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Stress Tests of UK Banks Using a VAR Approach 使用VAR方法对英国银行进行压力测试
BOE: Working Paper Series (Topic) Pub Date : 2005-11-01 DOI: 10.2139/ssrn.872693
Glenn Hoggarth, S. Sørensen, Lea Zicchino
{"title":"Stress Tests of UK Banks Using a VAR Approach","authors":"Glenn Hoggarth, S. Sørensen, Lea Zicchino","doi":"10.2139/ssrn.872693","DOIUrl":"https://doi.org/10.2139/ssrn.872693","url":null,"abstract":"This paper adopts a new approach to stress testing the UK banking system. We attempt to account for the dynamics between banks' write-offs and key macroeconomic variables, through conditioning our stress test on the historical correlation between the variables and allowing for feedback effects from credit risk to the macroeconomy. In contrast to most existing empirical stress testing work, this paper uses a direct measure of banks' fragility - the write-off to loan ratio. We find that both UK banks' total and corporate write-offs are significantly related to deviations of output from potential. Following an adverse output shock, total and corporate write-off ratios increase. Mortgage arrears, on the other hand, appear to be mainly dependent on household income gearing. The results suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were repeated, the UK banking sector should remain robust.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126625593","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: 162
Comovements in the Prices of Securities Issued by Large Complex Financial Institutions 大型复杂金融机构发行的证券价格变动
BOE: Working Paper Series (Topic) Pub Date : 2005-03-01 DOI: 10.2139/ssrn.724062
Christian B. Hawkesby, I. Marsh, I. Stevens
{"title":"Comovements in the Prices of Securities Issued by Large Complex Financial Institutions","authors":"Christian B. Hawkesby, I. Marsh, I. Stevens","doi":"10.2139/ssrn.724062","DOIUrl":"https://doi.org/10.2139/ssrn.724062","url":null,"abstract":"In recent years, mergers, acquisitions and organic growth have meant that some of the largest and most complex financial groups have come to transcend national boundaries and traditionally defined business lines. As a result, they have become a potential channel for the cross-border and crossmarket transmission of financial shocks. This paper analyses the degree of comovement in the prices of securities issued by a selected group of large complex financial institutions (LCFIs), and assesses the extent to which movements in the prices of these securities are driven by common factors. A relatively high degree of commonality is found for most LCFIs (compared to a control group of nonfinancials), although there are still noticeable divisions between sub-groups of LCFIs, both according to geography and primary business-line.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122296903","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: 18
Decomposing Credit Spreads 分解信用利差
BOE: Working Paper Series (Topic) Pub Date : 2005-03-01 DOI: 10.2139/ssrn.724043
Rohan Churm, Nikolaos Panigirtzoglou
{"title":"Decomposing Credit Spreads","authors":"Rohan Churm, Nikolaos Panigirtzoglou","doi":"10.2139/ssrn.724043","DOIUrl":"https://doi.org/10.2139/ssrn.724043","url":null,"abstract":"This paper investigates the information contained in the yields of corporate debt securities using a structural credit risk model. As previous studies have found, credit risk is not the only factor that affects corporate yield spreads. The aim is to decompose credit spreads, using a structural model of credit risk, into credit and non-credit risk components. The contribution relative to the existing literature is the use of contemporaneous forward-looking information on equity risk premia and equity value uncertainty in a structural model. In particular, implied equity risk premia from a three-stage dividend discount model that incorporates analysts' long-term earnings forecasts are used, together with implied measures of equity value uncertainty from option prices. The paper examines the evolution of the different components of spreads across time as well as the effect of particular events. It also analyses the relationship between the derived components and other financial variables, such as swap spreads and the equity risk premium.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122897244","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: 18
Real-Time Gross Settlement and Hybrid Payment Systems: A Comparison 实时全额结算和混合支付系统:比较
BOE: Working Paper Series (Topic) Pub Date : 2005-03-01 DOI: 10.2139/ssrn.724042
Matthew Willison
