Banking & Insurance eJournal最新文献

{"title":"The Natural Real Rate of Interest and Monetary Policy: New Evidence for the US","authors":"Sheng Zhu, Ella Kavanagh, Jun Gao","doi":"10.2139/ssrn.3756557","DOIUrl":"https://doi.org/10.2139/ssrn.3756557","url":null,"abstract":"We propose a new method to estimate the unobservable natural real rate of interest in the United States (US). We begin by describing the natural rate in the New Keynesian model and then theoretically linking its evolution to both demand and supply-side shocks hitting the US economy. Our results indicate that the technology shock dominated the shift in the natural real rate of interest during the sample period 1947-2017. In addition, we also examine whether the Taylor rule should be augmented for changes in the estimated natural rate. Our maximum likelihood estimation shows that the inclusion of the natural interest rate shift in the Taylor rule leads to significant improvement of the interest rate modelling.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128608846","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":"T2S - TARGET2-Securities - La piattaforma paneuropea per il regolamento dei titoli in base monetaria. (T2S - TARGET2-Securities - The Pan-European Platform for the Settlement of Securities in Central Bank Money)","authors":"C. Mastropasqua, Alessandro Intonti, Michael Jennings, C. Mandolini, M. Maniero, Stefano Vespucci, D. Toma","doi":"10.2139/ssrn.3854970","DOIUrl":"https://doi.org/10.2139/ssrn.3854970","url":null,"abstract":"<b>Italian Abstract:</b> Il funzionamento dei mercati finanziari richiede l’esistenza di infrastrutture per la conclusione degli scambi degli operatori. Queste devono essere sicure, efficienti e in grado di assicurare l’ordinato svolgimento delle operazioni che vi si effettuano. Lo Statuto del SEBC dà mandato all’Eurosistema di “assicurare sistemi di compensazione e di pagamento efficienti e affidabili all’interno dell’Unione”; in linea con il mandato, l’Eurosistema ha realizzato le infrastrutture TARGET2 – per il regolamento dei pagamenti di largo importo (large-value), TARGET2-Securities (T2S) – per il regolamento dei titoli, TIPS – per il regolamento degli instant payments. Questo lavoro si concentra su T2S: la piattaforma paneuropea per gestire in maniera armonizzata la fase di regolamento delle transazioni in titoli che, per la parte in contanti, avviene sui conti detenuti dagli intermediari presso la banca centrale (regolamento in moneta di banca centrale o in base monetaria). La sua partenza, nel giugno del 2015, ha rappresentato una tappa fondamentale del processo di integrazione dei mercati finanziari in Europa, nei quali prevalevano infrastrutture, procedure e standard di regolamento definiti a livello nazionale la cui eterogeneità ostacolava la realizzazione di un unico mercato dei capitali. Il progetto di T2S muoveva da obiettivi di interesse pubblico, quali definire e attuare la politica monetaria dell’UE, promuovere il regolare funzionamento dei sistemi di pagamento e contribuire all’integrazione del mercato europeo dei capitali, favorendone l’allocazione efficiente. La piattaforma è stata realizzata per conto dell’Eurosistema da quattro banche centrali: Banque de France, Banca d’Italia, Deutsche Bundesbank, Banco de España (cosiddette “4CB”). Il progetto è partito nel 2008; i costi progettuali e operativi sono stati finanziati da tutte le banche centrali; essi devono essere interamente recuperati attraverso la tariffazione dei servizi offerti e senza generare margini di profitto. T2S “ospita” sia i conti titoli, sia i conti cash sulla medesima piattaforma, che per questo viene detta “integrata”. Il regolamento su base lorda e sui conti detenuti presso la banca centrale elimina di fatto il rischio di credito dovuto all’insolvenza della controparte. Queste caratteristiche, unite a presidi molto robusti di continuità operativa fanno di T2S un sistema sicuro e in grado di ridurre i rischi sistemici e operativi. T2S permette il regolamento anche in valute diverse dall’euro: da ottobre 2018 regola le transazioni in titoli in corone danesi. T2S ha ridotto significativamente la frammentazione nella fase di regolamento delle transazioni finanziarie europee, attraverso l’offerta di servizi standardizzati e uguali per tutti i depositari centrali di titoli (Central Securities Depositories, CSD) aderenti, per l’accesso ai quali è richiesta un’armonizzazione delle pratiche nazionali. Applicando ai CSD un’unica tariffa per il regolamento e transf","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124751101","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":"Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic","authors":"Stefano Corradin, Niklas Grimm, B. Schwaab","doi":"10.2139/ssrn.3857400","DOIUrl":"https://doi.org/10.2139/ssrn.3857400","url":null,"abstract":"We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Identification