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Catering to Investors through Security Design: Headline Rate and Complexity 通过安全设计迎合投资者:标题率和复杂性
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-02-10 DOI: 10.2139/ssrn.2289890
Claire Célérier, B. Vallée
{"title":"Catering to Investors through Security Design: Headline Rate and Complexity","authors":"Claire Célérier, B. Vallée","doi":"10.2139/ssrn.2289890","DOIUrl":"https://doi.org/10.2139/ssrn.2289890","url":null,"abstract":"This study investigates how banks design financial products to cater to yield-seeking investors. We focus on a large market of investment products targeted exclusively at households: retail structured products. These products typically offer a high return under their best-case scenario—the headline rate—that is nested in a complex payoff formula. Using a text analysis of the payoff formulas of the 55,000 products issued in Europe from 2002 to 2010, we measure product headline rates, complexity, and risk. Over this period, product headline rates depart from the prevailing interest rates as the latter decrease, complexity increases, and risky products become more common. In the cross section, the headline rate of a product is positively correlated with its level of complexity and risk. Higher headline rate, more complex, and riskier products appear more profitable to the banks distributing them. Our results suggest that financial complexity is a by-product of banks catering to yield-seeking investors.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126366858","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: 174
Elasticities of Car Fuels at Times of Economic Crisis: An Empirical Analysis for Spain 经济危机时期汽车燃料弹性:对西班牙的实证分析
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-02-01 DOI: 10.2139/ssrn.2921114
Mohcine Bakhat, X. Labandeira, J. Maria Labeaga Azcona, Xiral López-Otero
{"title":"Elasticities of Car Fuels at Times of Economic Crisis: An Empirical Analysis for Spain","authors":"Mohcine Bakhat, X. Labandeira, J. Maria Labeaga Azcona, Xiral López-Otero","doi":"10.2139/ssrn.2921114","DOIUrl":"https://doi.org/10.2139/ssrn.2921114","url":null,"abstract":"This paper provides an updated calculation of the price and income responsiveness of Spanish consumers of car fuels, with an explicit exploration of the effects of the recent economic crisis. We examine separate gasoline and diesel demand models using a set of estimators on a panel of 16 Spanish regions over the period 1999-2015. The paper confirms the persistence of low own-price elasticities both for diesel and gasoline in the short and long runs. It also shows that the crisis of 2008-2013 slightly increased the price elasticity of demand for car fuels, with a higher effect on diesel than on gasoline. By contrary, the crisis slightly reduced the income elasticity of car-fuel demand. Given the intensity and length of the economic recession in Spain, the results of this paper may be useful to anticipate the effects of domestic public policies that impact car-fuel prices as well as to advance some of the potential consequences of crises elsewhere.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123933869","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
International Influences on Japanese Supply Chains 国际对日本供应链的影响
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-01-31 DOI: 10.2139/ssrn.2912659
M. Fabinger, Y. Shibuya, Mina Taniguchi
{"title":"International Influences on Japanese Supply Chains","authors":"M. Fabinger, Y. Shibuya, Mina Taniguchi","doi":"10.2139/ssrn.2912659","DOIUrl":"https://doi.org/10.2139/ssrn.2912659","url":null,"abstract":"This paper investigates the transmission mechanism of Chinese productivity shocks through industry-level and firm-level networks in the Japanese manufacturing sector using an instrumental variable approach. We find that increased Chinese productivity in a particular industry negatively affects Japanese suppliers of Japanese firms in that industry (upstream propagation) and positively affects their Japanese corporate customers (downstream propagation). This contrasts the recently studied case of the United States, which did not lead to evidence for downstream propagation of such shocks.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127796100","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: 6
Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach 美国经济政策的不确定性与失业:一个非线性的方法
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-01-13 DOI: 10.2139/ssrn.2899887
Giovanni Caggiano, Efrem Castelnuovo, J. Figueres
{"title":"Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach","authors":"Giovanni Caggiano, Efrem Castelnuovo, J. Figueres","doi":"10.2139/ssrn.2899887","DOIUrl":"https://doi.org/10.2139/ssrn.2899887","url":null,"abstract":"We model US post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions. A state-contingent forecast error variance decomposition analysis confirms that the contribution of EPU shocks to the volatility of unemployment at business cycle frequencies is markedly larger in recessions.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122967942","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: 183
The Saving and Loan Insolvencies and the Costs of Financial Crises 储蓄和贷款破产和金融危机的成本
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-11-15 DOI: 10.2139/ssrn.2456841
A. Field
{"title":"The Saving and Loan Insolvencies and the Costs of Financial Crises","authors":"A. Field","doi":"10.2139/ssrn.2456841","DOIUrl":"https://doi.org/10.2139/ssrn.2456841","url":null,"abstract":"At the time they occurred, the savings and loan insolvencies were considered the worst financial crisis since the Great Depression. Contrary to what was then believed, and in sharp contrast with 2007-09, they in fact had little macroeconomic significance. S&L remediation cost between 2 and 3 percent of GDP, whereas TARP and the conservatorship of Fannie and Freddie actually made money for the U.S. Treasury. But the direct cost of government remediation is largely irrelevant in judging macro significance. What matters is the cumulative output loss associated with and plausibly caused by failing financial institutions. I estimate output losses for 1981-1984, 1991-1998 and 2007-2026 (the latter utilizing forecasts and projections along with actual data through 2015) and, for a final comparison, 1929-41. The losses associated with 2007-09 have been truly disastrous – in the same order of magnitude as the Great Depression. The S&L failures were, in contrast, inconsequential. Macroeconomists and policy makers should reserve the word crisis for financial disturbances that threaten substantial damage to the real economy, and continue efforts to identify systemically important financial institutions in advance.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128747350","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
