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

{"title":"Desigualdad, Crisis Financiera Y Estancamiento: Historias Alternativas Y Por Qué Importan (Inequality, the Financial Crisis and Stagnation: Competing Stories and Why They Matter)","authors":"T. Palley","doi":"10.18601/01245996.V18N34.05","DOIUrl":"https://doi.org/10.18601/01245996.V18N34.05","url":null,"abstract":"Este escrito examina algunas explicaciones convencionales de la crisis financiera y el estancamiento, y el papel que atribuyen a la desigualdad del ingreso, en contraste con una explicacion keynesiana estructural. El papel de la desigualdad del ingreso difiere esencialmente y da lugar a recomendaciones de politica diferentes. Esto destaca la gran importancia de la teoria economica, que moldea nuestra manera de entender el mundo y, por tanto, nuestras reacciones. La narracion teorica que adoptamos forma implicitamente la politica. Y esto se aplica forzosamente al tema de la desigualdad del ingreso, la crisis financiera y el estancamiento.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134351170","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":"A New ‘Preferred Habitat’ Yield Curve Parameter","authors":"Michael J. Howell","doi":"10.2139/ssrn.2787126","DOIUrl":"https://doi.org/10.2139/ssrn.2787126","url":null,"abstract":"Since the GFC, the supply of US government bonds has grown significantly, involving large changes in the structure of Treasury debt. This has important implications because many investment funds target duration to immunize their liabilities, incentivised by shortfall risks and new legislation. This paper tries to incorporate these quantity and duration effects into existing term structure models using a new 4-factor decomposition comprising level, slope, curvature and position of the hump (D*) in the yield curve along the maturity/duration axis. D* is measured using US data to create a monthly time-series 1946-2015. This averages 6¼ years, with a 10-month standard deviation. In the absence of more granular data, this series may relate to the preferred habitat of investors and serve as another measure of their risk appetite, where low D* equates to high risk aversion. D* is a statistically significant predictor of economic activity and corporate credit spreads around one-year ahead and it allows a different interpretation of the 2007/08 Financial Crisis and Great Recession.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"16 27","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132748413","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":"El Rol Del Banco De La República En La Crisis De 1999 (The Role of Banco De La República During the Crisis of 1999)","authors":"David Perez-Reyna","doi":"10.2139/SSRN.2932843","DOIUrl":"https://doi.org/10.2139/SSRN.2932843","url":null,"abstract":"Spanish Abstract: En 1999 Colombia sufrio la peor crisis economica desde que se tienen series de crecimiento. El detonante principal fue una reversion en los flujos de capital, pero la crisis fue agravada por desbalances macroeconomicos y fricciones financieras. En un principio el Banco de la Republica defendio la banda cambiaria. Al avanzar la crisis, empezo a proveer liquidez a la economia por medio de menores encajes cambiarios y una disminucion en el corredor de la tasa interbancaria. Finalmente elimino la banda cambiaria. A pesar de los costos, a raiz de la crisis el Banco de la Republica hoy en dia esta mas preparado para afrontar situaciones adversas en la economia. English Abstract: In 1999 Colombia experienced its worst economic crisis in record. Its driver was a sudden stop, but the crisis was aggravated due to macroeconomic imbalances. At first, Banco de la Republica Colombia (Central Bank of Colombia) stood by the exchange rate bands. As the crisis became worse, the Central Bank increased its supply of liquidity through lower reserve requirements and a decline in the interbank rate corridor. Finally it removed the exchange rate bands. In spite of the costs, the crisis allowed Banco de la Republica to be more prepared to face economic adversities.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128040727","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":"Macroprudential Policy: A Summary","authors":"Mahdi Ebrahimi Kahou, Alfred Lehar","doi":"10.11575/SPPP.V9I0.42584","DOIUrl":"https://doi.org/10.11575/SPPP.V9I0.42584","url":null,"abstract":"The 2007 global financial crisis brought sharply into focus the need for macroprudential policy as a means of controlling systemic financial stability. This has become a focal point for policy-makers and numerous central banks, including the Bank of Canada, but it has its drawbacks, particularly here in Canada. As a counterbalance to microprudential policy, the idea of a macroprudential outlook reaches beyond the notion that as long as every banking institution is healthy, financial stability is assured. Macroprudential policy recognizes that all those financial institutions are linked, and that stability at the individual level may translate to fragility and uncertainty at the macro level. There are two approaches to macroprudential policy, and both come with downsides. One approach examines the network factor, in which banks are linked through their inter-connected financial transactions. A domino effect can thus be created; when one bank defaults, it causes a chain reaction down the line, creating instability in other banks in the network. The extent of this contagion of instability can be clearly observed through this model; unfortunately, it requires the use of detailed information typically available only to a limited circle of bank supervisors. The second approach gleans information from bank stock prices in a poorly