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

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Bank Relationships, Earnings Quality and Cost of Debt: Cross-Country Evidence on Private Firms 银行关系、盈余质量和债务成本:私营企业的跨国证据
ERN: Banking & Monetary Policy (Topic) Pub Date : 2019-04-01 DOI: 10.2139/ssrn.3498335
Jochen Bigus, C. Hillebrand, Aline Grahn
{"title":"Bank Relationships, Earnings Quality and Cost of Debt: Cross-Country Evidence on Private Firms","authors":"Jochen Bigus, C. Hillebrand, Aline Grahn","doi":"10.2139/ssrn.3498335","DOIUrl":"https://doi.org/10.2139/ssrn.3498335","url":null,"abstract":"We expect that private firms choose a close relationship with a bank – often based on private information – in order to save on direct or proprietary costs of disclosure. For a large sample of bank relationships in 12 European countries, we find evidence that close bank relationships are associated with lower earnings quality as measured by higher absolute discretionary accruals and less timely loss recognition. This effect is stronger for firms with high proprietary costs. Further, we find that the strength of creditor rights intensifies the link between close bank relationships and earnings quality, while tax-book conformity moderates it. Finally, we show that close bank relationships directly tend to decrease the borrowing firms’ cost of debt by about 40 basis points on average. Indirectly, the cost of debt increase, because relationship lending goes along with lower earnings quality and relationship banks charge higher interest rates for poorer earnings quality than do other lenders. The findings suggest that relationship lending and financial disclosures can be considered as substitutes and that this relation is affected by the institutional framework. The paper also highlights that relationship lending implies a direct negative and an indirect positive effect on the borrowing firm’s cost of debt.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122934981","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
Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular 基于交易持续时间模型的私有信息检验:以大众银行为例
ERN: Banking & Monetary Policy (Topic) Pub Date : 2019-04-01 DOI: 10.2139/ssrn.3377446
Jorge Pérez Rodríguez, E. Gómez–Déniz, S. Sosvilla‐Rivero
{"title":"Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular","authors":"Jorge Pérez Rodríguez, E. Gómez–Déniz, S. Sosvilla‐Rivero","doi":"10.2139/ssrn.3377446","DOIUrl":"https://doi.org/10.2139/ssrn.3377446","url":null,"abstract":"In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of private information in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133382026","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 Role of Deposit Guarantee Schemes (DGSS) in Resolution Financing 存款担保计划(DGSS)在处置融资中的作用
ERN: Banking & Monetary Policy (Topic) Pub Date : 2019-03-28 DOI: 10.2139/ssrn.3361750
C. Gortsos
{"title":"The Role of Deposit Guarantee Schemes (DGSS) in Resolution Financing","authors":"C. Gortsos","doi":"10.2139/ssrn.3361750","DOIUrl":"https://doi.org/10.2139/ssrn.3361750","url":null,"abstract":"Even though the primary function of deposit guarantee schemes (DGSs) is to serve as ‘paybox’ for bank depositors, provide protection to retail depositors, act as a buffer in the event of a banking crisis and contribute to safeguarding the stability of the banking system, DGSs’ financial means may also be used in order to contribute to the financing of bank resolution, where the conditions for resolution are met. The main focus of the present study, structured in four Sections, is to discuss the existing EU rules governing the role of national DGSs in resolution financing under the Deposit Guarantee Schemes Directive (DGSD) and the Bank Recovery and Resolution Directive of the European Parliament and of the Council (BRRD). The role of the European Deposit Insurance Scheme (EDIS) and the Deposit Insurance Fund (DIF) (only for the Member States participating in the Single Supervisory Mechanism (SSM)) in resolution financing on the basis of the Commission’s (still pending) proposal for a Regulation is also briefly presented. Finally, the study addresses the existing asymmetries in the overall structure of the current and the upcoming system of EU banking law pertaining to the ‘contribution to resolution financing’ function of DGSs, and concludes with a modest proposal to overcome them.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129838463","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
Karl Brunner and U.K. Monetary Debate 卡尔·布鲁纳与英国货币政策之争
ERN: Banking & Monetary Policy (Topic) Pub Date : 2019-02-01 DOI: 10.2139/ssrn.3256826
