ERN: Banking & Monetary Policy (Topic)最新文献

Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking 低利率环境下的货币政策:反转率与风险承担

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-10-01 DOI: 10.2139/ssrn.3934741

Florian Heider, Agnese Leonello

{"title":"Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking","authors":"Florian Heider, Agnese Leonello","doi":"10.2139/ssrn.3934741","DOIUrl":"https://doi.org/10.2139/ssrn.3934741","url":null,"abstract":"This paper develops a simple analytical framework to study the impact of central bank policy-rate changes on banks’ credit supply and risk-taking incentives. Unobservable expost bank monitoring of loans creates an external-financing constraint, which determines bank leverage. Unobservable, costly ex-ante screening of borrowers determines the level of bank risk-taking. More risk-taking tightens the external-financing constraint. The policy rate affects the external-financing constraint because it affects both the return on outside investors’ alternative investments and loan rates. In a low rate environment, a policy-rate cut reduces bank funding costs less because of a zero lower bound (ZLB) on retail deposit rates. Bank risk-taking is a necessary but not sufficient for a policy-rate cut to become contractionary (\"reversal\"). Reversal can occur even though banks’ net-interest margins increase. Credit market competition plays an important role for the interplay of monetary policy and financing stability. When banks have market power, a policy-rate cut can increase lending and still lead to risk-taking. We use our analytical framework to discuss the literature on how monetary policy affects the credit supply of banks, with special emphasis on low and negative rates. JEL Classification: E44, E52, E58, G20, G21","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134619736","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: 4

A Tiering Rule to Balance the Impact of Negative Policy Rates on Banks 平衡负利率政策对银行影响的分级规则

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-09-21 DOI: 10.2139/ssrn.3900544

M. Girotti, Benoît Nguyen, Jean‐Guillaume Sahuc

引用次数: 1

Optimal Monetary Policy Mix at the Zero Lower Bound 零下限下的最优货币政策组合

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-08-31 DOI: 10.2139/ssrn.3914833

Dario Bonciani, Joonseok Oh

引用次数: 2

The Impacts of Monetary Policy on Banks' Loan Portfolio Risk-taking 货币政策对银行贷款组合风险承担的影响

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-08-03 DOI: 10.2139/ssrn.3898624

Luiz F.S. Adão, Douglas Silveira, Regis A. Ely, D. Cajueiro

{"title":"The Impacts of Monetary Policy on Banks' Loan Portfolio Risk-taking","authors":"Luiz F.S. Adão, Douglas Silveira, Regis A. Ely, D. Cajueiro","doi":"10.2139/ssrn.3898624","DOIUrl":"https://doi.org/10.2139/ssrn.3898624","url":null,"abstract":"Using an agent-based model, we investigate how monetary policy affects banks' risk-taking in terms of the profile of their lending to real sector firms. Our agent-based model considers five types of agents: banks, depositors, the Central Bank, firms, and the clearinghouse. While banks and depositors are bounded-rational agents with adaptive strategies, the other players' behaviors are used as a reference to understand how these main agents respond strategically to different incentives and situations. Some of our findings recover stylized facts available in the literature: (1) when the monetary policy eases, there is an increase of real sector loans, particularly for riskier clients; (2) the interbank market plays a fundamental role in banks' liquidity management; (3) banks avoid borrowing resources from the Central Bank; (4) when the monetary policy is restrictive, banks increase the level of capital buffers and the Capital Adequacy Ratio (CAR). We also present new insights regarding the relationship between monetary policy stances and bank risk-taking, opening an avenue to investigate the banks' learning process dynamics. Finally, we show that banks tend to grow when the monetary policy stance eases.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123321900","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

The Incredible Upside-Down Fixed-Income Market - Negative Interest Rates and Their Implications 不可思议的颠倒的固定收益市场——负利率及其影响

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-07-26 DOI: 10.2139/ssrn.3893898