performing market. This information is easily available and accessed, but  the downside is the lack of clear understanding on how exactly these shocks travel through the complex links of the global banking system. Canada’s banking system is small and has only six major banks. However, it is important to understand how they are interconnected and how each individual bank can contribute to overall risk. Not only do banks need to be sufficiently capitalized in the normal business cycle, but it may be worthwhile for the sake of overall financial stability to create mechanisms, as regulators in some countries are doing, that require banks to hold more capital in good economic times so that they can use it as a buffer in case of a downturn. Another important macroprudential tool is to identify how much each bank contributes to systemic risk. This would entail identifying the banks that pose a greater threat to stability and having them hold extra capital. Assigning proper capital requirements is, however, not as straightforward as it may seem as the risk of the banking system changes when capital requirements change. One study has shown that when properly done such a requirement can reduce by one-quarter the probability of a financial crisis. Implementing macroprudential policy in Canada faces some challenges. With both housing prices and the level of Canadians’ personal debt high, sudden corrections to the financial system can create problems. Also, the interconnections between Canadian and foreign banks could result in the former being much more greatly influenced by financial-crisis spillover from the latter, something Canada generally avo","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121795249","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":"Firms’ Precautionary Savings and Employment during a Credit Crisis","authors":"Davide Melcangi","doi":"10.2139/ssrn.3493310","DOIUrl":"https://doi.org/10.2139/ssrn.3493310","url":null,"abstract":"Can the macroeconomic effects of credit supply shocks be large even in an economy in which the share of credit-constrained firms is small? I address this question using a model with firm heterogeneity, in which the interaction between real and financial frictions gives rise to precautionary cash holdings. Using UK firm-level balance sheet data, I show that firms hoarded cash relative to their assets during the last recession, and cash-intensive firms cut their workforces by less. A quantitative version of the model, disciplined by these data, generates similar dynamics in response to a tightening of firms' credit conditions. The simulated economy experiences a sizeable fall in aggregate employment and prolonged substitution from capital to cash. Most of the aggregate dynamics are driven by unconstrained firms, pre-emptively responding to changes in credit conditions, in anticipation of future idiosyncratic productivity shocks. The model's ability to generate predictions in line with the data crucially relies on this precautionary channel.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129935750","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":"Sectoral Economic Downturns and Costs of Financial Crises","authors":"B. Celiku, Ergys Islamaj","doi":"10.2139/ssrn.3099104","DOIUrl":"https://doi.org/10.2139/ssrn.3099104","url":null,"abstract":"This paper studies the features of sectoral economic downturns in agriculture, industry and services sectors using an extensive database of 127 countries for the period 1970-2013. Our analysis shows that there are stark differences in the frequency and severity of economic downturns across sectors. In particular, economic downturns in agriculture are deeper than other sectors and their frequency is more than twice that of economy-wide downturns. They are also accompanied by larger losses in employment. Downturns in economic activity last longer in the industry sector. This study further investigates how economic downturns are related to financial crises. The negative effects associated with financial crises appear to die off quickly for agriculture and services sectors. For industry, the negative effects associated with banking crises persist in the following years. The empirical estimates suggest that a financial crisis is associated with losses up to 6 percent of sectoral value at the onset of the crisis, whereas the cumulative effects can add up to 18 percent.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122590717","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":"(Total Factor Productivity Change in Turkish Banking Sector During the Crisis Periods) Kriz Dönemlerinde Türk Bankacılık Sektörünün Toplam Faktör Verimlilik Değişimi","authors":"Mehmet Hasan Eken, S. Kale, Ferda Keskin Onen","doi":"10.20525/IJRBS.V5I5.472","DOIUrl":"https://doi.org/10.20525/IJRBS.V5I5.472","url":null,"abstract":"Bankalarin etkinligini arttirabilmenin on kosulu rekabet edilebilirliktir. Rekabet gucu yuksek bankacilik sektoru ile ekonomik dinamizm arttirilir ve ekonomik istikrar ortami saglanir. Makro ekonomik kosullardaki degisim, bankacilik sektorunun performansini ve finansal istikrari etkilemektedir. Bu calismada 1990 - 2012 doneminde faaliyet gosteren 19 mevduat bankasinin aracilik ve karlilik yaklasimina gore etkinliklerini analiz etmek icin Malmquist Verimlilik Endeksi kullanilmistir. Bankalar, kriz donemlerinde her iki yaklasima gore de verimlilik kaybi yasamistir. Kriz sonrasi donemde karlilik yaklasimina gore buyuk olcekli bankalarin verimlilik kaybinin daha dusuk oldugu gorulmektedir. Bankalarin aracilik fonksiyonunun etkinligi; bankacilik sektoru yeniden yapilandirma programi dahilinde yapilan regulasyonlar ve dezenflasyon sureci dolayisiyla artmistir. Bankalar, kriz donemlerinde her iki yaklasima gore de verimlilik kaybi yasamistir. karlilik yaklasimina gore buyuk olcekli bankalarin verimlilik kaybinin kriz sonrasi donemde daha dusuk oldugu gorulmektedir. bankacilik sektorunde aracilik fonksiyonunun etkinligi; bankacilik sektoru yeniden yapilandirma programi dahilinde yapilan regulasyonlar ve dezenflasyon sureci dolayisiyla artmistir. Regresyon analizi sonuclari; mevduatin krediye donusum orani, ROA, ROE ve TUFE oraninin bankalarin toplam faktor verimliligine etkisinin pozitif oldugunu gostermektedir. Aracilik yaklasimina gore ROE artinca, bankalarin toplam faktor verimliligi azalmistir. Aracilik ve karlilik yaklasimina gore GSYH oranindaki artis bankalarin teknik etkinliklerinde artisa yol acmistir.