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

{"title":"Economic Fundamentals for Office Properties and Shifts in REIT Portfolios 2007-2017","authors":"Alexandra Thompson","doi":"10.2139/ssrn.3054767","DOIUrl":"https://doi.org/10.2139/ssrn.3054767","url":null,"abstract":"Gateway cities have historically been the focus of institutional investors in office properties. Since the financial crisis, however, office markets in other cities have enjoyed greater demand and rising occupancy rates relative to those in gateway cities. REITs have positioned themselves to benefit from this relative strength in secondary markets, through a shift in portfolio activities to these markets rather than the traditional gateway markets that constitute the bulk of REIT portfolios. Economic fundamentals including population and employment growth have supported the performance of office markets in these cities. REITs appear to have taken advantage of their knowledge of local market conditions in order to anticipate these changes in fundamental conditions in office markets.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127363025","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":"The Financial Crisis and Diverging House Prices: Evidence from the Copenhagen Metropolitan Area","authors":"I. Mulalic, H. Rasmussen, J. Rouwendal, Hans Henrik Woltmann","doi":"10.2139/ssrn.3041272","DOIUrl":"https://doi.org/10.2139/ssrn.3041272","url":null,"abstract":"This paper investigates the development of house prices in Copenhagen in the period 1994-2013, while paying special attention to the heterogeneous impact of the boom and bust periods along the dimensions of housing type (single vs multifamily housing), geography and quality. To allow for price developments that can differ by quality, we use a recently developed generalization of the conventional Muth model that assumes a constant unit price across the quality spectrum. It allows us to separately consider the development of house prices and quality in Copenhagen neighbourhoods. Moreover, we investigate the validity of the common assumption of a constant unit price and reject it decisively. We use detailed housing transaction data for the greater Copenhagen area. We show that the housing boom of the 2000’s and the bust that followed hit the lowest quality segments significantly harder than the high quality segments of the housing market.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121337030","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 the Degree of Development Matter in the Impact of Banking Crises on International Trade?","authors":"S. Gil‐Pareja, R. Llorca‐Vivero, J. Martínez-Serrano","doi":"10.1111/rode.12284","DOIUrl":"https://doi.org/10.1111/rode.12284","url":null,"abstract":"This paper analyzes how a country's degree of economic development affects the impact of banking crises on international trade. To this end, we estimate a gravity model of trade using a sample of 139 countries over the period 1975–2012. Our results show that middle income countries are generally the most negatively affected. In contrast, financial turmoil appears to have less impact on bilateral trade flows among high income countries and, more specially, among low income nations. The level of financial development, contract enforcement, as well as the extent of the use of banking credit within international trade all help to explain our findings.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125285524","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":"US REITs' Returns Sensitivity to Interest Rates after the Global Financial Crisis","authors":"G. Morri, Wenwen Liu","doi":"10.2139/ssrn.3007609","DOIUrl":"https://doi.org/10.2139/ssrn.3007609","url":null,"abstract":"Purpose: This paper investigates whether US REITs’ returns have been sensitive to the monetary policy introduced after the Global Financial Crisis of 2008. \u0000Design/methodology/approach: For the period from 1995 to 2015, we tested the correlation between US REITs’ returns and interest rates, since the central banks commonly use interest rates as a tool to implement their policy. Then, using three sub-periods, we observed how the sensitivity of US REITs to interest rates changed according to the different economic environments. Using two risk factors — the stock market and the changes in long-term interest rates — we created a multifactor model based around the classical CAPM (Sharpe, 1964) and an elaboration of intertemporal CAPM (Merton, 1973). \u0000Findings: We found that the stock market was statistically significant for all subperiods considered, and changes in long-term interest rates were statistically significant only for the subperiod 2009–2015. We also found that an increase in 10-year US Treasuries’ yields corresponded to a decrease in US REITs’ market returns. \u0000Practical implications: Our findings confirm the sensitivity of US REITs’ performance under post-crisis monetary policy and suggest that the monetary policy has been successful in sensitizing the real estate market and improving its performance after lowering interest rates. \u0000Originality/value: The paper provides a further evidence of the sensitivity of indirect real estate investment to interest rates variation during a period of economic turmoil.