{"title":"Real-Time Gross Settlement and Hybrid Payment Systems: A Comparison","authors":"Matthew Willison","doi":"10.2139/ssrn.724042","DOIUrl":"https://doi.org/10.2139/ssrn.724042","url":null,"abstract":"This paper contrasts Real-Time Gross Settlement and hybrid payment systems that are based on payment offset, using a two-period, multi-bank model. The comparison is performed according to two criteria: liquidity needs and speed of settlement. We assume that the existence of a payment is common knowledge but that the specific degree of time-criticality of a payment is the private information of the bank sending the payment. Hybrid payment systems are shown to outperform Real-Time Gross Settlement when payments are offset in the first period and when they are offset in both periods. This suggests that in a hybrid system, the offsetting facility should be in operation all day, or, at the very least, for some time after the system opens in the morning. A system in which the offsetting facility was only switched on late in the day would not necessarily be preferred to Real-Time Gross Settlement. These results are shown to be robust to changes in the transparency of the central queue of payments awaiting offset. However, this robustness may not hold with different forms of information asymmetry.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134314932","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: 43
The Stock Market and Capital Accumulation: An Application to UK Data 股票市场与资本积累:对英国数据的应用
BOE: Working Paper Series (Topic) Pub Date : 2005-02-01 DOI: 10.2139/ssrn.724024
Demetrios G. Eliades, Olaf Weeken
{"title":"The Stock Market and Capital Accumulation: An Application to UK Data","authors":"Demetrios G. Eliades, Olaf Weeken","doi":"10.2139/ssrn.724024","DOIUrl":"https://doi.org/10.2139/ssrn.724024","url":null,"abstract":"Because of the difficulty in measuring investment in intangible assets and frequent data revisions, estimates based on National Accounts investment data provide an imperfect measure of the capital stock. Following the influential work by Robert Hall for the United States, this paper provides an alternative measure of the UK capital stock based on asset prices. This market-based measure reflects the premise that in fair-valued financial markets the value of firms' securities reflects the value of their productive assets. In line with Hall's results for the United States, the paper suggests that for a range of adjustment costs, depreciation rates and starting values, market-based estimates of the UK capital stock have differed substantially from those based on National Accounts investment data. Despite some advantages over National Accounts based measures, market-based measures are likely to be more volatile, because financial markets' assessment of the value of intangible assets can potentially change rapidly. Nevertheless, they can be a useful cross-check of the National Accounts based measures of the UK capital stock.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128895774","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: 6
Non-Interest Income and Total Income Stability 非利息收入与总收入稳定性
BOE: Working Paper Series (Topic) Pub Date : 2003-08-01 DOI: 10.2139/ssrn.530687
Rosie Smith, C. Staikouras, G. Wood
{"title":"Non-Interest Income and Total Income Stability","authors":"Rosie Smith, C. Staikouras, G. Wood","doi":"10.2139/ssrn.530687","DOIUrl":"https://doi.org/10.2139/ssrn.530687","url":null,"abstract":"Banks can differ markedly in their sources of income. Some focus on business lending, some on household lending, and some on fee-earning activities. Increasingly, however, most banks are diversifying into fee-earning activities. Such diversification is either justified (by the bank) or welcomed (by commentators), or both, as reducing the bank's exposure to risk. Diversification across various sources of earnings is welcomed for, it is claimed, diversification reduces risk. Whether it does of course depends on how independent of each other the various earnings sources are. Traditionally fee income has been very stable; but, also traditionally, it has been a small part of the earnings stream of most banks. Has non-interest income remained stable, or at least uncorrelated with interest income, as banks have increased its importance in their earnings? This paper examines the variability of interest and non-interest income, and their correlation, for the banking systems of EU countries for the years 1994-98. It is found that the increased importance of non-interest income did, for most but not all categories of bank, stabilise profits in the European banking industry in those years. It is not, however, invariably more stable than interest income.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125283702","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: 177