is achieved by considering sovereign bond yields jointly with other rates, including sovereign credit default swap spreads with and without redenomination as a credit event feature. We apply our framework to study the impact of European Central Bank (ECB) monetary policy and European Union (E.U.) fiscal policy announcements during the Covid-19 pandemic recession. We find that both monetary and fiscal policy announcements had a pronounced effect on yields, mostly through default, redenomination, and segmentation premia. While the ECB's unconventional monetary policy announcements benefited some (vulnerable) countries more than others, owing to unprecedented flexibility in implementing bond purchases, the E.U.’s fiscal policy announcements lowered yields more uniformly.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128772306","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":"On the Optimal Control of Interbank Contagion in the Euro Area Banking System","authors":"Gábor Fukker, Christoffer Kok","doi":"10.2866/223229","DOIUrl":"https://doi.org/10.2866/223229","url":null,"abstract":"In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal budget constraint that may or may not restrain the policy authorities from infusing money to halt the contagion. The modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in the context of resolutions and precautionary recapitalisations or as a crisis prevention tool to help calibrate capital buffer requirements to address systemic risks due to interconnectedness.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124242055","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":"Wavelet Analysis and Energy-Based Measures for Oil-Food Price Relationship as a Footprint of Financialisation Effect","authors":"L. Mastroeni, A. Mazzoccoli, Greta Quaresima, P. Vellucci","doi":"10.2139/ssrn.3925504","DOIUrl":"https://doi.org/10.2139/ssrn.3925504","url":null,"abstract":"In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency.Wavelet analysis is able to differentiate high frequency from low frequency movements which correspond, respectively, to short and long run dynamics. We show that the significant local correlation between food and oil is only apparent and this is mainly due both to the activity of commodity index investments and, to a lesser extent, to a growing demand from emerging economies.Moreover, the activity of commodity index investments gives evidence of the overall financialisation process. In addition, we employ wavelet entropy to assess the predictability of the time series under consideration at different frequencies. We find that some variables share a similar predictability structure with food and oil.These variables are the ones that move the most along with oil and food. We also introduce a novel measure, the Cross Wavelet Energy Entropy Measure (CWEEM), based on wavelet transformation and information entropy, with the aim of quantifying the intrinsic predictability of food and oil given demand from emerging economies, commodity index investments, financial stress, and global economic activity. The results show that these dynamics are best predicted by global economic activity at all frequencies and by demand from emerging economies and commodity index investments at high frequencies only.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126509838","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":"Big Broad Banks: How Does Cross-Selling Affect Lending?","authors":"Yingjie Qi","doi":"10.2139/ssrn.3074343","DOIUrl":"https://doi.org/10.2139/ssrn.3074343","url":null,"abstract":"\u0000 This paper investigates how cross-selling affects relationship lending using internal data from a large bank and the Swedish credit registry. I show that within a bank-firm relationship, profit earned from non-loan products cross-subsidizes loans and increases (1) credit supply and (2) the likelihood of the bank’s pausing or waiving interest payments for delinquent loans (lenience in delinquency). For identification, I exploit the Basel II-induced exogenous variation in products’ profitability while holding constant the firm’s creditworthiness and relationship informativeness. I find that the average affected firm experienced a decrease of 6% ($400,000) in credit supply and 30% (9.8 pp) in lenience in delinquency. The results highlight the importance of cross-subsidization as a mechanism through which cross-selling affects bank-firm relationships and inform optimal regulatory design for lenders who multi-produce.