ERN: Financial Crises (Monetary) (Topic)最新文献_第10页

Optimal Capital Controls and Real Exchange Rate Policies: A Pecuniary Externality Perspective 最优资本管制与实际汇率政策:货币外部性视角

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2014-04-01 DOI: 10.3386/W22224

Gianluca Benigno, Huigang Chen, Christopher Otrok, A. Rebucci, Eric R. Young

{"title":"Optimal Capital Controls and Real Exchange Rate Policies: A Pecuniary Externality Perspective","authors":"Gianluca Benigno, Huigang Chen, Christopher Otrok, A. Rebucci, Eric R. Young","doi":"10.3386/W22224","DOIUrl":"https://doi.org/10.3386/W22224","url":null,"abstract":"In response to the global financial crisis a new policy paradigm emerged in which capital controls and other quantitative restrictions on credit flows have become part of the standard crisis prevention policy toolkit. A new strand of theoretical literature studies the use of capital controls in a context in which pecuniary externality justifies policy interventions. Within the same theoretical framework adopted in this literature, we show that the optimal design of crisis prevention (ex-ante) policies depends on the effectivness of crisis management (ex-post) policies. This interaction between ex-ante and ex-post policies gives rise to a new rationale for the use of capital controls. Specifically, we show that when ex-post policies are effective in containing crises, there is no need to intervene ex-ante with capital controls. On the other hand, if crises management policies entail efficiency costs and hence lose effectiveness, then the optimal policy mix consists of both ex-ante and ex-post interventions so that crises prevention policies become desirable. In our model, the optimal policy mix combines capital controls in tranquil times with real exchange rate support to limit its depreciation during crises times and yields welfare gains of more than 1% in consumption equivalence terms.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122646970","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: 123

Does Easing Monetary Policy Increase Financial Stability? 宽松的货币政策能促进金融稳定吗?

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2013-02-01 DOI: 10.2139/ssrn.2724869

A. Cesa-Bianchi, A. Rebucci

引用次数: 35

Crisi Internazionale E Crisi Nazionale (National and International Crises) 国际危机与国家危机

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2012-03-26 DOI: 10.2139/ssrn.3149533

S. Ferrari

引用次数: 0

Small Enough To Fail: A Systems Approach To Financial Systems Reform 小到足以倒闭:金融体系改革的系统方法

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2011-09-01 DOI: 10.1108/15265941111176163

M. Mainelli, Bernard Manson

{"title":"Small Enough To Fail: A Systems Approach To Financial Systems Reform","authors":"M. Mainelli, Bernard Manson","doi":"10.1108/15265941111176163","DOIUrl":"https://doi.org/10.1108/15265941111176163","url":null,"abstract":"Introduction The “Credit Scrunch” of 2007 was a systemic failure. Interactions between elements of the system (banks, rating agencies, regulators, governments, financial instruments, etc.) mattered more than the specific behaviour of a particular actor. If you believe the crisis was an apocalypse or foreshadows an apocalypse, then you should be considering fundamental reform. You want to redesign, and design principles would be handy. What might they be? Systems theory, touching on if not encompassing chaos theory and complexity theory, gives us a rich background to some simple design parameters, namely input process output, governance, monitoring, feed back and feed forward. Systems theory goes some way to explaining why financial systems, due to their large amount of feed forward (positive feed back), tend to exhibit “fat tail” outcome distributions and more instability than physical systems. Bob Giffords, the technology analyst, groups together feed back, monitoring, feed forward and governance components as “feed through”, highlighting the effect of people’s perceptions on the probability of future events (Mainelli and Giffords, 2009). If people change their perception of a risk, e.g. terrorism, that perception feeds through to alter future behaviour, such as passenger levels on public transport. Systems with feed through – and human systems are marked by this – typically have non-normal event distributions. Systems theory suggests that, for the sake of resilience and robustness, larger systems should be broken into smaller, more discrete and redundant systems where possible. Feed-through suggests a need to slow processes down and introduce variety, leading to recommendations for countercyclical mechanisms, but oddly perhaps considering slowing down or breaking up information flows.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125143728","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: 3

