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

{"title":"Measuring the Effects of Unconventional Policies on Stock Market Volatility","authors":"Demetrio Lacava, G. Gallo, E. Otranto","doi":"10.2139/ssrn.3712995","DOIUrl":"https://doi.org/10.2139/ssrn.3712995","url":null,"abstract":"As a response to the Great Recession, many central banks resorted to unconventional monetary policies, in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy and Spain) within the Multiplicative Error Model framework. We propose a model which allows us to quantify the part of market volatility depending directly on unconventional policies by distinguishing between the announcement the implementation effects. While we observe an increase in volatility on announcement days, we find a negative implementation effect, which causes a remarkable reduction in volatility in the long term. A Model Confidence Set approach finds how the forecasting power of the proxy improves significantly after the policy announcement; a multi–step ahead forecasting exercise estimates the duration of the effect, and, by shocking the policy variable, we are able to quantify the reduction in volatility which is more marked for debt–troubled countries.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129272467","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":"Banks through the Lens of the Media","authors":"Eva A. Arnold","doi":"10.2139/ssrn.3903919","DOIUrl":"https://doi.org/10.2139/ssrn.3903919","url":null,"abstract":"This is the first study evaluating whether depositors and supervisors should be concerned about media bias in banks’ coverage. The Basel Committee on Banking Supervision (1998) points out the media’s role as a secondary information source to depositors. Especially in times of (financial) crises, depositors need to be informed about their bank and the banking system’s safety. For this paper, we collect a unique data set containing almost 700,000 statements on more than 1,500 banks in 51 regional and 6 national German newspapers over 2007-2013. First, applying text analysis techniques, we quantitatively assess bank (type) coverage and sentiment. While regional and national outlets cover approximately the same number of banks and publish about the same amount of articles, we find that articles in national-wide newspapers require a higher literacy level. The main difference becomes apparent through sentiment analysis. On average, savings and cooperative banks are pictured more negatively in national than in regional newspapers. However, all news assess commercial banks most negatively, on average. Second, we describe the connectivity of newspapers and banks through geographical and network-driven distance measures. We thus provide a network perspective on banks throughout the crisis. Finally, we detect significant differences between regional and national newspapers using a difference-in-difference regression model, pointing to biases in coverage and sentiment.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"279 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123176701","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 Case for Central Bank Independence: A Review of Key Issues in the International Debate","authors":"Benjamin Vonessen, K. Arnold, Rodolfo Dall’Orto Mas, Christian Fehlker","doi":"10.2139/ssrn.3706132","DOIUrl":"https://doi.org/10.2139/ssrn.3706132","url":null,"abstract":"This Occasional Paper analyses how significant expansions in central banks’ mandates, roles and instruments can result in challenges to the independence of monetary policy. The paper reviews, in particular, some of the key challenges to central bank independence brought about by the global financial crisis (GFC) of 2007 and assesses their impact on the de jure and de facto independence of selected central banks around the world in the past few years. It finds that although the level of de jure (legal) central bank independence did not deteriorate, the level of de facto (actual) independence of the central banks of some of the largest economies in the world may have weakened. The paper presents counterarguments to the key critiques raised against central banks due to their policy response during the GFC, and concludes that the case for central bank independence is as strong as ever.