ERN: Financial Crises (Monetary) (Topic)最新文献_第5页

Resilience in the Phase of Massive Global Financial Catastrophe (A Study with Special Reference to S&P BSE SENSEX - An Industry-Wise Analysis) 大规模全球金融灾难阶段的弹性(特别参考S&P BSE SENSEX的研究-行业分析)

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-04-26 DOI: 10.2139/ssrn.3169119

V. V

引用次数: 0

Ostensible Financial Stability Caused by Wealth Inequality 财富不平等造成的表面金融稳定

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-03-23 DOI: 10.2139/ssrn.3147465

Youngna Choi

引用次数: 0

The Impact of Managerial Style on Bank Credit Risk Responses to Systemic Crises: Examining Syndicated Bank Loan Portfolios 管理风格对系统性危机下银行信用风险反应的影响:以银团银行贷款组合为例

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-03-15 DOI: 10.2139/ssrn.3101920

Y. Shan

引用次数: 3

Are Key Market Players in Currency Derivatives Markets Affected by Financial Conditions? 货币衍生品市场的主要市场参与者是否受到金融状况的影响?

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-03-10 DOI: 10.2139/ssrn.3143957

Ikhlaas Gurrib

{"title":"Are Key Market Players in Currency Derivatives Markets Affected by Financial Conditions?","authors":"Ikhlaas Gurrib","doi":"10.2139/ssrn.3143957","DOIUrl":"https://doi.org/10.2139/ssrn.3143957","url":null,"abstract":"This study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous financial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efficiency, this study compares the impact of current, 1 and 2 week lags of financial conditions onto foreign currency futures players’ net positions. The financial conditions indices used are UFCI, STLFSI, NFCI and ANFCI with weekly data set from January 2007 till December 2018. The US dollar index futures is included as a benchmark, since the financial conditions are based on US data and the most actively traded foreign currencies are paired against the USD. While RMSE and NRMSE gave mixed results into how current, 1 week and 2 weeks lagged Financial Conditions Indices (FCIs) values are related to speculators and hedgers’ net positions, lagged NFCI captured the highest correlation with both players’ net positions in Japanese Yen. 95% prediction levels encompassed the actual net positions held, including the financial crisis of 2008-2009. Forecasts were lower (higher) for hedgers (speculators) than actual net positions held during the same period. Comparatively, in the period 2016-2017, hedgers (speculators) net positions forecasts were higher (lower) than actual positions. The latter could be explained by FCIs not being affected during this period’s event, compared to net positions. While net positions data were stationary, excess kurtosis was present pointing to non-normal and autocorrelated series. This suggests the need to look into other components like non-reportable long or short positions in future analysis.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127251393","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

Matching Frictions, Credit Reallocation and Macroeconomic Activity: How Harmful are Financial Crises? 匹配摩擦、信贷再分配和宏观经济活动:金融危机的危害有多大?

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-02-19 DOI: 10.2139/ssrn.3126289

Emanuele Ciola, E. Gaffeo, M. Gallegati

引用次数: 0

Collateral Unchained: Rehypothecation Networks, Concentration and Systemic Effects 抵押品解锁:再抵押网络，集中和系统效应

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-01-31 DOI: 10.2139/ssrn.3123226

Duc Thi Luu, M. Napoletano, P. Barucca, S. Battiston

{"title":"Collateral Unchained: Rehypothecation Networks, Concentration and Systemic Effects","authors":"Duc Thi Luu, M. Napoletano, P. Barucca, S. Battiston","doi":"10.2139/ssrn.3123226","DOIUrl":"https://doi.org/10.2139/ssrn.3123226","url":null,"abstract":"We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral obtained by other banks via reverse repos. In this framework, we show that total collateral volume and its velocity are affected by characteristics of the network like the length of rehypothecation chains, the presence or not of chains having a cyclic structure, the direction of collateral flows, the density of the network. In addition, we show that structures where collateral flows are concentrated among few nodes (like in core-periphery networks) allow large increases in collateral volumes already with small network density. Furthermore, we introduce in the model collateral hoarding rates determined according to a Value-at-Risk (VaR) criterion, and we then study the emergence of collateral hoarding cascades in different networks. Our results highlight that network structures with highly concentrated collateral flows are also more exposed to large collateral hoarding cascades following local shocks. These networks are therefore characterized by a trade-off between liquidity and systemic risk.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128507186","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: 12

Are Lenders Using Risk-Based Pricing in the Consumer Loan Market? The Effects of the 2008 Crisis 贷款人是否在消费贷款市场使用基于风险的定价?2008年金融危机的影响

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-01-29 DOI: 10.2139/ssrn.3127554

Silvia Magri

引用次数: 30

Internal Capital Markets in Italian Business Groups: Evidence from the Financial Crisis 意大利商业集团的内部资本市场:来自金融危机的证据

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-01-29 DOI: 10.2139/ssrn.3128206

R. Santioni, I. Supino

引用次数: 2

Three Major Financial Crises: What Have We Learned 三次主要金融危机:我们吸取了什么教训

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2018-01-01 DOI: 10.2139/ssrn.3247455

Ross P. Buckley, E. Avgouleas, D. Arner

{"title":"Three Major Financial Crises: What Have We Learned","authors":"Ross P. Buckley, E. Avgouleas, D. Arner","doi":"10.2139/ssrn.3247455","DOIUrl":"https://doi.org/10.2139/ssrn.3247455","url":null,"abstract":"Few experts predicted the Asian Financial Crisis of 1997-1998, or the Global Financial Crisis of 2008 and its close companion the Eurozone Debt Crisis of 2010, and we certainly do not pretend to be able to predict the next one. Yet history teaches there will be another crisis and probably sooner rather than later, and, of course, in the decade since the start of the Global Financial Crisis, the Eurozone crisis has been ongoing in many of its dimensions. Fragility that periodically erupts into a full blown financial crisis appears to be an integral feature of market-based financial systems in spite of the advent of sophisticated risk management tools and regulatory systems. If anything the increased frequency of modern crises since the collapse of the Bretton Woods international monetary system and the period of financial internationalization and globalization which has followed, underscores how difficult it is to prevent and deal with systemic risk. We thus seek to compare and contrast these three major crises both to distill the lessons to be learned, and to identify what more can be done to strengthen our financial systems. The following sections will provide an overview of each crisis in turn, considering in particular (i) its causes; (ii) the effectiveness of policy responses; and (iii) the lessons. In the conclusion we seek to draw some common themes from these experiences going forward.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117256246","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

An Historical Perspective on Financial Stability and Monetary Policy Regimes: A Case for Caution in Central Banks Current Obsession with Financial Stability 金融稳定与货币政策机制的历史视角:央行当前对金融稳定的执念值得谨慎

ERN: Financial Crises (Monetary) (Topic) Pub Date : 2017-12-23 DOI: 10.2139/ssrn.3160020

Michael D. Bordo

引用次数: 2