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129833854","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":"Role of Social Security in Explaining the Rate of Saving Disparity: A Historical Study of New Zealand versus Singapore: 1960-1993","authors":"D. Bandyopadhyay, Vera M. Chung","doi":"10.2139/ssrn.2997340","DOIUrl":"https://doi.org/10.2139/ssrn.2997340","url":null,"abstract":"This paper provides evidence to argue that the difference in the social security schemes of two countries may help explain the disparity in their saving rates. We examine the argument by limiting our focus to a comparison of New Zealand and Singapore for the period 1960–1993. We choose the period to avoid the potential impact of the major restructuring of the New Zealand Superannuation since 1994 toward a partially funded system and the East Asia crisis of the late 1990s. In New Zealand, the unfunded system of provision of social security has the effect of reducing the private saving rate. In Singapore, on the other hand, due to the fully-funded nature of the Central Provident Fund (CPF), an increase in CPF saving will increase overall private and gross national saving, with some leakage into consumption. Also, since future social security wealth is directly related to current saving, Singaporeans have more incentives to transfer a higher fraction of the increase in current income for future retirement purposes. For New Zealanders, prior to 1994, the unfunded system did not accord the individuals that same control, because under their old system they could not increase future social security wealth by transferring current resources to the future. Through an empirical exercise, we discover that reasonable differences in thriftiness alone cannot explain the observed disparity in the rate of saving while the estimated differences in the impact of social security on saving provide a sufficient explanation.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125110108","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":"Elogios E Memórias De Economistas – E Não Só. Parte 2: Antes Da Crise (Eulogies and Memories – Mostly of Economists. Part 2: Before the Crisis)","authors":"Jorge Braga de Macedo","doi":"10.2139/ssrn.3131694","DOIUrl":"https://doi.org/10.2139/ssrn.3131694","url":null,"abstract":"<b>Portuguese Abstract:</b> Apesar da sua diversidade, as dezoito personalidades evocadas, debaixo do mesmo título, nos Working Papers nº 612 and 613, influenciaram as actividades do Centro Globalização e Governação da Nova SBE (CG&G). Além disso, as perspetivas expressas são consistentes com a Carta à Raínha Lusófona, projeto da Academia das Ciências de Lisboa (ACL), relatado no Working Paper nº 611. Os textos, divididos pela crise de 2008, que motivou a Carta, são apresentados por ordem cronológica inversa. Os títulos originais dos já publicados, denotados por *, vêm reproduzidos em notas de rodapé, numeradas consecutivamente em cada uma das duas partes. Após a introdução comum e o índice de nomes, os dez textos da parte 2 começam com o elogio ao anterior Presidente do NBER, rede de economistas americana para a qual fui convidado quando era professor auxiliar em Princeton. Lembro que Feldstein ficou célebre por alertar em 1992 para o perigo do Euro. Seguem-se memórias da fundadora dos focolares, parabéns a um padre jesuíta pelo seu 70º aniversário, evocações de outros economistas que me marcaram e o tributo a um empresário lusófono global que cruzou a minha vida há cinquenta anos. O último texto é o único que trata de alguém que não conheci pessoalmente e que inclui resumo próprio. Reproduz, em formato mais legível, o prefácio à tradução portuguesa do segundo volume das memórias de um embaixador japonês que morreu na sua terra natal em 1975. <b>English Abstract:</b> In spite of their diversity, the eighteen personalities evoked, under the same title, in Working Papers nº 612 and 613 influenced the activities of the Center for Globalization and Governance at Nova SBE (CG&G). Moreover, the perspectives expressed are consistent with the Letter to Queen Lusophonia project, described in Working Paper nº 611. The texts, divided by the 2008 crisis, which motivated the Letter, are listed in reverse chronological order across the two papers. Already published texts are starred and the original title is in footnotes, numbered consecutively throughout the paper. After a common introduction and the list of names, the ten texts in part 2 begin with a tribute to the previous president of NBER, a US network of economists which I joined when I was assistant professor at Princeton. I recall Feldstein’s gloom on the euro expressed in 1992, then honor the founder of the focolari movement, a Jesuit priest on his 70th birthday and other economists who influenced me, including Alfredo de Sousa, to whose memory I dedicated an essay to be published in a book with some of his unpublished essays on the Portuguese Economy. A global lusophone entrepreneur I met fifty years ago is also remembered. The last text, which includes its own abstract, introduces the Portuguese translation of memoirs of a Japanese ambassador who died in Kamakura in 1975, a crucial year in Portugal, and whom I never met.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130404630","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":"The Significance of Article 122 (II) TFEU in State Debt Crisis in Europe","authors":"Antonios Vathrakokoilis","doi":"10.2139/ssrn.2995409","DOIUrl":"https://doi.org/10.2139/ssrn.2995409","url":null,"abstract":"It was only a few weeks after the Lisbon Treaty had entered into force that the first signs of the current debt crisis became apparent. Significant macroeconomic imbalances and divergent competitiveness have been observed in the euro area during its ten years in operation. This was the first time that EMU has been called upon to manage a crisis. The response was delayed considerably for several reasons, including the absence of institutionalized crisis management mechanisms, the existence of a no-bailout clause in the Treaty, the fear of creating a precedent and the reaction of citizens in some member states. \u0000 \u0000The existing legal construction of the EMU, following the Maastricht Treaty and the SGP, was one of strict stability which did not allow for emergency intervention because the prospect of such intervention would jeopardise the incentives to perform a solid budgetary and financial policy in the Member States. \u0000 \u0000In this context, the provision of Art. 122 (II) constitute a crucial rule regarding the possibility of enhancing a Member State in need by EU or other Member States. According to the text of Art. 122 (II) TFEU, there are three conditions for the granting of financial assistance. \u0000 \u0000Specifically, to that effect, it must be met the following conditions: \u0000 \u0000a) the Member State should be in difficulties or should be seriously threatened with severe difficulties, \u0000 \u0000b) these difficulties should be caused by natural disasters or exceptional occurrences and, \u0000 \u0000c) these causes must be beyond the control of the Member State. \u0000 \u0000The main prerequisite for granting financial assistance is the existence of threat with severe difficulties for the country in need caused by natural disasters or exceptional occurrences beyond its control. Consequently, crucial for the implementation of this provision is the question, whether the occurrence of economic downturn stemming from financial crisis, may fall within the definition of “exceptional occurrences”, under Article 122 (II) TFEU, so that it applies not only to cases of acute social problems, of engaging in foreign or military policy issues, but also in the matter of an excessive government deficit, and fiscal liquidity shortage. To some, as “exceptional occurrences” are taken to be meant economic shocks, such as serious social difficulties, unrest, foreign policy or military entanglements. \u0000 \u0000It is submitted that while an excessive deficit would not per se qualify as an exceptional occurrence within the meaning of Art. 122 (II) TFEU, its transformation into a threat to sovereign solvency would not be the primary law description, since the choice for the Member State concerned would no longer be between an immediate return to budgetary rectitude or continued market lending at higher (punitive) risk premia but, rather, between borrowing at sustainable conditions and outright default.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125923262","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":"Australian Bank Mortgage Price-Setting Behaviour Pre- and Post-GFC: Does International Funding Cost Matter?","authors":"Q. Holland, Benjamin Liu, E. Roca","doi":"10.2139/ssrn.2979069","DOIUrl":"https://doi.org/10.2139/ssrn.2979069","url":null,"abstract":"This study is motivated by an ongoing controversy over banks’ interest rate setting conduct in the Australian mortgage market. We examine heterogeneity in the response of variable interest rates on owner-occupied housing loans to the ‘cost of funds’ rates, including the cash rate and the cost of overseas borrowing. The stability of the pass-through mechanism in the post-crisis period is further evaluated in comparison with the pre-crisis epoch. Our results highlight that Australian banks set their mortgage interest rates on funding costs. We also confirm a declining transmission of the cash rate after the GFC consistent with previous studies. Importantly, the close alignment of mortgage rates and international funding cost exists before and after the crisis. Banks partially transmit changes in the cost of offshore funding to their home-loan rates in both short and long term. Short-term pass-through coefficients of the offshore funding cost are heterogeneous, while the long-term traverses are fairly homogeneous. The fuller sizes of these long-term coefficients in the post-crisis subsample signify that Australian banks’ mortgage price-setting practices have been relatively stable after the crisis.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129555458","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":"Profitability of Commercial Banks Revisited: New Evidence from Oil and Non-Oil Exporting Countries in the MENA Region","authors":"Nermeen Abdullah, Y. Tan","doi":"10.2139/ssrn.2967847","DOIUrl":"https://doi.org/10.2139/ssrn.2967847","url":null,"abstract":"This paper investigates the determinants of commercial bank profitability in oil and non-oil countries of the Middle East and North Africa (MENA) region using data from 11 countries over the period 2004–2014. Since banks are under no obligation to fill reports to Bankscope database, irregular reporting banks are omitted from the sample and the model is re-estimated using only regular reporting banks, and a comparative analysis between total banks' sample and regular reporting banks' sample is provided. Using the two-step system GMM and fixed effects models, the results indicate that credit risk is negative and highly significant when irregular reporting banks are omitted from the sample particularly in non-oil countries unlike the oil countries case, which indicates that adding irregular reporting banks to the sample could lead to bias in some estimated coefficients if they constitute a considerable percentage of the total banks' sample. Diversification is a key determinant for profitability in oil countries. No enough evidence to support the impact of financial inclusion and financial openness on bank profitability. In addition, the global financial crisis has significantly affected bank profitability in oil countries. Several policy implications are provided to the bank management to follow based on each country group.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"176 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123261410","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 Defaults - Not as Rare as Expected and Quite Possible to Document","authors":"P. Tornqvist, H. Bang","doi":"10.2139/ssrn.3098257","DOIUrl":"https://doi.org/10.2139/ssrn.3098257","url":null,"abstract":"This paper uses historical default data for banks in the United States, United Kingdom, Denmark, Finland, Norway and Sweden to shed new light on the frequency of bank defaults. Data shows that bank defaults in Europe have a markedly lower frequency than in the United States. Also bank defaults in Europe almost exclusively happens in conjunction with financial crises, while bank defaults in the US are annual events. Further more, the majority of bank defaults in all countries examined refer to small institutions and not to systemically important banks. Thus size relative to the domestic market is an important differentiator to bank default probability.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116703471","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}