Edward Nelson
{"title":"Karl Brunner and U.K. Monetary Debate","authors":"Edward Nelson","doi":"10.2139/ssrn.3256826","DOIUrl":"https://doi.org/10.2139/ssrn.3256826","url":null,"abstract":"Although he was based in the United States, leading monetarist Karl Brunner participated in debates in the United Kingdom on monetary analysis and policy from the 1960s to the 1980s. During the 1960s, his participation in the debates was limited to research papers, but in the 1970s, as monetarism attracted national attention, Brunner made contributions to U.K. media discussions. In the pre-1979 period, he was highly critical of the U.K. authorities? nonmonetary approach to the analysis and control of inflation-an approach supported by leading U.K. Keynesians. In the early 1980s, Brunner had direct interaction with Prime Minister Margaret Thatcher on issues relating to monetary control and monetary strategy. He was unsuccessful in persuading her to use the monetary base-instead of a short-term interest rate-as the instrument for implementing monetary policy. However, following his interventions, the U.K. authorities during the 1980s assigned weight to the monetary b ase as an indicator and target of monetary policy. Brunner?s imprint on U.K. monetary policy has also been felt in the twenty-first century. Brunner?s analysis, with Allan Meltzer, of the monetary transmission mechanism helped provide the basis for the policy of quantitative easing followed by the Bank of England.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134394167","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
Tree Networks to Assess Financial Contagion 评估金融传染的树网络
ERN: Banking & Monetary Policy (Topic) Pub Date : 2019-01-28 DOI: 10.2139/ssrn.3325317
D. Ahelegbey, Paolo Giudici
{"title":"Tree Networks to Assess Financial Contagion","authors":"D. Ahelegbey, Paolo Giudici","doi":"10.2139/ssrn.3325317","DOIUrl":"https://doi.org/10.2139/ssrn.3325317","url":null,"abstract":"We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels. The model is effectively applied to a database containing time series of daily CDS spreads of major European financial institutions (banks and insurance companies), and reveals the importance monitoring both channels to assess financial contagion. The empirical application revealed evidence of a high inter-country and inter-institutional vulnerability at the onset of the global financial crisis in 2008 and during the sovereign crisis in 2011. The result further identifies Belgium and France as central to the inter-country contagion in the Euro area during the financial crisis, while Italy dominated during the sovereign crisis. The French corporates Groupama, Credit Industriel and Caisse d'Epargne were central in the inter-institutional contagion in both crises.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114296940","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: 20
Simulating Financial Contagion Dynamics in Random Interbank Networks 随机银行间网络金融传染动力学模拟
ERN: Banking & Monetary Policy (Topic) Pub Date : 2018-12-24 DOI: 10.2139/ssrn.3243061
J. Leventides, K. Loukaki, V. Papavassiliou
{"title":"Simulating Financial Contagion Dynamics in Random Interbank Networks","authors":"J. Leventides, K. Loukaki, V. Papavassiliou","doi":"10.2139/ssrn.3243061","DOIUrl":"https://doi.org/10.2139/ssrn.3243061","url":null,"abstract":"The purpose of this study is to assess the resilience of financial systems to exogenous shocks using techniques drawn from the theory of complex networks. We investigate by means of Monte Carlo simulations the fragility of several network topologies using a simple default model of contagion applied on interbank networks of varying sizes. We trigger a series of banking crises by exogenously failing each bank in the system and observe the propagation mechanisms that take effect within the system under different scenarios. Finally, we add to the existing literature by analyzing the interplay of several crucial drivers of interbank contagion, such as network topology, leverage, interconnectedness, heterogeneity and homogeneity across bank sizes and interbank exposures.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124431435","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: 26
Do Central Banks‘ repo Transactions and Liquidity Infusions Increase Financial Stability Risks? A Case for Circular Monetary Economics 央行回购交易和流动性注入会增加金融稳定风险吗?循环货币经济学的案例
ERN: Banking & Monetary Policy (Topic) Pub Date : 2018-12-19 DOI: 10.2139/ssrn.3677529
H. Kouam