Capital Flows to Emerging Markets 资本流向新兴市场
BOE: Working Paper Series (Topic) Pub Date : 2003-04-01 DOI: 10.2139/ssrn.425786
Adrian Penalver
{"title":"Capital Flows to Emerging Markets","authors":"Adrian Penalver","doi":"10.2139/ssrn.425786","DOIUrl":"https://doi.org/10.2139/ssrn.425786","url":null,"abstract":"Capital flows to emerging market economies have occurred in cycles, with booms in lending often followed by financial crises. Economic theory, though, has had little to say on the optimal rate at which capital should flow. In this paper a model due to Barro, Mankiw and Sala-i-Martin is extended to make it more appropriate for analysis of emerging market economies, and optimal capital flows based on an estimated Barro-style conditional convergence growth equation are calculated. Flows derived from the model are lower than actually observed over the estimation period (1988-97) but the results are sensitive to the parameters chosen.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116120661","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: 8
The Impact of Price Competitiveness on UK Producer Price Behaviour 价格竞争力对英国生产者价格行为的影响
BOE: Working Paper Series (Topic) Pub Date : 2003-03-01 DOI: 10.2139/ssrn.425761
Colin Ellis, S. Price
{"title":"The Impact of Price Competitiveness on UK Producer Price Behaviour","authors":"Colin Ellis, S. Price","doi":"10.2139/ssrn.425761","DOIUrl":"https://doi.org/10.2139/ssrn.425761","url":null,"abstract":"Modern open-economy macro models emphasise pricing-to-market behaviour. It is possible that domestic pricing behaviour might be affected by import (competitors') prices, and this is a commonly used variable in empirical work on pricing. But there is theoretical ambiguity and a potential identification problem. Cointegrating techniques are used in an attempt to resolve this, using the most appropriate data set (producer prices). Some evidence is found for the existence of two long-run relationships. The first of these is interpretable as a price mark-up or factor demand relationship, and competitors' prices can be excluded from it. The second equation can be interpreted as a long-run equilibrium price relationship equating domestic and foreign prices. This raises the possibility that single-equation estimates indicating a role for foreign prices in domestic price determination may mislead. However, the results are for producer prices and may not necessarily be extended to other indices.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130520044","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: 9
Regulatory and 'Economic' Solvency Standards for Internationally Active Banks 国际活跃银行的监管和“经济”偿付能力标准
BOE: Working Paper Series (Topic) Pub Date : 2002-08-01 DOI: 10.2139/ssrn.340520
P. Jackson, W. Perraudin, V. Saporta
{"title":"Regulatory and 'Economic' Solvency Standards for Internationally Active Banks","authors":"P. Jackson, W. Perraudin, V. Saporta","doi":"10.2139/ssrn.340520","DOIUrl":"https://doi.org/10.2139/ssrn.340520","url":null,"abstract":"As new compositions of matter, ethynyl-substituted aromatic 'peri' anhydrides. The compounds are useful as endcapping agents for thermally stable heterocyclic imide compositions.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123575053","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: 77
Money Market Operations and Volatility of UK Money Market Rates 货币市场操作和英国货币市场利率的波动
BOE: Working Paper Series (Topic) Pub Date : 2002-04-01 DOI: 10.2139/ssrn.392363
A. Vila
{"title":"Money Market Operations and Volatility of UK Money Market Rates","authors":"A. Vila","doi":"10.2139/ssrn.392363","DOIUrl":"https://doi.org/10.2139/ssrn.392363","url":null,"abstract":"The Bank of England implements UK monetary policy by influencing short-term interest rates in its money market operations. The way in which the Bank operates in the market has changed significantly over time, but the aim throughout has been to ensure that the behaviour of short-term interest rates is consistent with monetary policy decisions, whether made by the Chancellor of the Exchequer or, since 1997, by the Bank's own Monetary Policy Committee. Operational choices by the central bank, together with developments in the markets themselves, are likely to have affected the volatility of short-term interest rates. This article outlines various measures of volatility in sterling money markets.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"81 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123213219","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: 9
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