V. Bhansali

{"title":"The Incredible Upside-Down Fixed-Income Market - Negative Interest Rates and Their Implications","authors":"V. Bhansali","doi":"10.2139/ssrn.3893898","DOIUrl":"https://doi.org/10.2139/ssrn.3893898","url":null,"abstract":"In recorded financial history, there are almost no occasions, other than the present, where a significant portion of the global bond markets has been trading at negative nominal yields. Is this an anomaly or what will be the normal state of the financial markets in years to come? This monograph investigates the ongoing debate between the pros and cons of negative nominal yields and the economic rationale(s) that are used to justify or criticize underlying policies. Even in academic circles, few agree on the costs and benefits of negative yields. Surveying the global bond markets of the day, I find the impact of negative yields in almost all regions and sectors, though sovereign bond markets, which are closest to monetary policy, are the dominant category of bonds with negative yields. I next look at the participants in the negatively yielding bond market and at the motivations that justify their actions. The conclusion is that although different participants might have different reasons to buy negatively yielding bonds, their collective action is certainly responsible for creating a local equilibrium in which these markets clear. Central bank policy is the next focus in this monograph, and I discuss in depth the economic rationale as propounded by one such bank, the European Central Bank. I conclude with a discussion of the blurring lines between monetary and fiscal policy, which are likely to become centerpieces in future years as global sovereign debt levels rise. Next, I look at the influence of negative yields on other asset markets, such as equities, and especially derivatives markets, such as the demand for options. A discussion of potential risks then follows. The monograph concludes with a review of the impact of negative yields on nonfinancial aspects of society. Although the forecast is anything but crystal clear, the evolution of markets and economics in the years to come will undoubtedly be influenced by this massive economic experiment of negative yields.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133803490","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

A Liquidity Risk Early Warning Indicator for Italian Banks: A Machine Learning Approach 意大利银行流动性风险预警指标:机器学习方法

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-06-22 DOI: 10.2139/ssrn.3891566

Stefano Nobili, Maria Ludovica Drudi

引用次数: 10

On the Modeling of Prepayments for Variable Rate Institutional Loans - Ascertaining the Inference of Bank Internal Default Probabilities on Subsequent Prepayments 可变利率机构贷款的提前还款建模——确定银行内部违约概率对后续提前还款的推断

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-05-30 DOI: 10.2139/ssrn.3893837

Andre Horovitz

引用次数: 0

The Determinants of Commercial Bank’ Profitability in the South-Eastern Europe Region: A System GMM Approach 东南欧地区商业银行盈利能力的决定因素:系统GMM方法

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-05-10 DOI: 10.2139/ssrn.3857948

Michael Enowbi Batuo, Francesco Guidi

引用次数: 0

Limit Theorems for Default Contagion and Systemic Risk 违约传染和系统风险的极限定理

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-03-24 DOI: 10.2139/ssrn.3811107

H. Amini, Zhong Cao, A. Sulem

{"title":"Limit Theorems for Default Contagion and Systemic Risk","authors":"H. Amini, Zhong Cao, A. Sulem","doi":"10.2139/ssrn.3811107","DOIUrl":"https://doi.org/10.2139/ssrn.3811107","url":null,"abstract":"We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under some regularity assumptions, the default cascade model could be transferred to a death process problem represented by balls-and-bins model. We also reduce the dimension of the problem by classifying banks according to different types, in an appropriate type space. These types may be calibrated to real-world data by using machine learning techniques. We then state various limit theorems regarding the final size of default cascade over different types. In particular, under suitable assumptions on the degree and threshold distributions, we show that the final size of default cascade has asymptotically Gaussian fluctuations. We next state limit theorems for different system-wide wealth aggregation functions and show how the systemic risk measure, in a given stress test scenario, could be related to the structure and heterogeneity of financial networks. We finally show how these results could be used by a social planner to optimally target interventions during a financial crisis, with a budget constraint and under partial information of the financial network.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132065961","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

Risky Financial Collateral, Firm Heterogeneity, and the Impact of Eligibility Requirements 风险金融抵押品，公司异质性，以及资格要求的影响

ERN: Banking & Monetary Policy (Topic) Pub Date : 2021-03-12 DOI: 10.2139/ssrn.3800024

Matthias Kaldorf, Florian Wicknig

引用次数: 3