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ERN: Financial Crises (Monetary) (Topic)最新文献

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'Dragon Boating' Alone? Community Ties and Systemic Income Shocks 独自“划龙船”?社区关系与系统性收入冲击
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-11-29 DOI: 10.2139/ssrn.3292917
Konstantinos Matakos, D. Minos, Ari A. Perdana, E. Radin
{"title":"'Dragon Boating' Alone? Community Ties and Systemic Income Shocks","authors":"Konstantinos Matakos, D. Minos, Ari A. Perdana, E. Radin","doi":"10.2139/ssrn.3292917","DOIUrl":"https://doi.org/10.2139/ssrn.3292917","url":null,"abstract":"Can social capital effectively cushion households against adverse income shocks, especially in the absence of formal insurance mechanisms in developing countries? We analyze whether participation in formal and informal community activities (our measure of social capital) helped households in Indonesia mitigating the impact of the 1998 economic crisis. We use the 1997 and 2000 rounds of the Indonesian Family Life Survey (IFLS) to capture the impact of the crisis on household welfare and assess the potency of social capital as a safety net. In contrast to previous studies, our empirical results do not lend support to this hypothesis. Using an IV strategy, we find community participation not to be statistically significant in explaining changes in household expenditure. The large magnitude and universal nature of the shock might explain why social capital did not help households. However, we find some evidence that households who participated in such activities are more likely to have received financial assistance from local authorities without necessarily being the neediest ones.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126714951","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
Signs of Crisis in Emerging Markets: Markets in a Lull 新兴市场危机的迹象:市场处于平静期
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-10-23 DOI: 10.2139/SSRN.3271671
L. Gadiy, A. Kiyutsevskaya, P. Trunin, M.Ye. Chembulatova
{"title":"Signs of Crisis in Emerging Markets: Markets in a Lull","authors":"L. Gadiy, A. Kiyutsevskaya, P. Trunin, M.Ye. Chembulatova","doi":"10.2139/SSRN.3271671","DOIUrl":"https://doi.org/10.2139/SSRN.3271671","url":null,"abstract":"US Fed’s monetary policy tightening has induced capital outflows from emerging economies, inducing, coupled with internal problems, serious financial instability in the markets of Turkey and Argentina. Central banks have launched policies to arrest the plunge in the markets of developing countries. The achieved market stability may be short-lived, however.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129845172","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
Sovereign Bond Yield Spreads Spillovers in the EMU 欧洲货币联盟的主权债券利差溢出效应
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-10-01 DOI: 10.2139/ssrn.3271374
António Afonso, M. Kazemi
{"title":"Sovereign Bond Yield Spreads Spillovers in the EMU","authors":"António Afonso, M. Kazemi","doi":"10.2139/ssrn.3271374","DOIUrl":"https://doi.org/10.2139/ssrn.3271374","url":null,"abstract":"We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called \"periphery\" and \"core\" countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods for Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while in the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"465 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115922587","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
Financial Bridges and Network Communities 金融桥梁和网络社区
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-09-29 DOI: 10.2139/ssrn.3178053
R. Casarin, Michele Costola, Erdem Yenerdag
{"title":"Financial Bridges and Network Communities","authors":"R. Casarin, Michele Costola, Erdem Yenerdag","doi":"10.2139/ssrn.3178053","DOIUrl":"https://doi.org/10.2139/ssrn.3178053","url":null,"abstract":"We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. We provide evidence of the prominent role played by insurances in the spread of systemic risk in both crises and demonstrate that institutions with a large number of inter-community linkages (community bridges) are more relevant in spreading contagion than institutions with large centrality. Network measures based on the community structure can provide a better description of the financial connectedness and effective early warning indicators for financial losses.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117012285","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
The Relationship Between the US Economy’s Information Processing and Absorption Ratios: Systematic vs Systemic Risk 美国经济信息处理与吸收比率的关系:系统性风险与系统性风险
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-09-02 DOI: 10.2139/ssrn.3260972
Edgar Parker
{"title":"The Relationship Between the US Economy’s Information Processing and Absorption Ratios: Systematic vs Systemic Risk","authors":"Edgar Parker","doi":"10.2139/ssrn.3260972","DOIUrl":"https://doi.org/10.2139/ssrn.3260972","url":null,"abstract":"After the 2008 financial collapse, the now popular measure of implied systemic risk called the absorption ratio was introduced. This statistic measures how closely the economy’s markets are coupled. The more closely financial markets are coupled the more susceptible they are to systemic collapse. A new alternative measure of financial market health, the implied information processing ratio or entropic efficiency of the economy, was derived using concepts from information theory. This new entropic measure can also be useful in predicting economic downturns and measuring systematic risk. In the current work, the relationship between these two ratios and types of risks are explored. Potential methods of the joint use of these different measures to optimally reduce systemic and systematic risk are introduced.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116502804","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
Lending Corruption and Bank Loan Contracting: Cross-Country Evidence 贷款腐败与银行贷款合同:跨国证据
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-08-22 DOI: 10.2139/ssrn.3292740
Liangliang Jiang, Jeffrey Ng, Chong Wang