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127712389","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":"Indirect Contagion: The Policy Problem","authors":"Laurent Clerc, A. Giovannini, Sam Langfield, T. Peltonen, R. Portes, Martin Scheicher","doi":"10.2139/ssrn.3723340","DOIUrl":"https://doi.org/10.2139/ssrn.3723340","url":null,"abstract":"An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would investigate every possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human contact would underestimate the pandemic risk if the disease could also spread through the air. Likewise, calculating the quantity of financial system risk requires practitioners to understand all of the channels through which small and local shocks can become big and global. Much of the empirical finance literature has focused only on “direct” contagion arising from firms’ contractual obligations. Direct contagion occurs if one firm’s default on its contractual obligations triggers distress (such as illiquidity or insolvency) at a counterparty firm. But contractual obligations are not the only means by which financial distress can spread, just as close human contact is not the only way that many infectious diseases are transmitted. Focusing only on direct contagion underestimates the risk of financial crisis given that other important channels exist. This paper represents an attempt to move systemic risk analysis closer to the holism of epidemiology. In doing so, we begin by identifying the fundamental channels of indirect contagion, which manifest even in the absence of direct contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce each other, generating a vicious spiral. The second is information spillovers, in which bad news can adversely affect a broad range of financial firms and markets. Indirect contagion spreads market failure through these two channels. In the case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity or of fire-selling assets into a thin market. Lack of information and information asymmetries can cause markets to unravel, even following a relatively small piece of bad news. In both cases, market players act in ways that are privately optimal but socially harmful. The spreading of market failure by indirect contagion motivates policy intervention. Substantial progress has been made in legislating for policies that will improve systemic resilience to indirect contagion. But more tools might be needed to achieve a fully effective and efficient macroprudential policy framework. This paper aims to frame a high-level policy discussion on three policy tools that could be effective and efficient in ensuring systemic resilience to indirect contagion – namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure. JEL Classification: G15, G18","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121519915","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":"Short-Term Liquidity Contagion in the Interbank Market","authors":"Carlos León, Constanza Martínez Ventura, Freddy Cepeda","doi":"10.2139/ssrn.2767338","DOIUrl":"https://doi.org/10.2139/ssrn.2767338","url":null,"abstract":"We implement a modified version of DebtRank, a measure of systemic impact inspired in feedback centrality, to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue, measured as the decrease in financial institutions’ short-term liquidity position across the Colombian interbank network. Concurrent with related literature, unless contagion dynamics are preceded by a major –but unlikely- drop in the short-term liquidity position of all participants, we consistently find that individual and systemic contagion effects are negligible. We find that negative effects resulting from contagion are concentrated in a few financial institutions. However, as most of their impact is conditional on the occurrence of unlikely major widespread illiquidity events, and due to the subsidiary contribution of the interbank market to the local money market, their overall systemic importance is still to be confirmed.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132095947","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":"Securities Transactions Taxes and Financial Crises","authors":"B. Carmichael, J. Gnagne, Kevin Moran","doi":"10.2139/ssrn.3149023","DOIUrl":"https://doi.org/10.2139/ssrn.3149023","url":null,"abstract":"This paper assesses the impact that a widely-based Securities Transaction Tax (STT) could have on the likelihood of systemic financial crises. We apply the methodology developed by Demirguc-Kunt and Detragiache (1998) [IMF Staff Papers 45 (1)] to a panel dataset of 34 OECD countries for the sample 1973 – 2012, using a measure of a country’s average bid-ask spread in financial markets as a proxy for the likely effect of a STT on transactions costs. Our results indicate that the establishment of a STT could sizeably increase the risk of financial crises.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131491466","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}