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128177679","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":"Exchange Rates and the Information Channel of Monetary Policy","authors":"Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak","doi":"10.2139/ssrn.3720440","DOIUrl":"https://doi.org/10.2139/ssrn.3720440","url":null,"abstract":"We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125170653","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":"Taxing Bank Leverage: The Effects on Bank Portfolio Allocation","authors":"Claire Célérier, Thomas K. Kick, S. Ongena","doi":"10.2139/ssrn.2829326","DOIUrl":"https://doi.org/10.2139/ssrn.2829326","url":null,"abstract":"We explore the effect of tax reforms that decrease the cost of equity on bank lending. In 2000 and 2006, Italy and Belgium, respectively, introduced an allowance for corporate equity so that both firms and banks could deduct a notional interest on their equity from their taxable income. Because local firms were also affected by these reforms, we employ loan level data from a credit register in a third-country, i.e., Germany, to better identify the differential impact on lending by banks that were 'treated' by these tax reforms versus a control group of banks that were not. We find that the decrease in the cost of equity leads banks to raise their equity ratio, and to concurrently expand their balance sheet by increasing the amount of credit supplied in Germany. Conversely, the reversal of these reforms leads to a decrease in lending.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114425198","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 MREL Framework Under the Banking Reform Package","authors":"Nikos Maragopoulos","doi":"10.2139/ssrn.3678561","DOIUrl":"https://doi.org/10.2139/ssrn.3678561","url":null,"abstract":"The adoption of the “Banking Reform Package” (CRR2, CRD4, BRRD2, SRMR2) in 2019 led to material changes, among others, in the regulatory framework governing the Minimum Requirement for Own funds and Eligible Liabilities (MREL). The revised framework aimed at introducing the rules adopted by the Financial Stability Board (FSB) on the Total Loss-Absorbing Capacity (TLAC) to the Union law and addressing the deficiencies of the former framework. \u0000 \u0000As regards the novelties brought in by the new framework, the most significant one pertains to the introduction of a minimum and fixed requirement (Pillar 1 MREL) for Global Systemically Important Banks (G-SIBs) and other large banks. At the same time, all banks are still subject to the bank-specific requirement (Pillar 2 MREL) for which no material amendment in the determination approach is introduced in the revised framework. In practice, the MREL target that banks must meet is the higher of the Pillar 1 MREL and the bank-specific Pillar 2 MREL. \u0000 \u0000Other key elements of the revised framework are related to the obligation for banks to cover a significant part of the MREL with instruments subordinated to liabilities excluded (or likely to be excluded) from bail-in (subordination requirement), the introduction of the internal MREL for subsidiaries of resolution entities and the establishment of harmonized criteria for MREL-eligible liabilities. Furthermore, the revised rules clarify several aspects of the former framework, including the deadline for banks to meet the MREL, the redemption of MREL-eligible liabilities and the measures to address a breach of the MREL. \u0000 \u0000The present paper analyses the aforementioned key elements of the revised MREL framework and assesses its conformity with the TLAC standard, as well as the implications that may arise as a result of its complexity and the discretions provided to resolution authorities. As regards the first point, the analysis indicates that the transposition of the TLAC rules into the Union law not only achieves the target of conformity, but also in some cases the MREL extends beyond the scope and the level required under the international standard. In relation to the nature of the requirement, the MREL framework is characterized by a significant degree of complexity and the discretionary powers assigned upon resolution authorities. Excluding the Pillar 1 MREL applicable to G-SIBs and “top-tier banks”, there is no other single MREL-related requirement that is clear about which banks it applies to and what the level thereof is. All other requirements are subject to decisions taken by resolution authorities, mostly based on unclear criteria. Hence, resolution authorities have extensive powers to decide on the scope of requirements (e.g. Pillar 1 MREL, Pillar 2 MREL, subordination requirement, internal MREL) and other critical aspects (e.g. transitional period for Pillar 2 MREL, redemption of MREL-eligible liabilities, measures to address a breach of the MREL). \u0000","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133580293","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":"Sovereign Portfolio Composition and Bank Risk","authors":"S. Baziki, M. Nieto, Rima Turk-Ariss","doi":"10.2139/ssrn.3668976","DOIUrl":"https://doi.org/10.2139/ssrn.3668976","url":null,"abstract":"This paper presents evidence on the likely composition effects of sovereign portfolios on two accounting based measures of banks’ ex-post risk profile, using granular data by the European Banking Authority. Our study period covers from 2009 to 2018. We find that banks located in European countries with high sovereign credit risk have riskier balance sheets. Also, banks holding a higher proportion of securities issued by a crisis sovereign are riskier than those with lower exposure to those countries. Whereas holding of government securities of the country where the bank is incorporated does not by itself increase ex-post bank risk, banks are riskier when they hold a higher proportion of these securities and the bank is domicile in a high credit risk sovereign country. Finally, banks that received government capital injections show higher risk profile than those banks that did not receive capital support. Our results lend support to central bank interventions to limit the increase in sovereign risk and limit the negative bank sovereign-bank feedback loop.