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Editorial to the Special Issue: The Monetary Economics of Basil J. Moore 特刊社论:巴兹尔·j·摩尔的货币经济学
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-03-23 DOI: 10.2139/ssrn.3559863
M. Setterfield
{"title":"Editorial to the Special Issue: The Monetary Economics of Basil J. Moore","authors":"M. Setterfield","doi":"10.2139/ssrn.3559863","DOIUrl":"https://doi.org/10.2139/ssrn.3559863","url":null,"abstract":"This paper outlines endogenous money theory (EMT) and the contributions of Basil J. Moore to EMT. It then describes the various papers that will appear in Volume 17, Issue 3 (2020) of the European Journal of Economics and Economic Policies: Intervention. Coolectively, these papers explore the monetary economics of Basil J. Moore – its origins, substance, and application – in light of its status as an ongoing and still-developing research project.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115020474","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
Financial Risk in the Austrian Theory of the Business Cycle 奥地利经济周期理论中的金融风险
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-03-18 DOI: 10.2139/ssrn.3556451
Rui Santos
{"title":"Financial Risk in the Austrian Theory of the Business Cycle","authors":"Rui Santos","doi":"10.2139/ssrn.3556451","DOIUrl":"https://doi.org/10.2139/ssrn.3556451","url":null,"abstract":"The ABCT is a description of the boom and bust of an economy following a reduction in the banks’ interest rate to a level below the equilibrium or natural rate. While descriptions of the theory emphasize the imbalance between consumption and investment that ensues the artificial decrease in the interest rate, often the driving force that impels firms to embark in new investment projects that will subsequently reveal themselves unsustainable is obfuscated. This initial decrease in the interest rate makes the present value of investments and assets rise, thus inducing an upsurge in investment, but also causes both the debt/equity ratio and the number of risky projects to increase, causing an intensification in the financial risk of the overall economy. At the same time, as some prices are less flexible, like wages and depreciation costs, this, added to the reduced interest rate, accentuates a rise in nominal profits that seems to validate an increase in investment and consumption. But as the real demand of the economy starts to reveal the unsustainability of those investments, the great exposure of the economy to financial risk creates an increase of defaults in payments and a subsequent reduction in credit bank which, in turn, increases banks’ market interest rate, reduces money supply, increasing the real value of debts which, added to the fact that profits lose steam due to the catching-up of costs with revenue prices, leads the economy into a recession.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130038565","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
Quantitative Easing and Bank Lending: The Liquidity Channel 量化宽松与银行贷款:流动性通道
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-03-13 DOI: 10.2139/ssrn.3554009
Chun Kuang, Jiawen Yang, Wenyu Zhu
{"title":"Quantitative Easing and Bank Lending: The Liquidity Channel","authors":"Chun Kuang, Jiawen Yang, Wenyu Zhu","doi":"10.2139/ssrn.3554009","DOIUrl":"https://doi.org/10.2139/ssrn.3554009","url":null,"abstract":"This paper provides direct evidence on the effect of quantitative easing (QE) policies on bank lending through the liquidity channel. By looking at changes in banks' liquidity-lending sensitivity in different rounds of QE, our results show that banks with higher levels of cash & reserve holding (especially excess reserves) are more responsive to the large-scale asset purchases (LSAPs) after the 2007-08 financial crisis, compared to their liquidity-constrained counterparts. Interestingly, we find this liquidity channel to be almost equally significant for both C&I loans and real estate lending. Our results are robust to different specifications, alternative measures of banks' liquidity constraint, and inclusion of controls for demand-side factors. Further analysis indicates that this liquidity channel is distinct from the net-worth channel and capital requirement constraint documented in the literature.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121127365","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
Liquidity Coverage Ratio in a Payments Network: Uncovering Contagion Paths 支付网络中的流动性覆盖率:揭示传染路径
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-03-12 DOI: 10.2139/ssrn.3576624
Richard Heuver, R. Berndsen