글로벌 금융위기가 국내 일반은행과 저축은행의 효율성에 미친 영향 분석(The Impact of the Global Financial Crisis on Efficiency of the Domestic Commercial Banks and Savings Banks) 全球金融危机对国内普通银行和储蓄银行效率的影响分析(The Impact of The Global Financial Crisis on Efficiency of The Domestic Commercial Banks and Savings Banks)

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2011-06-30 DOI: 10.2139/ssrn.3017079

Jonghyup Shin, S. Lee, Daigyo Seo

{"title":"글로벌 금융위기가 국내 일반은행과 저축은행의 효율성에 미친 영향 분석(The Impact of the Global Financial Crisis on Efficiency of the Domestic Commercial Banks and Savings Banks)","authors":"Jonghyup Shin, S. Lee, Daigyo Seo","doi":"10.2139/ssrn.3017079","DOIUrl":"https://doi.org/10.2139/ssrn.3017079","url":null,"abstract":"Korean Abstract: 본 연구에서는 글로벌 금융위기가 국내 일반은행과 저축은행의 효율성에 어떠한 영향을 미쳤는지에 대해 고찰해 보았다. 먼저 은행의 투입물과 산출물 변수를 선별한 후, 자료포락분석(DEA: Data Envelopment Analysis) 방법을 사용하여 개별 은행의 효율성을 추정하였다. 또한 효율성 추정치를 기반으로 결정요인 분석을 실시하여 효율성에 영향을 미치는 변수들을 파악하였다. 효율성 분석은 전체샘플(일반은행 저축은행), 일반은행, 저축은행(대형저축은행, 중소형저축은행, 상장저축은행, 퇴출저축은행)을 대상으로 각각 실시하였다. 실증분석 결과 일반은행은 2007년도부터 효율성 하락을 기록하기 시작한 반면, 저축은행은 2006년 이후 지속적으로 효율성이 증가하는 것으로 나타났다. 이러한 분석결과에는 정부의 저축은행 특별관리 정책, 저축은행의 자구노력 등이 영향을 미친 것으로 파악된다. 또한 과거 외환위기 당시 일반은행에 대한 구조조정 작업은 대부분 완료되었으나, 저축은행은 글로벌 금융위기 이후 동 작업이 본격적으로 시작되었기 때문에 구조조정에 수반된 반사이익으로 효율성 증대 현상이 나타난 것으로 추정된다. 효율성 결정요인 분석에서는 두 가지 사항에 주의를 기울일 필요가 있다. 첫째, 대출이나 자산규모가 클수록 효율성이 감소하는 것으로 나타났다. 이는 저축은행의 무분별한 대출 및 외형 키우기 등에 기인한 현상으로 보인다. 둘째, 금융위기 이전에 중요한 효율성 결정요인이었던 BIS 비율이 금융위기 이후에는 효율성에 영향을 미치지 않는 것으로 나타났다. 저축은행의 자체 산정 BIS 비율이 더 이상 객관적 공정성을 가지지 못함을 보여준 예라고 할 수 있겠다. 본 연구의 효율성 분석결과는 저축은행이 일반은행보다 금융위기로부터 빠른 회복세를 보이고 있다는 것을 의미한다. 하지만 효율성 분석에 사용된 변수들의 적합성 여부 및 분식회계의 가능성 등이 저축은행의 효율성 분석결과에 대한 신뢰를 떨어뜨리고 있는 것은 사실이다. 결국 저축은행이 일반은행에 비해 발 빠른 회복세를 보이고있는 것이 일시적 현상인지 아닌지를 판가름 위해서는 추가적인 데이터의 축적이 요구된다. English Abstract: In this study, we analyze how the global financial crisis has affected the efficiency of the domestic commercial banks and savings banks. Using selected input and output variables of the each banking industry, we estimate the bank efficiency by applying the data envelopment analysis (DEA). Based on the efficiency estimates, we study which factors affect bank efficiency. Our result shows that the efficiency of commercial banks substantially deteriorated after 2007. On the contrary, the efficiency of savings banks has continuously improved since 2006. We attribute these results to special management policies on saving banks by the Korean government, self-efforts of savings banks, near completion of restructuring on commercial banks in the 1997 crisis, etc. To find the determinants of efficiency, we use a bootstrap Tobit method because the dependent variable (the efficiency estimate) is censored and a endogeneity problem between the dependent variable and independent variables arises from using a simple Tobit method. We find two important things from the regression analysis. First, among the independent variables, BIS ratio has a positive effect on efficiency before the global crisis, but it has nothing to do with efficiency after the crisis. Second, the bigger the scale or the credit of banks, the less the efficiency of banks. These two findings are based on improper operations of the savings banks. From the results of this research, we arguably say that savings banks overcome the global financial crisis more rapidly than commercial banks. In order to judge, however, whether this argument is right or not, subsequent analyses with more accumulated data sets are needed.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125034897","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