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131506947","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":"Foreign Investors and Target Firms’ Financial Structure: Cavalry or Locusts?","authors":"L. Bencivelli, B. Pisicoli","doi":"10.2139/ssrn.3852377","DOIUrl":"https://doi.org/10.2139/ssrn.3852377","url":null,"abstract":"We study how FDI affects the financial structure of targeted firms, by looking at a sample of foreign acquisitions that occurred in Italy between 1998 and 2016. We show that the entry of foreign investors promotes the diversification of financing sources. Moreover, foreign acquisitions lower investment sensitivity to the availability of bank credit and the cash flow sensitivity of cash, allowing targeted firms to rely more on non-bank external financing channels. Importantly, these effects are stronger for investment in intangible assets. These findings suggest that the positive productivity effects of FDI emphasized in the literature are, at least in part, traceable to enhanced investment in capital that is harder to finance through the banking sector.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131541827","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":"Fintech Entry and Credit Market Competition","authors":"Yinxiao Chu, Jianxing Wei","doi":"10.2139/ssrn.3827598","DOIUrl":"https://doi.org/10.2139/ssrn.3827598","url":null,"abstract":"This paper presents a spatial model to analyze the effects of the entry of Fintech lenders on credit market competition and welfare. In the model, banks compete with a Fintech lender for borrowers under asymmetric information. Both types of lenders can screen borrowers before making a loan, and their signals are conditionally independent and asymmetric. The Fintech lender will enter the market if its screening ability is sufficiently high or the credit market is not very competitive. Increased competition from Fintech entrants erodes banks' profitability. Contrary to the standard view, Fintech entry could hurt borrowers' access to credit and worsen allocative efficiency. Fintech entry crowds out banks in the long run and may reduce social welfare.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127585269","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":"Syndicated Loan Risk: The Effects of Covenants and Collateral","authors":"Jianglin Ding, George G. Pennacchi","doi":"10.2139/ssrn.3828153","DOIUrl":"https://doi.org/10.2139/ssrn.3828153","url":null,"abstract":"This paper presents a new approach that quantifies how a credit rating agency and investors judge the effects of collateral and various covenants on syndicated loan risk. It addresses firms’ self-selection of these contract terms by analyzing how a loan’s collateral and covenants affect: 1) the difference between the loan’s credit rating and the senior, unsecured credit rating of the borrowing firm; and 2) the difference between the borrowing firm’s senior, unsecured CDS spread and its loan’s credit spread. The results show that the rating agency and investors agree that a collateral requirement, a capital expenditure covenant, and a dividend restriction covenant are most important for reducing a loan’s credit risk. However, equity issuance and excess cashflow sweeps increase a loan’s risk.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131577880","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 Rescue of American International Group Module Z: Overview","authors":"Rosalind Z. Wiggins, Aidan Lawson, Steven J. Kelly, Lily Engbith, Andrew Metrick","doi":"10.2139/ssrn.3902819","DOIUrl":"https://doi.org/10.2139/ssrn.3902819","url":null,"abstract":"In September 2008, in the midst of the broader financial crisis, the Federal Reserve Board of Governors used its emergency authority under Section 13(3) of the Federal Reserve Act to authorize the largest loan in its history, a $85 billion collateralized credit line to American International Group (AIG), a $1 trillion insurance and financial company that was experiencing severe liquidity strains. In connection with the loan, the government received an equity interest representing 79.9% of the company’s ownership. AIG continued to experience a depressed stock price, asset devaluations, and the risk of ratings downgrades leading to questions about its solvency. To stabilize the company, the government committed additional assistance, including equity investments under the Troubled Assets Relief Program and asset purchases, for a total commitment of $182.3 billion. AIG survived as a smaller entity and repaid all amounts owed to the government, which, along with the government’s sale of its AIG equity stake, resulted in a profit of $22.7 billion for the government and taxpayers (Treasury 2013, 14). In this case we discuss the government’s actions on an aggregate basis and analyze how the rescue was conceived and executed in order to better understand the unique lessons to be learned and possibly applied to future crisis events.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123510151","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}