{"title":"Liquidity Coverage Ratio in a Payments Network: Uncovering Contagion Paths","authors":"Richard Heuver, R. Berndsen","doi":"10.2139/ssrn.3576624","DOIUrl":"https://doi.org/10.2139/ssrn.3576624","url":null,"abstract":"The Liquidity Coverage Ratio (LCR) requirement of the Basel III framework is aimed at making banks more resilient against liquidity shocks and indicates the extent to which a bank is able to meet its payment obligations over a 30-day stress period. Notwithstanding the fact that it forms an important addition to the available information for regulators, it presents information on the status of a single bank on a monthly reporting basis. In this paper we generate an LCR-like statistic on a daily basis and simulate liquidity failure of each of the systemically important banks, using historical payments data from TARGET2. The aim of the paper is to uncover paths of contagion. The trigger is a bank with a deteriorating LCR and the knock-on effect is modelled as the impact on the LCR of other banks. We generate then the cascade of contagion, which in general consists of multiple paths, trying to answer the question to what extent the financial network further deteriorates. In doing so we provide paths of contagion which give a sense of potential systemic risk present in the network. We find that the majority of damage is caused by a small group of large banks. Furthermore we find groups of banks that are very vulnerable to shocks, regardless of the size or location of the disruption. Our model reveals that the shortfall of liquidity at the stressed bank is a more important driver than the addition of liquidity at the other banks. A version of the contagion network based on a 14-day period reveals a monthly pattern, which is in line with other literature in which window dressing is addressed. The data used in this paper are available to supervisors, central banks and resolution authorities, therefore making it possible to anticipate contagion of failing liquidity coverage within their payment network on a daily basis.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125017251","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
Pecuniary Externalities, Bank Overleverage, and Macroeconomic Fragility 货币外部性、银行过度杠杆和宏观经济脆弱性
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-03-09 DOI: 10.2139/ssrn.3551826
Ryo Kato, Takayuki Tsuruga
{"title":"Pecuniary Externalities, Bank Overleverage, and Macroeconomic Fragility","authors":"Ryo Kato, Takayuki Tsuruga","doi":"10.2139/ssrn.3551826","DOIUrl":"https://doi.org/10.2139/ssrn.3551826","url":null,"abstract":"Pecuniary externalities in models with financial friction justify macroprudential policies for preventing economic agents’ excessive risk taking. We extend the Diamond and Rajan (2012) model of banks with the production factors and explore how a pecuniary externality affects a bank’s leverage. We show that the laissez-faire banks in our model take on excessive risks compared with the constrained social optimum. Our numerical simulations suggest that the crisis probability is 2--3 percentage points higher in the laissez-faire economy than in the constrained social optimum.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125532436","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
(When) Does Transparency Hurt Liquidity? (何时)透明度会损害流动性?
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-02-26 DOI: 10.2139/ssrn.3447412
K. Balakrishnan, Aytekin Ertan, Yunjae Lee
{"title":"(When) Does Transparency Hurt Liquidity?","authors":"K. Balakrishnan, Aytekin Ertan, Yunjae Lee","doi":"10.2139/ssrn.3447412","DOIUrl":"https://doi.org/10.2139/ssrn.3447412","url":null,"abstract":"Conventional wisdom suggests that increases in public information improve market liquidity. However, if greater public information incentivizes only sophisticated investors to produce private information, it could exacerbate information asymmetry among investors and thus reduce liquidity. We explore this argument on a sample of mortgage-backed securities (MBSs) by using a recent European regulation that mandates complex disclosures about the individual loans underlying MBSs. We find that the liquidity of the debt tranches of disclosed MBSs declines by 23% post-regulation. Our inferences are stronger when the securities are harder to value and when the disparity in investor sophistication is higher. In contrast to these findings, we also find that the disclosures increase the liquidity of the equity tranches of the same MBSs. Overall, our evidence implies that the liquidity impact of enhanced public information varies with the nature of the asset in question; this effect is likely a function of the investors’ incentives for information production and price discovery.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128975430","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
The Interaction Effect in a Nonlinear Specification of Bank Lending: A Replication and Reexamination of the Peek and Rosengren (2005) Results on 'Unnatural Selection' 银行贷款非线性规范中的相互作用效应:对Peek和Rosengren(2005)“非自然选择”结果的复制与再检验
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-02-22 DOI: 10.2139/ssrn.3542044
Hitoshi Inoue, Kiyotaka Nakashima, Koji Takahashi