Asset-Backed Securities Downgrades as Evidence of Skin in the Game prior to the Mortgage Crisis 抵押贷款危机前，资产支持证券评级下调，证明其参与了博弈

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2009-03-18 DOI: 10.2139/ssrn.1364725

E. Higgins, J. Mason, Adi Mordel

引用次数: 0

Structure-Performance Linkages in the Korean Banking Sector and Policy Implications 韩国银行部门的结构-绩效联系及其政策影响

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2006-06-30 DOI: 10.2139/ssrn.3019757

Kang H. Park

{"title":"Structure-Performance Linkages in the Korean Banking Sector and Policy Implications","authors":"Kang H. Park","doi":"10.2139/ssrn.3019757","DOIUrl":"https://doi.org/10.2139/ssrn.3019757","url":null,"abstract":"Two competing hypotheses, the market structure hypothesis and the efficient structure hypothesis, have been proposed in regard to the relationship between structure and performance in the banking sector. The purpose of this paper is to identify the major determinants of profitability in the Korean banking sector for the period of 1992~2002 by testing the two competing hypotheses in an integrated model which incorporates the variables representing both hypotheses. The results indicate that bank efficiency has a significant effect on bank profitability and support the efficient structure hypothesis. The unique feature of this paper is the estimation of allocative inefficiency by the directional technology distance function and the use of this estimate in explaining bank performance. Another contribution of this paper is a finding that the major determinants of bank profitability in Korea have changed between pre-and post-crisis periods. Before the currency crisis, all three variables- market concentration, market share and efficiency-were significant explanatory variables. However, after the crisis, the measures of efficiency stand out as the most significant variable, and the importance of equity ratio was also noted. This paper also provides several policy implications for bank regulatory reform.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129130700","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

옵션모형을 이용한 은행부실의 조기경보모형 구축 Modeling Early Warning Signal for the Bank Vulnerability Using an Option-Based Approach Modeling Early Warning Signal for the Bank Vulnerability Using an Option-Based Approach

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2005-06-30 DOI: 10.2139/ssrn.3019849

S. Chun, Bong-Han Kim

{"title":"옵션모형을 이용한 은행부실의 조기경보모형 구축 Modeling Early Warning Signal for the Bank Vulnerability Using an Option-Based Approach","authors":"S. Chun, Bong-Han Kim","doi":"10.2139/ssrn.3019849","DOIUrl":"https://doi.org/10.2139/ssrn.3019849","url":null,"abstract":"Korean Abstract: 본고는 1995∼2001년 중 우리나라 일반은행의 주가지수 및 재무제표를 이용하여 옵션가격모형에 기초한 부도거리를 추정하였다. 추정된 부도거리와 은행의 수익성 및 건전도 지표와의 관계를 분석한 결과, 은행의 수익성이 증가하거나 자산이 증가할 경우 부실화 확률이 낮아지는 반면, 부실채권이 증가할수록 부실화확률이 높고 신용등급이 낮을수록 부실화확률이 높은 것으로 나타났다. 또한 probit 및 logit 모형을 이용한 부도거리의 유용성을 분석한 결과, 퇴출 및 공적 자금 지원 여부를 기준으로 은행위기를 분류한 경우 3년의 시차를 두고, 신용등급을 기준으로 분류한 경우에는 2년의 시차를 두고 부도거리와 은행위기와는 음(-)의 상관관계를(부도확률이 높을수록 은행위기가 발생할 확률이 높음) 보여주었으나, 분석결과가 통계적으로 유의미하지는 않았다. English Abstract: Distance to default is estimated using the option based model utilizing the stock prices and balance sheets of commercial banks in Korea. Estimated relationship between distance to default and indexes which represent the profitability and soundness of banking sector shows that increased profitability and asset size or improvement in credit ratings leads to the lower probability of default. Empirical analysis results of probit and logit model shows that distance to default and banking crisis has negative relationship with 2 to 3 years of lag, implying higher probability of default leading to higher probability of incidences of banking crises, even though statistically not significant.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129280006","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