Public Debt as Private Liquidity: Optimal Policy 公共债务作为私人流动性:最优政策
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-11-01 DOI: 10.3386/W22794
G. Angeletos, F. Collard, Harris Dellas
{"title":"Public Debt as Private Liquidity: Optimal Policy","authors":"G. Angeletos, F. Collard, Harris Dellas","doi":"10.3386/W22794","DOIUrl":"https://doi.org/10.3386/W22794","url":null,"abstract":"We study the Ramsey policy problem in an economy in which public debt contributes to the supply of assets that private agents can use as buffer stock and collateral, or as a vehicle of liquidity. Issuing more debt eases the underlying financial friction. This raises welfare by improving the allocation of resources; but it also tightens the government budget by raising the interest rate on public debt. In contrast to the literature on the Friedman rule, the government’s supply of liquidity becomes intertwined with its debt policy. In contrast to the standard Ramsey paradigm, a departure from tax smoothing becomes desirable. Novel insights emerge about the optimal long-run quantity of public debt; the optimal policy response to shocks; and the sense in which a financial crisis presents the government with an opportunity for cheap borrowing.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"257 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122292608","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: 29
Liquidity Provision, Bank Capital, and the Macroeconomy 流动性供给、银行资本与宏观经济
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-09-23 DOI: 10.2139/ssrn.253849
Gary B. Gorton, Andrew Winton
{"title":"Liquidity Provision, Bank Capital, and the Macroeconomy","authors":"Gary B. Gorton, Andrew Winton","doi":"10.2139/ssrn.253849","DOIUrl":"https://doi.org/10.2139/ssrn.253849","url":null,"abstract":"New bank equity must come from somewhere. In general equilibrium, raising bank capital requirements means either that banks produce less short-term debt (as debt holders must become shareholders), or short-term debt is not reduced and the banking system acquires nonbank equity (as the shareholders in nonbanks become shareholders in banks). The welfare effects involve a trade-off because bank debt is special as it used for transactions purposes, but more bank capital can reduce the chance of bank failure (producing welfare losses).","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126572062","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: 204
Fiscal Multipliers Across the Credit Cycle 整个信贷周期的财政乘数
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-09-08 DOI: 10.2139/ssrn.2836430
M. Borsi
{"title":"Fiscal Multipliers Across the Credit Cycle","authors":"M. Borsi","doi":"10.2139/ssrn.2836430","DOIUrl":"https://doi.org/10.2139/ssrn.2836430","url":null,"abstract":"This paper studies the differences between fiscal multipliers in OECD economies across the credit cycle. Impulse responses are obtained using a state-dependent model with direct projections, in which multipliers depend on the state of credit markets. Identification of the effects of fiscal stimulus and austerity measures is achieved by distinguishing between unanticipated increases and decreases in government spending. The empirical results imply that the financial environment matters. Expansionary fiscal policies are associated with large multipliers during credit crunch episodes, and spending increases likewise foster economic growth in periods of rapid credit expansion, albeit to a lesser extent. In contrast, the output effect of contractionary fiscal policies is never statistically different from zero. Regime-specific multipliers of the individual components of GDP and the unemployment rate suggest that reductions in public expenditure should help constrain the economy during unsustainable credit booms, whereas spending increases in financial recessions should facilitate the repair of private sector balance sheets in order to revive market confidence and boost economic recovery.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132999557","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: 46
What Caused the Great Recession in the Eurozone? 欧元区大衰退的原因是什么?
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-08-23 DOI: 10.1142/9789813236592_0009
R. Hetzel
{"title":"What Caused the Great Recession in the Eurozone?","authors":"R. Hetzel","doi":"10.1142/9789813236592_0009","DOIUrl":"https://doi.org/10.1142/9789813236592_0009","url":null,"abstract":"Since 2008, the Eurozone has undergone two recessions, which together constitute the \"Great Recession.\" The combination of a decline in output and disinflation as well as a persistent decline in inflation suggests that contractionary monetary policy was one factor. This paper makes two methodological points. First, in analyzing the causes of the Great Recession, it is important to distinguish between credit and monetary policy. Second, a multiplicity of estimated models can \"explain\" the Great Recession. In practice, economists choose between models through an associated narrative that adds additional information about causation.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124496398","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
Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment 金融市场波动、宏观经济基本面和投资者情绪
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2016-08-16 DOI: 10.2139/ssrn.2827569
C. Chiu, R. Harris, Evarist Stoja, Michael Chin
{"title":"Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment","authors":"C. Chiu, R. Harris, Evarist Stoja, Michael Chin","doi":"10.2139/ssrn.2827569","DOIUrl":"https://doi.org/10.2139/ssrn.2827569","url":null,"abstract":"In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a transitory short-run component. Using a structural VAR model with Bayesian sign restrictions, we show that adverse shocks to aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that adverse shocks to the persistent component of either stock or bond market volatility cause a deterioration in macroeconomic fundamentals. We find no evidence of a relationship between the transitory component of volatility and macroeconomic fundamentals. Instead, we find that the transitory component is more closely associated with changes in investor sentiment. Our results are robust to a wide range of alternative specifications.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122714786","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: 56
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