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

{"title":"US Bank Credit Spreads During the Financial Crisis","authors":"P. Spencer","doi":"10.2139/ssrn.2981691","DOIUrl":"https://doi.org/10.2139/ssrn.2981691","url":null,"abstract":"This paper argues that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the financial crisis. Affine models find it hard to deal with periods of exceptionally high or low default risk given their assumption of a constant rate of mean reversion in the hazard rate. In contrast, first passage time models are specified in terms of the distance to default rather than the hazard rate. The persistence of shocks varies with the distance to default, allowing the default curve to invert sharply (compress) when the distance to default is low (high). I use an empirical version of the Collin-Dufresne et al. (2003) model, which contains a smoothing parameter that allows it to control the relative effect of these shocks on the short spreads and can be interpreted as an information lag.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"126 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134446353","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":"Bitcoin and Cryptocurrencies - Not for the Faint-Hearted","authors":"Joerg Osterrieder, Julian Lorenz, Martin Strika","doi":"10.2139/ssrn.2867671","DOIUrl":"https://doi.org/10.2139/ssrn.2867671","url":null,"abstract":"Cryptocurrencies became popular with the emergence of Bitcoin and have shown an unprecedented growth over the last few years. As of November 2016, more than 720 cryptocurrencies exist, with Bitcoin still being the most popular one. We provide both a statistical analysis as well as an extreme value analysis of the returns of the most important cryptocurrencies. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate and multivariate extreme value analysis. The tail dependence of cryptocurrencies is investigated (using both empirical and Gaussian copulas). For investors—especially institutional ones—as well as regulators, an understanding of the risk and tail characteristics are of utmost importance. For cryptocurrencies to become a mainstream investable asset class, studying these properties is necessary. Our findings show that cryptocurrencies exhibit strong non-normal characteristics, large tail dependencies, depending on the particular cryptocurrencies and heavy tails. Statistical similarities can be observed for cryptocurrencies that share the same underlying technology. This has implications for risk management, financial engineering (such as derivatives on cryptocurrencies)—both from an investor’s as well as from a regulator’s point of view. To our knowledge, this is the first detailed study looking at the extreme value behaviour of cryptocurrencies, their correlations and tail dependencies as well as their statistical properties.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126181280","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":"Fighting Crises","authors":"Gary B. Gorton, Guillermo Ordoñez","doi":"10.2139/ssrn.2858431","DOIUrl":"https://doi.org/10.2139/ssrn.2858431","url":null,"abstract":"In fighting a financial crisis, opacity (keeping the names of banks borrowing at emergency lending facilities secret) and stigma (the cost of having a bank’s name revealed) are desirable to restore confidence. Lending facilities raise the perceived average quality of all banks’ assets. Opacity reduces the costs of these facilities, creating an information externality that prevents runs even on banks not participating in lending facilities. Stigma is costly but keeps banks from revealing their participation, making opacity sustainable. The key tool for implementing optimal opacity while fine tuning stigma is the haircut for bonds offered as collateral in lending facilities.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114792502","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":"Network, Market, and Book-Based Systemic Risk Rankings","authors":"Michiel van de Leur, A. Lucas","doi":"10.2139/ssrn.2836382","DOIUrl":"https://doi.org/10.2139/ssrn.2836382","url":null,"abstract":"We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock correlations. Next, we find that correlation based network measures still appear to complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation, however, shows that the value-added appears to be mainly attributable to pairwise cross-sectional heterogeneity rather than to more subtle network relations and feedback loops.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"29 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133071968","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":"Forecasting Banking Crises with Dynamic Panel Probit Models","authors":"António R. Antunes, Diana Bonfim, N. Monteiro, P. Rodrigues","doi":"10.2139/ssrn.2834967","DOIUrl":"https://doi.org/10.2139/ssrn.2834967","url":null,"abstract":"Banking crises are rare events, but when they occur their consequences are often dramatic. The aim of this paper is to contribute to the toolkit of early warning models available to policy makers by exploring the dynamics and non-linearities embedded in a panel dataset covering several countries over four decades (from 1970Q1 to 2010Q4). The in-sample and out-of-sample forecast performance of several dynamic probit models is evaluated, with the objective of developing a common vulnerability indicator with early warning properties. The results obtained show that adding dynamic components and exuberance indicators to the models substantially improves the ability to forecast banking crises.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133717763","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":"Systemic Risk Contribution from Financial Network in the UK","authors":"Ahmed Mansour","doi":"10.2139/ssrn.2938422","DOIUrl":"https://doi.org/10.2139/ssrn.2938422","url":null,"abstract":"This study identifies and quantifies the contribution of the listed financial institutions to systemic risk in the UK. A financial network is constructed based on conditional Value at Risk (CoVar), to show the interdependence between the financial institutions’ tail risk. The spillover effects from a distressed institution to another are also shown by the statistically significant pre-identified network. The study uses market and financial statements data of 10 of the largest and listed financial institutions in the UK from 2000 to 2015. It quantifies the institution’s contribution to systemic risk by the realized systemic beta. This study is the first empirical study in the field to use the quantile regression and financial net-works topology with data from the UK. The findings reveal that the significant highest systemic risk influencers in the UK are HSBC and Barclays while the least are RBS and Lloyds. It suggests policy implications for regulators to optimally utilize the supervision resources in the financial system.