit higher house price synchronization.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"238 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113982648","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
Having 'Banks Play Along' Varieties of State-Bank Coordination and State-Guaranteed Credit Programs During the COVID-19 Crisis 在COVID-19危机期间，让“银行合作”各种国家-银行协调和国家担保信贷计划
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-10-28 DOI: 10.2139/ssrn.3720551
E. Massoc
{"title":"Having 'Banks Play Along' Varieties of State-Bank Coordination and State-Guaranteed Credit Programs During the COVID-19 Crisis","authors":"E. Massoc","doi":"10.2139/ssrn.3720551","DOIUrl":"https://doi.org/10.2139/ssrn.3720551","url":null,"abstract":"In times of crisis, governments have strong incentives to influence banks’ credit allocation because the survival of the economy depends on it. How do governments make banks “play along”? This paper focuses on the state-guaranteed credit programs (SGCPs) that have been implemented in Europe to help firms survive the COVID 19 crisis. Governments’ capacity to save the economy depends on banks’ capacity to grant credit to struggling firms (which they would not be inclined to do spontaneously in the context of a global pandemic). All governments thus face the same challenge: How do they make sure that state guaranteed loans reach their desired target and on what terms? Based on a comparative analysis of the elaboration and implementation of SGCPs in France and Germany, this paper shows that historically-rooted institutionalized modes of coordination between state and bank actors have largely shaped the terms of the SGCPs in these two countries.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125482045","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
Half Banked: The Economic Impact of Cash Management in the Marijuana Industry 半银行:大麻行业现金管理的经济影响
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-10-24 DOI: 10.2139/ssrn.3718455
Elizabeth A. Berger, N. Seegert
{"title":"Half Banked: The Economic Impact of Cash Management in the Marijuana Industry","authors":"Elizabeth A. Berger, N. Seegert","doi":"10.2139/ssrn.3718455","DOIUrl":"https://doi.org/10.2139/ssrn.3718455","url":null,"abstract":"We investigate the economic effects of cash management services that banks and credit unions offer in the legal marijuana industry, where only half of businesses have access to cash management services. Administrative data from Washington state on marijuana sales, data on financial institutions, and our hand-collected survey on marijuana dispensaries allow us to investigate product-level effects. Dispensaries with cash management services have 40% higher profitability, and we find that this is due to reduced frictions with upstream suppliers. Specifically, dispensaries with cash management negotiate 10% lower wholesale prices. Through this channel, we find banking services provide large economic value.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127844269","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
Asset-side Bank Runs and Liquidity Rationing: A Vicious Cycle 资产侧银行挤兑与流动性配给:恶性循环
Monetary Economics: Financial System & Institutions eJournal Pub Date : 2020-10-24 DOI: 10.2139/ssrn.3718144
Zongbo Huang
{"title":"Asset-side Bank Runs and Liquidity Rationing: A Vicious Cycle","authors":"Zongbo Huang","doi":"10.2139/ssrn.3718144","DOIUrl":"https://doi.org/10.2139/ssrn.3718144","url":null,"abstract":"This paper studies financial vulnerability in a dynamic banking model with credit line runs on the asset side of a bank’s balance sheet. I show that a strategic complementarity between bankers and borrowers arises from the contingency in credit lines and costly intermediation. Panic drawdowns by credit line borrowers and liquidity rationing by bankers reinforce each other and lead to a vicious cycle. Using data from U.S. banks, I estimate an infinite-horizon model in which banker-borrower strategic complementarity amplifies shocks on intermediation costs. The amplification channel accounts for one-third of the overall credit contraction during the 2008-09 crisis.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133282995","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
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