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"322 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124297228","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 Impact of the IRB Approach on the Relationship Between the Cost of Credit for Public Companies and Financial Market Conditions","authors":"Raffaele Gallo","doi":"10.2139/ssrn.3680593","DOIUrl":"https://doi.org/10.2139/ssrn.3680593","url":null,"abstract":"This paper examines whether the regulatory approach adopted by banks to calculate capital requirements has a different impact on the loan rates for public and private companies when financial market conditions change. Using Italian data for the period 2008-18, the analysis documents that the adoption of the internal ratings-based (IRB) approach has led to a significantly greater sensitivity of the loan rates applied to public companies to financial market conditions, proxied by the VSTOXX index. For credit granted by IRB banks, being public is associated with a significant loan cost advantage when the level of financial instability is low. However, when VSTOXX rises, public companies experience a greater increase in loan rates than private firms; the effect is determined mostly by less capitalized IRB banks. In contrast, for credit granted by banks that adopt the standardized approach (SA), public borrowers do not benefit from a significant loan cost advantage compared with private ones, and a change in financial market conditions has a similar impact on loan rates for both types of companies.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123683774","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 Joint Impact of Bank Capital and Funding Liquidity on the Monetary Policy's Risk-Taking Channel","authors":"Bruno De Menna","doi":"10.2139/ssrn.3650902","DOIUrl":"https://doi.org/10.2139/ssrn.3650902","url":null,"abstract":"Despite an extensive literature on the risk–taking channel of monetary policy, the joint impact of bank capital and deposits on the latter remains poorly documented. Yet that prospect is essential for monetary policy taking action under the Basel III framework involving concomitant capital and funding liquidity standards. Using data on euro area from 1999 to 2018 and triple interactions between monetary policy, equity and funding liquidity, we shed light on a \"crowding–out of deposits\" effect prior to the 2008 GFC which supports the need for simultaneous capital and funding liquidity ratios to mitigate the monetary transmission to bank credit risk. Interestingly, our findings also highlight a missing \"crowding–out of deposits\" effect amongst poorly efficient banks in the aftermath of the GFC. As a result, a trade-off arises between financial stability and increased funding liquidity for these financial intermediaries, making a special treatment required for inefficient banks operating in a low interest rate environment. These results challenge the implementation of uniform funding liquidity requirements across the euro area.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114072324","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 Response of the European Central Bank to the Current Pandemic Crisis: Monetary Policy and Prudential Banking Supervision Decisions","authors":"C. Gortsos","doi":"10.2139/ssrn.3650370","DOIUrl":"https://doi.org/10.2139/ssrn.3650370","url":null,"abstract":"Immediately after the outbreak of the current pandemic crisis, the EU developed a (rather) consistent strategy, by taking measures in order to deal with health emergency needs, support economic activity and employment, preserve monetary and financial stability and prepare the ground for recovery; these contain a combination of government fiscal stimuli (with extensive resort to the principle of solidarity), emergency liquidity and monetary policy measures and measures relating to financial stability. After briefly reviewing all these measures from a systematic point of view, the present article further analyses the role of the European Central Bank (ECB) during the first phase of this crisis, both in its capacity as a monetary authority within the Eurosystem and in its capacity as prudential banking supervisory authority within the Single Supervisory Mechanism (SSM), with particular emphasis on the treatment of non-performing loans (NPLs). Its specific contribution to financial macro-prudential oversight within European Systemic Risk Board (ESRB) is also highlighted.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115496964","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}