Econometric Modeling: Financial Markets Regulation eJournal最新文献

{"title":"Should Defaults Be Forgotten? Evidence from Variation in Removal of Negative Consumer Credit Information","authors":"M. Bos, L. Nakamura","doi":"10.2139/ssrn.2482407","DOIUrl":"https://doi.org/10.2139/ssrn.2482407","url":null,"abstract":"Practically all industrialized economies restrict the length of time that credit bureaus can retain borrowers’ negative credit information. There is, however, a large variation in the permitted retention times across countries. By exploiting a quasi-experimental variation in this retention time, we investigate what happens when negative information is deleted earlier from credit files. We find that the loss of information led banks to tighten their lending standards significantly as the expected retention time was diminished from on average three-and-a-half to three years exactly. Simultaneously, we find that borrowers who experience this shorter retention time default more frequently. Since borrowers nevertheless obtain more net access to credit and total defaults do not increase overall, we cannot rule out that this reduction in retention time is optimal.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116019458","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":"A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area","authors":"G. Mesters, B. Schwaab, S. J. Koopman","doi":"10.2139/ssrn.2456624","DOIUrl":"https://doi.org/10.2139/ssrn.2456624","url":null,"abstract":"We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as non-Gaussian variables that interact with latent dynamic factors, including the yield factors of level and slope. Yield developments during the financial and sovereign debt crises require the yield curve model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for the model parameters with a novel implementation of the importance sampling technique. We empirically investigate how the yields in Germany, France, Italy and Spain have been affected by monetary policy measures of the European Central Bank. We model the euro area interbank lending rate EONIA by a log-normal distribution and the bond market purchases within the ECB's Securities Markets Programme by a Poisson distribution. We find evidence that the bond market interventions had a direct and temporary effect on the yield curve lasting up to ten weeks, and find limited evidence that purchases changed the relationship between the EONIA rate and the term structure factors.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115270816","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":"Increased Auditor Independence by External Rotation and Separating Audit and Non Audit Duties? - A Note on the European Audit Regulation","authors":"Patrick Velte, Marc Eulerich","doi":"10.22495/JGR_V3_I2_P5","DOIUrl":"https://doi.org/10.22495/JGR_V3_I2_P5","url":null,"abstract":"The European audit reform contains the implementation of an external mandatory auditor rotation (audit firm rotation) and a separation of audit and non audit duties to increase auditor independence. The central question is, whether these regulation measures are connected with an increased accounting and audit quality. First, this article presents an agency theoretical foundation of auditor independence. Then, a state of the art analysis of empirical research illustrates these ambivalent results, so that the economic need for the audit market regulation in Europe is controversial.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"335 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131962684","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":"Costs of Bank Equity Offerings in Response to Strengthened Capital Regulation","authors":"Katsutoshi Shimizu, Peng Xu","doi":"10.2139/ssrn.2565278","DOIUrl":"https://doi.org/10.2139/ssrn.2565278","url":null,"abstract":"This paper studies bank new equity offerings in response to recently strengthened Basel capital regulation. Our empirical analyses investigate the determinants of issuing new equity and estimate its costs in sample selection model. The key finding is that weak capital base is one of the key driving forces of new issuance around the recently strengthened Basel regulation, though the banks were not capital deficient relative to the current regulatory minimum. In sharp contrast to the earlier studies, our empirical analyses provide supportive evidence for our penalty-aversion hypothesis. The Japanese bank managers recognize the inconveniences associated with the regulators' interventions and intend to shirk the costs of such restrictions on policies and actions when banks fail the regulatory requirements in the future.Consistently with this hypothesis, our empirical analyses also show that announcements of new equity issuance were associated with statistically significant negative abnormal returns. Bank equity offerings in response to strengthened regulation convey negative information on the risks of capital shortfall or associated costs of future interventions. Our results show that announcement returns associated with penalty-aversion issuing are greater than the returns associated with issuing for the repayment of governmental funds, the returns associated with timing-discretion issuing, or the returns associated with pure signaling issuing of the non-bank firm.Finally, we examine the determinants of adjusting capital ratio through asset contraction as well as recapitalization, using the estimated costs of recapitalization. Our results show that bank manager is more likely to choose the adjusting mean whose deviation from the industrial average is greater. However, the results imply that the issuing banks use the asset contraction complementally with recapitalization.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"171 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133720479","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":"A Primer on Regulatory Bank Capital Adjustments","authors":"Martien Lubberink","doi":"10.2139/ssrn.2305052","DOIUrl":"https://doi.org/10.2139/ssrn.2305052","url":null,"abstract":"To calculate regulatory capital ratios, banks have to apply adjustments to book equity. These regulatory adjustments vary with a bank’s solvency position. Low-solvency banks report values of Tier 1 capital that exceed book equity. They use regulatory adjustments to inflate regulatory solvency ratios such as the Tier 1 leverage ratio and the Tier 1 risk-based capital ratio. In contrast, highly solvent banks report Tier 1 capital that is lower than book equity. These banks adjust their solvency ratios downward for prudential reasons, despite their resilient solvency levels. These results weaken the case for regulatory adjustments. The decreasing relationship between regulatory adjustments and bank solvency reflects the cost of deleveraging, a cost that demonstrates the resistance of banks to substituting equity for debt.