{"title":"Do Central Banks‘ repo Transactions and Liquidity Infusions Increase Financial Stability Risks? A Case for Circular Monetary Economics","authors":"H. Kouam","doi":"10.2139/ssrn.3677529","DOIUrl":"https://doi.org/10.2139/ssrn.3677529","url":null,"abstract":"Central banks repo market operations and liquidity infusions occasion a structural liquidity mismatch in bank balance sheets and increase the dependence on central bank liquidity. This paper argues for what I term “Circular Monetary Economics”, an approach to monetary policy that seeks to green and prudentially insulate the design and implementation of liquidity and credit facilities. Circular monetary economics will lessen the probability of cross-asset contamination within financial institutions and contagion within the broader financial system, whilst simultaneously improving the transmissions from changes in the policy rate as well as macro-prudential regimes in the event of a climate or credit-driven financial shock.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130318804","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
Bank Funding and Risk Taking 银行融资和风险承担
ERN: Banking & Monetary Policy (Topic) Pub Date : 2018-11-08 DOI: 10.2139/ssrn.3281077
A. Ferrari, Carmen García Galindo, Matic Petriček, Andreas Winkler
{"title":"Bank Funding and Risk Taking","authors":"A. Ferrari, Carmen García Galindo, Matic Petriček, Andreas Winkler","doi":"10.2139/ssrn.3281077","DOIUrl":"https://doi.org/10.2139/ssrn.3281077","url":null,"abstract":"In this paper we use a novel approach to address issues of endogeneity in estimating a causal effect of leverage on risk taking by banks. Using data on local bank office deposits and local unemployment we construct an instrument to use in a regression of leverage on a measure of risk taking constructed from new issuance of loans. The results confirm that banks increase their risk taking after an exogenous increase in leverage.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134623462","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
Do Banks Compete on Non-Price Terms? Evidence from Loan Covenants 银行在非价格条件下竞争吗?贷款契约的证据
ERN: Banking & Monetary Policy (Topic) Pub Date : 2018-11-05 DOI: 10.2139/ssrn.3278993
Rustam Abuzov, Christoph Herpfer, R. Steri
{"title":"Do Banks Compete on Non-Price Terms? Evidence from Loan Covenants","authors":"Rustam Abuzov, Christoph Herpfer, R. Steri","doi":"10.2139/ssrn.3278993","DOIUrl":"https://doi.org/10.2139/ssrn.3278993","url":null,"abstract":"We investigate the link between competition in credit markets and non-price loan terms, specifically financial covenants. We exploit regulation in the leveraged loan market as variation in banks' ability to offer covenant-lite loans. As regulated banks demand relatively more covenants, borrowers switch to unregulated lenders, or shadow banks, leading to a decline in aggregate banks' market share. Results are not driven by lower loan supply or changes in other loan terms, and reflect a relation between lax covenants and loan growth in the broader lending market. Our findings encourage regulators to internalize non-price competition between regulated and unregulated sectors.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125758332","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
Taxation and Financial Intermediation: Evidence from a Quasi-Natural Experiment 税收与金融中介:来自准自然实验的证据
ERN: Banking & Monetary Policy (Topic) Pub Date : 2018-10-25 DOI: 10.2139/ssrn.3076839
S. Banerji, Dimitris K. Chronopoulos, A. Sobiech, John O. S. Wilson
{"title":"Taxation and Financial Intermediation: Evidence from a Quasi-Natural Experiment","authors":"S. Banerji, Dimitris K. Chronopoulos, A. Sobiech, John O. S. Wilson","doi":"10.2139/ssrn.3076839","DOIUrl":"https://doi.org/10.2139/ssrn.3076839","url":null,"abstract":"In this study, we investigate the impact of taxes on bank loan supply, loan and deposit pricing, and the monitoring effort of banks. Using the exogenous variation of tax imposed on gross profits of Japanese banks operating in Tokyo (known as the Tokyo bank tax), we find that affected banks increase both net interest margins, and net interest and fee margins. Depositors are most affected by adjustments to interest and fee rates at banks following the imposition of the tax. The imposition of the Tokyo bank tax also reduces the credit supply of affected banks relative to non-affected counterparts. Moreover, banks subject to the Tokyo bank tax appear to reduce effort devoted to the monitoring of existing borrowers.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129172117","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: 11
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