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The interplay between quantitative easing, risk and competition: The case of Japanese banking 量化宽松、风险与竞争的相互作用:以日本银行业为例
Financial Markets, Institutions and Instruments Pub Date : 2018-01-19 DOI: 10.1111/fmii.12092
Emmanuel C. Mamatzakis, Anh N. Vu
{"title":"The interplay between quantitative easing, risk and competition: The case of Japanese banking","authors":"Emmanuel C. Mamatzakis,&nbsp;Anh N. Vu","doi":"10.1111/fmii.12092","DOIUrl":"10.1111/fmii.12092","url":null,"abstract":"<p>The Japanese economy is infamous for the magnitude of bank nonperforming loans that have originated back in the 1990s, whereas they are still causing controversies. Japan is also known for an extended quantitative easing programme of unprecedented scale. Yet the links between risk-taking activities, quantitative easing and bank competition are largely unexplored. This paper employs, for the first time, the Boone indicator to measure bank competition in Japan to examine these underlying linkages. Given the scale of nonperforming loans, we explicitly measure bank risk-taking based on a new data set of bankrupt and restructured loans. The dynamic panel threshold and panel Vector Autoregression analyses show that enhancing quantitative easing and competition would reduce bankrupt and restructured loans, but it would negatively affect financial stability. Given the recent adoption of negative rates in January 2016 by the Bank of Japan, our study provides new insights as clearly there is a trade-off between quantitative easing and financial stability beyond a certain threshold. Caution, therefore, regarding further scaling up quantitative easing is warranted.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 1","pages":"3-46"},"PeriodicalIF":0.0,"publicationDate":"2018-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12092","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132933017","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
Does political pressure matter in bank lending? Evidence from China 政治压力对银行贷款有影响吗?来自中国的证据
Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12089
Weixing Cai, Fangming Xu, Cheng Zeng
{"title":"Does political pressure matter in bank lending? Evidence from China","authors":"Weixing Cai,&nbsp;Fangming Xu,&nbsp;Cheng Zeng","doi":"10.1111/fmii.12089","DOIUrl":"https://doi.org/10.1111/fmii.12089","url":null,"abstract":"<p>Using provincial data from China between 2002 and 2011, we find substantial evidence indicating a positive association between the growth of bank loans issued by commercial banks and the political pressures faced by provincial leaders. This association is particularly true for state-owned banks, which are much more politically pressurized than others, but is relatively attenuated in provinces with a more developed banking sector. We also find that bank loans issued under greater political pressures are less commercially oriented and have lower quality. Our findings are robust to a variety of sensitivity analyses and alternative measures of political pressure. Overall, our study contribute to a growing literature emphasizing the role of the political incentives of government officials in fuelling economic growth through credit allocation.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"249-277"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12089","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109166824","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
The rise of China's securitization market 中国证券化市场的兴起
Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12090
Ya Tang, Daixi Chen, Jing Chen, Jianguo Xu
{"title":"The rise of China's securitization market","authors":"Ya Tang,&nbsp;Daixi Chen,&nbsp;Jing Chen,&nbsp;Jianguo Xu","doi":"10.1111/fmii.12090","DOIUrl":"https://doi.org/10.1111/fmii.12090","url":null,"abstract":"We study the development of asset securitization markets in China. We manually collect all asset securitization projects and securities data from 2005 to 2015. Inspection of this sample combined with related policy changes reveals distinct characteristics and some potential problems. At the macro level, asset securitization market in China is policy driven, regulation-segmented, and highly illiquid. At the micro level, the underlying assets are mainly corporate loans or assets, rather than mortgage or consumption loans as in the US and European markets. State owned commercial banks and enterprises enjoy significantly lower interest rates when issuing securitization bonds. Finally, risk-isolation and credit enhancing techniques significantly improve the rating of asset-backed securities.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"279-294"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109166825","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: 10
Do multinational banks create or destroy shareholder value? A cross-country analysis 跨国银行是创造还是破坏股东价值?跨国分析
Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12091
Mohamed Azzim Gulamhussen, Carlos Manuel Pinheiro, Alberto Franco Pozzolo