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117252266","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":"Government Bond Yield Volatility and It's Determinants: The Case of Indonesia Government Bond","authors":"Harjum Muharam","doi":"10.2139/ssrn.2366806","DOIUrl":"https://doi.org/10.2139/ssrn.2366806","url":null,"abstract":"This research is conducted from gaps of research findings regarding factors influencing government bond yield. The aim of this research is to develop a model of government bond yield determinants and to test hypothesis about the effect of inflation, foreign reserves, local interest rate, stock market return, exchange rate, foreign interest rate, world oil prices, real sector performance, and conditional variances on government bond yield. Time series process and multifactor models are employed. The model combines two approaches called Multifactor EGARCH-M Model. The population is Indonesian government bond, denominating in IDR and has a fixed coupon rate. The sample selected is five years tenor bond. The findings are: (1) Indonesia’s government bond yield has volatility clustering as measured by GARCH process; (2) based on adjusted R2, logL, Akaike Information Criterion (AIC) and Schwarz Criterion (SC), Multifactor EGARCH-M Model is the best model among six models developed; (3) as a proxy of market risk and default risk, GARCH-M has the biggest effect on its yield followed by non gold reserve; (4) the other variables having influences on government bond yields are: local interest rate, stock market return, exchange rate, foreign interest of rate, and world oil price. Inflation and real sector performance have no effect on government bond yields.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123821272","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":"Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach","authors":"Francisco Covas, Ben Rump, Egon Zakraǰsek","doi":"10.2139/ssrn.2347643","DOIUrl":"https://doi.org/10.2139/ssrn.2347643","url":null,"abstract":"We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we use a fixed effects quantile autoregressive (FE-QAR) model with exogenous macroeconomic covariates, an approach that delivers a superior out-of-sample forecasting performance relative to the standard linear framework. According to the out-of-sample forecasts, the realized net charge-offs during the 2007–09 crisis fall within the multi-step-ahead density forecasts implied by the FE-QAR model, but are frequently outside the density forecasts generated using the corresponding linear model. This difference reflects the fact that the linear specification substantially underestimates loan losses, especially for real estate loan portfolios. Employing the macroeconomic stress scenario used in CCAR 2012, we use the density forecasts generated by the FE-QAR model to simulate capital shortfalls for a panel of large BHCs. For almost all institutions in the sample, the FE-QAR model generates capital shortfalls that are considerably higher than those implied by its linear counterpart, which suggests that our approach has the potential to detect emerging vulnerabilities in the financial system.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114983673","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":"Collateral Optimization: Liquidity & Funding Value Adjustments, Best Practices","authors":"Benoît Genest, David Rego, Helene Freon","doi":"10.2139/ssrn.2578939","DOIUrl":"https://doi.org/10.2139/ssrn.2578939","url":null,"abstract":"The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications, i.e. best practices to manage quantitative aspects and handle these functions to the current Investment Banking organization. We considered two pillars to shape our vision of collateral optimization: 1. Collateral as a refinancing instrument. Collateral is shifting from a mere hedging instrument for counterparty risk to a strategic refinancing instrument. 2. Improve asymmetric collateral quality and profitability. Recent requirements on collateralization highly impact collateral management through the increase in haircuts and funding of good-quality collateral. As a result, more and more banks are considering their net collateral balance as a KPI, i.e. monitoring their net collateral balance position and identifying the need in cash funding or transforming. We built our approach on three key standards: • In most cases, banks should prioritize the reception of cash and delivery of securities, what we call “Asymmetric Collateral Management”. - This implies banks have to capitalize on their valuation functions to boost profitability of the net collateral balance and take advantage of pricing conditions (e.g. for CSA Discounting, precise valuation and pricing of LVA/FVA). • Regarding Management of Non-Cash Collateral, banks should focus on - Optimization of the cash-circuit to manage the various levers of Non-Cash Collateral Transformation into Cash (repo market, central bank loans, re-hypothecation of received non-cash collateral as collateral for other deals). - Management of the collateral quality (both received and delivered), to source and receive high quality collateral and deliver lower quality collateral (Cheapest-To-Deliver Collateral Management). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e.g. sale in case of default, use of re-hypothecation). Being unable to deliver good quality collateral can be seen as a negative sign for the counterparty’s financial health. We will further study the Collateral Offer Services of top financial institutions, providing specific expertise and a tailor-made approach to the new challenges of Collateral Management.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"238 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124615043","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":"External Risk Measures and Basel Accords","authors":"S. Kou, X. Peng, C. Heyde","doi":"10.2139/ssrn.2055634","DOIUrl":"https://doi.org/10.2139/ssrn.2055634","url":null,"abstract":"Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accords, which use value-at-risk with scenario analysis as the risk measures for setting capital requirements. We argue that a good external risk measure should be robust with respect to model misspecification and small changes in the data. A new class of data-based risk measures called natural risk statistics is proposed to incorporate robustness. Natural risk statistics are characterized by a new set of axioms. They include the Basel II and III risk measures and a subclass of robust risk measures as special cases; therefore, they provide a theoretical framework for understanding and, if necessary, extending the Basel Accords.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126841684","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 Policy Decisions on Global Liquidity During the Recent Financial Crisis","authors":"Sait Satiroglu, Emrah Sener, Michael Shafer, Yildiray Yildirim","doi":"10.2139/ssrn.2562487","DOIUrl":"https://doi.org/10.2139/ssrn.2562487","url":null,"abstract":"The collapse of the recent housing price bubble precipitated the 2007–2008 financial crisis and caused international funding liquidity to dry up. We investigate how economic policies undertaken by the Federal Reserve and U.S. Treasury around the crisis impacted global liquidity by examining the covered interest rate parity (CIRP) condition. We find that swap lines orchestrated by the Fed, stress test announcements, asset purchase programs, and other economic policy and news events significantly impacted CIRP violations. Our findings indicate that policies undertaken during the crisis helped relieve market frictions in foreign exchange markets and that the impact of these policies differed for developed and emerging markets. Copyright © 2015 John Wiley & Sons, Ltd.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128221531","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}