{"title":"Lending Corruption and Bank Loan Contracting: Cross-Country Evidence","authors":"Liangliang Jiang, Jeffrey Ng, Chong Wang","doi":"10.2139/ssrn.3292740","DOIUrl":"https://doi.org/10.2139/ssrn.3292740","url":null,"abstract":"Lending corruption is an important agency problem for banks. Using data from the World Bank Business Environmental Survey, we find that in countries with more lending corruption, banks give more favorable loan terms to borrowers. This relation is stronger when firms are under more financing constraints, consistent with corruption being important to obtaining favorable loan terms when the supply of debt capital is tighter. In line with the expectation that monitoring constrains agency problems, this relation is weaker in countries with higher foreign ownership of banks or where Protestantism is the primary religion. In the syndicated loan market, participant banks are inclined to lend less in countries where lending corruption is more prevalent. Firms in countries with greater corruption prefer private bank debt over public bonds and are more leveraged. Banks in countries with more lending corruption have poor loan quality, worse earnings performance, and are more susceptible to trouble during a financial crisis. Overall, our findings suggest that corruption greases the wheels for borrowers but is detrimental to bank shareholders.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129002790","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
(Un)Conventional Monetary Policy and Bank Risk-Taking: A Nonlinear Relationship 非常规货币政策与银行风险承担:一种非线性关系
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-07-13 DOI: 10.2139/ssrn.3213158
Sophie Brana, Alexandra Campmas, Ion Lapteacru
{"title":"(Un)Conventional Monetary Policy and Bank Risk-Taking: A Nonlinear Relationship","authors":"Sophie Brana, Alexandra Campmas, Ion Lapteacru","doi":"10.2139/ssrn.3213158","DOIUrl":"https://doi.org/10.2139/ssrn.3213158","url":null,"abstract":"Abstract This paper investigates the effect of monetary policy - especially unconventional monetary policy - on bank risk-taking behavior in Europe over the period 2000–2015. Using a dynamic panel model with a threshold effect, we estimate this effect on two measures of bank risk: the Distance to Default, which reflects the market perception of risk, and the asymmetric Z-score, which corresponds to an accounting-based measure of the risk. We find that loosening monetary policy (via low interest rates and increasing central banks' liquidity) has a harmful effect on banks’ risk, confirming the existence of the risk-taking channel. Moreover, we show that this relationship is nonlinear, i.e., with the sustainable implementation of unconventional monetary policies, the effects are stronger below a certain threshold.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128774967","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: 23
Credit Supply and Housing Speculation 信贷供给与住房投机
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-07-01 DOI: 10.2139/ssrn.3209564
Atif R. Mian, Amir Sufi
{"title":"Credit Supply and Housing Speculation","authors":"Atif R. Mian, Amir Sufi","doi":"10.2139/ssrn.3209564","DOIUrl":"https://doi.org/10.2139/ssrn.3209564","url":null,"abstract":"\u0000 Credit supply expansion boosts housing speculation and amplifies the housing cycle. The surge in private-label mortgage securitization in 2003 fueled a large expansion in mortgage credit supply by lenders financed with noncore deposits. Areas more exposed to these lenders experienced a large relative rise in transaction volume driven by a small group of speculators, and these areas simultaneously witnessed an amplified housing boom and bust. Consistent with the importance of belief heterogeneity, house price growth expectations of marginal buyers rose during the boom, while housing market pessimism among the general population increased.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126274685","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: 89
Labor Market and Financial Shocks: A Time Varying Analysis 劳动力市场和金融冲击:一个时变分析
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-06-15 DOI: 10.2139/ssrn.3210777
Francesco Corsello, Valerio Nispi Landi
{"title":"Labor Market and Financial Shocks: A Time Varying Analysis","authors":"Francesco Corsello, Valerio Nispi Landi","doi":"10.2139/ssrn.3210777","DOIUrl":"https://doi.org/10.2139/ssrn.3210777","url":null,"abstract":"Motivated by the events of the Great Recession, we estimate a time-varying structural VAR model to analyze the effects of a financial shock on the labor market, focusing on the US. Our results indicate that a tightening of financial conditions is highly detrimental to the labor market. Moreover, we show that financial shocks have affected the unemployment rate asymmetrically in the last three decades, an implication that a standard VAR cannot capture: while negative financial shocks have been responsible for increases in unemployment, our model does not find significant contributions of financial shocks during periods of expansion. The source of this asymmetry is the time-varying standard deviation of the identified shock, which is higher in times of financial distress; on the other hand, we find the transmission mechanism is almost constant over time.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131288659","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: 7
Monetary Policy and Inflation Dynamics in ASEAN Economies 东盟经济体的货币政策和通货膨胀动态
ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-06-01 DOI: 10.2139/ssrn.3252417
Geraldine Dany-Knedlik, Juan A. Garcia
{"title":"Monetary Policy and Inflation Dynamics in ASEAN Economies","authors":"Geraldine Dany-Knedlik, Juan A. Garcia","doi":"10.2139/ssrn.3252417","DOIUrl":"https://doi.org/10.2139/ssrn.3252417","url":null,"abstract":"This paper investigates the evolution of inflation dynamics in the five largest ASEAN countries between 1997 and 2017. To account for changes in the monetary policy frameworks since the Asian Financial Crisis (AFC), the analysis is based on country-specific Phillips Curves allowing for time-varying parameters. The paper finds evidence of a higher degree of forward-looking dynamics and a better anchoring of inflation expectations, consistent with the improvements in monetary policy frameworks in the region. In contrast, the quantitative impact of cyclical fluctuations and import prices has gradually diminished over time.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115570981","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
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