{"title":"Do multinational banks create or destroy shareholder value? A cross-country analysis","authors":"Mohamed Azzim Gulamhussen,&nbsp;Carlos Manuel Pinheiro,&nbsp;Alberto Franco Pozzolo","doi":"10.1111/fmii.12091","DOIUrl":"10.1111/fmii.12091","url":null,"abstract":"<p>We question whether the international diversification of multinational banks creates or destroys shareholder value. Based on a sample of 384 listed banks from 56 countries we provide new and robust evidence that bank cross-border activities create shareholder value, as shown by an economically and statistically significant premium for international diversification. Our results are confirmed controlling for bank fixed effects, time-varying bank characteristics, reverse causality, functional diversification, and instrumenting for the choice to expand abroad. The increase in shareholder value is slightly larger for banks in the middle range of international diversification and in the case of expansion towards less developed countries.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"295-313"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87498200","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: 10
Too big to fail: Measures, remedies, and consequences for efficiency and stability* 太大而不能倒:效率和稳定的措施、补救措施和后果*
Financial Markets, Institutions and Instruments Pub Date : 2017-10-12 DOI: 10.1111/fmii.12083
James R. Barth, Clas Wihlborg
{"title":"Too big to fail: Measures, remedies, and consequences for efficiency and stability*","authors":"James R. Barth,&nbsp;Clas Wihlborg","doi":"10.1111/fmii.12083","DOIUrl":"https://doi.org/10.1111/fmii.12083","url":null,"abstract":"<p>This paper evaluates whether reform efforts addressing “too big to fail” actually enhance the stability of the financial system, and whether trade-offs exist between stability and efficiency. We also present and discuss various measures of bank size and complexity since such measures are essential for implementing appropriate corrective remedies. As we will show, there are no unambiguous measures of size or complexity that can fully capture a bank's contribution to systemic risk. Their effects on efficiency are also impossible to capture with certainty. While we recognize the need for additional research and empirical evidence, we do identify weaknesses and strengths of proposed and implemented reforms that could have consequences for bank stability and efficiency.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 4","pages":"175-245"},"PeriodicalIF":0.0,"publicationDate":"2017-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12083","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109170336","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
Managerial gaming of stock and option grants 股票和期权授予的管理博弈
Financial Markets, Institutions and Instruments Pub Date : 2017-07-14 DOI: 10.1111/fmii.12081
Yisong S. Tian
{"title":"Managerial gaming of stock and option grants","authors":"Yisong S. Tian","doi":"10.1111/fmii.12081","DOIUrl":"https://doi.org/10.1111/fmii.12081","url":null,"abstract":"<p>In this paper, we examine managerial gaming of different types of equity grants, both at the initial award of the equity grants (<i>front-end gaming</i>) and the unwinding of the equity holdings in the future (<i>back-end gaming</i>). We find that the potential gains from stock price manipulation vary substantially across different types of equity grants. While traditional stock option grants are less vulnerable to front-end gaming, they are more vulnerable to back-end gaming than other types of equity grants (e.g., restricted stock grants). To prevent or discourage managerial gaming, firms should preset all terms of the equity grant in advance and link its future payoff to average stock prices (e.g., by granting Asian stock options).</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 3","pages":"127-152"},"PeriodicalIF":0.0,"publicationDate":"2017-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12081","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168775","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: 3
Survive the droughts, I wish you well: Principles and cases of liquidity risk management 渡过干旱，祝你好运:流动性风险管理原则与案例
Financial Markets, Institutions and Instruments Pub Date : 2017-07-14 DOI: 10.1111/fmii.12082
Bruce Tuckman
{"title":"Survive the droughts, I wish you well: Principles and cases of liquidity risk management","authors":"Bruce Tuckman","doi":"10.1111/fmii.12082","DOIUrl":"https://doi.org/10.1111/fmii.12082","url":null,"abstract":"<p>Short-term, liquid assets are highly valued by lenders, but pose liquidity risk management challenges to borrowers. Basic principles to meet those challenges are to conduct liquidity stress scenario analysis; to form business plans for each stress scenario; to hold enough capital to sustain the planned, post-shock balance sheet; and to hold a large enough liquidity reserve to survive the transition from the pre- to the post-shock balance sheet. Historical failures, like Northern Rock, Bear Stearns, and MF Global have a lot to teach about implementing these principles. While regulatory frameworks constrain liquidity positions, they are no substitute for firm-specific liquidity risk management.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 3","pages":"153-172"},"PeriodicalIF":0.0,"publicationDate":"2017-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12082","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168776","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
Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models? 债券-股票收益差异模型比高市盈率模型更能预测股市回调吗?