{"title":"The Interaction Effect in a Nonlinear Specification of Bank Lending: A Replication and Reexamination of the Peek and Rosengren (2005) Results on 'Unnatural Selection'","authors":"Hitoshi Inoue, Kiyotaka Nakashima, Koji Takahashi","doi":"10.2139/ssrn.3542044","DOIUrl":"https://doi.org/10.2139/ssrn.3542044","url":null,"abstract":"Peek and Rosengren (American Economic Review 2005; 95) suggested the mechanism of ``unnatural selection,'' where low-capitalized Japanese banks increase credit to low-quality firms because of their motivation to pursue balance sheet cosmetics. In this study, we replicate their estimation results, using loan-level data from 1994 to 1999, and thereby reexamine this mechanism in terms of the interaction effect in a nonlinear specification of bank lending. We demonstrate that their results imply that Japanese banks allocated lending from viable firms to unviable ones regardless of the degree of bank capitalization, being not consistent with the balance sheet cosmetics hypothesis. <br>","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129602278","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: 0
Obtaining Implied Volatilities From the New York Money Market: 1890 to 1934 从纽约货币市场获得隐含波动率:1890 - 1934
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-02-21 DOI: 10.2139/ssrn.3542421
Miguel Cantillo
{"title":"Obtaining Implied Volatilities From the New York Money Market: 1890 to 1934","authors":"Miguel Cantillo","doi":"10.2139/ssrn.3542421","DOIUrl":"https://doi.org/10.2139/ssrn.3542421","url":null,"abstract":"This paper obtains monthly implied volatilities of the New York securities market from 1890 to 1934 from interest rate differentials. The implied volatilities did predict the 1929 crash but no other financial crisis. The historical implied volatilities are similar to their modern (2008-2019) counterparts. I find that before 1924, implied volatilities were autoregressive and seasonal, and that after 1924 these series behave in a non-stationary manner, echoing results by Mankiw, Miron and Weil (1987) for interest rates. The paper uses a Heckman method to correct for censored six month interest rate data due to anti usury laws from that period.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"161 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133106126","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
Non-Performing Loans and Systemic Risk in Financial Networks 金融网络中的不良贷款与系统性风险
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-02-17 DOI: 10.2139/ssrn.3539741
G. Bottazzi, A. De Sanctis, Fabio Vanni
{"title":"Non-Performing Loans and Systemic Risk in Financial Networks","authors":"G. Bottazzi, A. De Sanctis, Fabio Vanni","doi":"10.2139/ssrn.3539741","DOIUrl":"https://doi.org/10.2139/ssrn.3539741","url":null,"abstract":"In this paper we study the implications of non-performing loans (NPLs) for financial stability using a network-based approach. We start by combining loan-level data from DealScan and firm-level data from Orbis to reconstruct the empirical global financial network in the period 1991-2016 and identify a series of stylized facts. Based on these findings, we develop a model in which two types of agents, banks and firms, are linked in a network by their reciprocal claims and analyze how an increase in NPLs affects the stability of the system. We study the model analytically and with numerical simulations, deriving a synthetic measure of systemic risk and quantifying the threshold level of NPLs that triggers a systemic crisis. Our model shows that there exist a level of connectivity that maximizes the fragility of the financial system and that small changes in the initial NPLs shock can have very different consequences at the aggregate level.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132712713","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
Bank Levy in Europe 欧洲的银行税
ERN: Other Monetary Economics: Financial System & Institutions (Topic) Pub Date : 2020-02-12 DOI: 10.2139/ssrn.3536917
Karolina Puławska
{"title":"Bank Levy in Europe","authors":"Karolina Puławska","doi":"10.2139/ssrn.3536917","DOIUrl":"https://doi.org/10.2139/ssrn.3536917","url":null,"abstract":"Risk-taking by financial institutions is widely regarded as the one of the causes of the financial crisis. To reduce the probability of crises and internalize the costs of financial institution distress, policymakers have introduced bank levy. However, these regulations are different in all countries. Our paper contributes to a specific strand of literature. The role of regulations in monitoring risk lies in the intervention of, for example, the tax policy. The problem lies in identifying regulatory instruments or a combination of instruments that would be most effective in reducing risk and assessing how effectively they can be applied. Our paper may be of interest to a wide range of researchers as it is call for more research on effect on bank levy introduction on risk-taking by financial institutions in Europe. First of all, we present the significance of the research on bank levy for the theory and economic practise, then we present the models of taxation of banking sector and we propose directions of future research.","PeriodicalId":299344,"journal":{"name":"ERN: Other Monetary Economics: Financial System & Institutions (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125809296","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: 0
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