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"207 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122987844","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":"Monetary Policy and Mispricing in Stock Markets","authors":"Benjamin Beckers, Kerstin Bernoth","doi":"10.2139/ssrn.2835491","DOIUrl":"https://doi.org/10.2139/ssrn.2835491","url":null,"abstract":"We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129260527","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":"Asset-Backed Securities – Probleme und Mehrwert aus Sicht der Agency-Theorie (Asset-Backed Securities – Economic Problems and Surplus from an Agency-Theoretic Perspective)","authors":"M. Sidki","doi":"10.2139/ssrn.2839254","DOIUrl":"https://doi.org/10.2139/ssrn.2839254","url":null,"abstract":"German Abstract: Asset-Backed-Securities (ABS) bestehen auch nach Finanz- und Wirtschaftskrise fort und werden von Akteuren aus Wirtschaft und Politik als grundsatzlich nutzliches Finanzinstrument betrachtet. Nachfolgende Abhandlung liefert innerhalb des Analyserahmens der Agency-Theorie einen Uberblick uber den wissenschaftlichen Diskussionstand in Theorie und Empirie. Hierzu werden die der Struktur von ABS innewohnenden Probleme (endogene Agency-Problematik), die insbesondere durch die 2007er Finanz- und Wirtschaftskrise offensichtlich wurden, diskutiert. Ferner wird der okonomische Mehrwert von ABS im Sinne einer Verminderung von am Kapitalmarkt regelmasig auftretenden Agency-Problemen (exogene Agency-Problematik) durch eine Darstellung der wesentlichen theoretischen Uberlegungen zur effizienten vertragstheoretischen Ausgestaltung (Security Design) von ABS-Transaktionen und der zugehorigen empirischen Evidenz aufgezeigt. Weiterhin erfolgt eine kurze modelltheoretische Uberlegung zur Fungibilisierung illiquider Vermogenswerte durch Anwendung der Kernfunktionen von ABS, dem Poolen und der Tranchierung von Portfolien. Es zeigt sich, dass ABS-Strukturen unter bestimmten Voraussetzungen positiv auf dem unvollkommenen Kapitalmarkt wirken konnen. Dazu gehort vor allem die Notwendigkeit eines adaquaten Risikoselbstbehalts an einer ABS-Struktur durch den Transaktionsinitiator, was aus wissenschaftlicher Sicht bereits lange vor Ausbruch der Finanz- und Wirtschaftskrise 2007 erkannt und hinreichend diskutiert wurde.English Abstract: Asset-Backed-Securities (ABS) continue to exist even in the aftermath of the 2007 financial and economic crisis and are still assessed as a useful financial instrument by relevant players in industry and politics. This paper discusses the scientific status quo of ABS within the scope of the agency theory by analysing the inherent problems (endogenous agency problems) that became apparent during the 2007 financial and economic crisis. Furthermore, the economic value-added is discussed by analysing the possibility of reducing capital market imperfectness with ABS (exogenous agency problems). We overview the relevant theoretical and empirical findings with respect to the efficient contractual security design of ABS transactions. Next, we discuss a short model addressing the rationale of increasing the fungibility of illiquid assets by applying the core functions of ABS, pooling and tranching. Given specific necessary requirements ABS can have positive implications on the imperfect capital market, one of which being the prerequisite of an adequate risk retention by the transaction initiator. The scientific community has discussed this issue long before the financial and economic crisis took off.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123994865","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 'New Economy': Outcomes, Perspectives, and Public Policy","authors":"W. Scott","doi":"10.2139/ssrn.2799877","DOIUrl":"https://doi.org/10.2139/ssrn.2799877","url":null,"abstract":"Since around 1980, communication and information technology moved the U.S. economy from an industrial base to an informational base. There was promise for economic growth, jobs, and a growing prosperity that would be generally shared in the population. However, this “new economy” turned out to be an era of instability and unfulfilled promise. A financial crisis and a major recession occurred. Moreover, instead of accelerating economic growth and jobs, the result was declined growth, loss of traditional jobs, and significant income inequality. The paper is authored by a retired finance professor who developed and presented a course to senior learners in Florida State University’s Osher Lifelong Learning Institute. It tells the story of the new economy by presenting a considerable amount of economic data and citing relevant works by contemporary authorities on the subject. Its purpose is to provide a resource to help understand the evolution and progress of the contemporary economy.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123887654","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":"Overcoming Private Debt (Unblocking and Rebuilding the Loan-Burdened Real Economy in Cyprus)","authors":"S. Savvides","doi":"10.2139/SSRN.2784680","DOIUrl":"https://doi.org/10.2139/SSRN.2784680","url":null,"abstract":"The article discusses the enormous private debt in Cyprus and how it impacts the conditions for economic recovery. It stresses the need more drastic and decisive action from the Government including the participation of international multilateral financiers in reconstructing and funding viable institutions in Cyprus which can bring about change in the real economy. It is further noted that the unprecedented levels of private debt and non-performing loans in combination with the fact that the bulk of the deposits in the banking system are foreign owned while almost the whole of the loans weigh on Cypriots make a potential recovery through conventional methods alone unlikely to be successful. It is suggested that in order for a steady and sustainable growth to take place the national currency must first reflect its true exchange value when taking the fundamentals and facts of Cyprus into consideration rather than those of Europe as a whole. It is argued that the creation of a professionally staffed financing institution is of paramount importance to act as a reliable and independent advisor to the Government in the mould of Development Agencies in Ireland and the Netherlands with respect to the involvement of the Government in public sector projects and Private Public Partnerships and most importantly in acting as a competent intermediary for the need to convert debt to equity through viable projects. The new institution should also take the lead in disentangling the complex web of loans and collaterals currently weighing on business enterprises and to provide project financing solutions. Through this mechanism the Government and possibly other European institutions can join in to back this process and support though own funds economic development where it makes a difference to the economy.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"320 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114277265","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}