Policy Responses to Modern Economic Crises 应对现代经济危机的政策

ERN: Financial Crises (Monetary) (Topic) Pub Date : 1900-01-01 DOI: 10.2139/ssrn.3705721

Daniel Murphy

{"title":"Policy Responses to Modern Economic Crises","authors":"Daniel Murphy","doi":"10.2139/ssrn.3705721","DOIUrl":"https://doi.org/10.2139/ssrn.3705721","url":null,"abstract":"In March 2020, Jay Powell, Federal Reserve (Fed) chairperson, faced a daunting prospect that only a few months prior seemed like a remote possibility: massive expansion of the Fed's balance sheet. Over the past five years, the economy had experienced steady economic growth, permitting the Fed to reduce its balance sheet. The Fed's economists expected the trend to continue. But the rapidly spreading global coronavirus pandemic (known as COVID-19) had rendered moot all prior forecasts. In addition to the health crisis, the United States—and the world—faced the prospect of another economic crisis—just over 10 years after emerging from the largest recession since the Great Depression. How should Powell and his counterparts who ran fiscal policy respond to the crisis? And to what extent could the policy experiments implemented in response to the Great Recession of 2008 guide the monetary and fiscal policy interventions in response to the pandemic crisis? Excerpt UVA-GEM-0182 Rev. Oct. 28, 2020 Policy Responses to Modern Economic Crises In March 2020, Jay Powell, Federal Reserve (Fed) chairperson, faced a daunting prospect that only a few months prior seemed like a remote possibility: massive expansion of the Fed's balance sheet. Over the past five years, the economy had experienced steady economic growth, permitting the Fed to reduce its balance sheet (see Exhibit1 for the monetary base). The Fed's economists expected the trend to continue. But the rapidly spreading global coronavirus pandemic (known as COVID-19) had rendered moot all prior forecasts. In addition to the health crisis, the United States—and the world—faced the prospect of another economic crisis—just over 10 years after emerging from the largest recession since the Great Depression. How should Powell and his counterparts who ran fiscal policy respond to the crisis? And to what extent could the policy experiments implemented in response to the Great Recession of 2008 guide the monetary and fiscal policy interventions in response to the pandemic crisis? Global Financial Crisis As is characteristic of economic crises, the global financial crisis of 2008 came as a surprise that forced policymakers to adapt to evolving events. Mortgage delinquencies accelerated, and indices of national home prices started to decline in early 2007 (Exhibit 2). Lenders such as HSBC experienced large losses, and some filed for bankruptcy. Despite the issues in the housing market, policymakers at first maintained an optimistic outlook. On March 17, Fed Chairman Ben Bernanke stated: “We believe the effect of the troubles in the subprime sector on the broader housing market will likely be limited, and we do not expect significant spillovers from the subprime market to the rest of the economy or to the financial system.” . . .","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129120582","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

An Empirical Economic Assessment of the Costs and Benefits of Bank Capital in the United States 美国银行资本成本与收益的实证经济评估

ERN: Financial Crises (Monetary) (Topic) Pub Date : 1900-01-01 DOI: 10.20955/r.101.203-30

S. Firestone, Amy Lorenc, Benjamin Ranish

引用次数: 6