Financial Markets, Institutions and Instruments Pub Date : 2017-04-12 DOI: 10.1111/fmii.12080
Sébastien Lleo, William T. Ziemba
{"title":"Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?","authors":"Sébastien Lleo,&nbsp;William T. Ziemba","doi":"10.1111/fmii.12080","DOIUrl":"https://doi.org/10.1111/fmii.12080","url":null,"abstract":"<p>We extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a statistical significance test for crash prediction models. Finally, we propose a definition and a measure of robustness for these models. We apply our statistical test and measure the robustness of selected model specifications of the Price-Earnings (P/E) ratio and Bond Stock Earning Yield Differential (BSEYD) measures. This analysis shows that the BSEYD and P/E ratios, were statistically significant robust predictors of corrections on the US equity market over the period 1964 to 2014.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 2","pages":"61-123"},"PeriodicalIF":0.0,"publicationDate":"2017-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109169798","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
Development and Functioning of FX Markets in Asia and the Pacific 亚洲及太平洋地区外汇市场的发展和运作
Financial Markets, Institutions and Instruments Pub Date : 2017-01-09 DOI: 10.1111/fmii.12079
Richard M. Levich, Frank Packer
{"title":"Development and Functioning of FX Markets in Asia and the Pacific","authors":"Richard M. Levich,&nbsp;Frank Packer","doi":"10.1111/fmii.12079","DOIUrl":"10.1111/fmii.12079","url":null,"abstract":"<p>Global foreign exchange (FX) trading volume in traditional FX products and derivatives in Asia and the Pacific has expanded rapidly over the last fifteen years, more so than in other regions. Asian currencies also have experienced exceptional growth in offshore turnover, including non-deliverable forwards (NDFs). Trading activity on this scale spread across many countries and currencies underscores the need for a well-functioning infrastructure and exceptional risk management processes. While settlement risks are mitigated for the vast majority of turnover through systems like CLS Bank, the Asia Pacific region would benefit by having more countries and currencies become CLS enabled or tradable under other Payment versus payment (PVP) systems. Though less pronounced than during the global financial crisis, FX markets in the region experienced added turbulence during the “taper tantrum” period of 2013. High turnover currencies tended to depreciate more after taper announcements; though volatility rose more sharply in currencies with low turnover. The FX market is a prominent venue for carry trades that are subject to crash risk. While there is some evidence of herding behavior exacerbating this risk over the past decade, the measures calibrated more recently do not suggest exceptional crowding into carry trades ahead of the “taper tantrum” in 2013. At the same time, our measures of crowdedness for the carry trade show considerable variation over time. Making crowdedness measures publicly available might be advisable.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 1","pages":"3-58"},"PeriodicalIF":0.0,"publicationDate":"2017-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12079","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75716939","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
How Accurately Can Z-score Predict Bank Failure? z分数预测银行倒闭有多准确?
Financial Markets, Institutions and Instruments Pub Date : 2016-11-14 DOI: 10.1111/fmii.12077
Laura Chiaramonte, (Frank) Hong Liu, Federica Poli, Mingming Zhou
{"title":"How Accurately Can Z-score Predict Bank Failure?","authors":"Laura Chiaramonte,&nbsp;(Frank) Hong Liu,&nbsp;Federica Poli,&nbsp;Mingming Zhou","doi":"10.1111/fmii.12077","DOIUrl":"https://doi.org/10.1111/fmii.12077","url":null,"abstract":"<p>Bank risk is not directly observable, so empirical research relies on indirect measures. We evaluate how well Z-score, the widely used accounting-based measure of bank distance to default, can predict bank failure. Using the U.S. commercial banks’ data from 2004 to 2012, we find that on average, Z-score can predict 76% of bank failure, and additional set of other bank- and macro-level variables do not increase this predictability level. We also find that the prediction power of Z-score to predict bank default remains stable within the three-year forward window.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 5","pages":"333-360"},"PeriodicalIF":0.0,"publicationDate":"2016-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12077","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91889077","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: 54
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