Econometric Modeling: Financial Markets Regulation eJournal最新文献

{"title":"Trading Fees and Intermarket Competition","authors":"Marios A. Panayides, B. Rindi, Ingrid M. Werner","doi":"10.2139/ssrn.2910438","DOIUrl":"https://doi.org/10.2139/ssrn.2910438","url":null,"abstract":"We model an order book with liquidity rebates (make fees) and trading fees (take fees) that faces intermarket competition, and use the model's insights to explain changes in market quality and market shares following changes in make-take fees. As predicted by our model, we document that fee changes by one venue affect market quality and market shares for all venues that compete for order flow. Furthermore, we document cross-sectional differences in changes in market quality and market shares following a simultaneous decrease in both make and take fees consistent with traders in large (small) capitalization stocks being more sensitive to the change in make (take) fees.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123357371","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":"Credit Default Swaps: Does the Traded Volume Influence Research Interest?","authors":"Karin Martín-Bujack, M. T. Corzo, Isabel Figuerola‐Ferretti","doi":"10.2139/ssrn.2906363","DOIUrl":"https://doi.org/10.2139/ssrn.2906363","url":null,"abstract":"The 21st century witnessed an extraordinary boom in the CDS market. The increased popularity of CDS instruments as investment and hedging vehicles has seen a parallel development in the CDS research literature. This paper exploits the results of a search on title textual analysis to explore interactions between CDS aggregate trading volumes and the number of CDS research articles. We find significant evidence of co-movement over the 2001-2010 period which is illustrated by means of a cointegration and informational leadership analysis. We additionally document the effects of the 2010 Dodd Frank Act reforms in the level of trading activity. While there is a decreasing trend in volumes traded over the second sample period, the level of research interest remains significant. We contend that the academic literature aims to contribute to the regulation policy debate involving position limits in the CDS market.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124502474","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":"Timescale Betas and the Cross Section of Equity Returns: Framework, Application, and Implication for Interpreting the Fama-French Factors","authors":"Byoung Uk Kang, F. In, T. Kim","doi":"10.2139/ssrn.2034331","DOIUrl":"https://doi.org/10.2139/ssrn.2034331","url":null,"abstract":"We show that standard beta pricing models quantify an asset’s systematic risk as a weighted combination of a number of different timescale betas. Given this, we develop a wavelet-based framework that examines the cross-sectional pricing implications of isolating these timescale betas. An empirical application to the Fama–French model reveals that the model’s well-known empirical success is largely due to the beta components associated with a timescale just short of a business cycle (i.e., wavelet scale 3). This implies that any viable explanation for the success of the Fama–French model that has been applied to the Fama–French factors should apply particularly to the scale 3 components of the factors. We find that a risk-based explanation conforms closely to this implication.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121152208","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 Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements","authors":"F. Anfuso, Daniel Aziz, Paul Giltinan, Klearchos Loukopoulos","doi":"10.2139/ssrn.2716279","DOIUrl":"https://doi.org/10.2139/ssrn.2716279","url":null,"abstract":"The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul Giltinan and Klearchos Loukopoulos propose in the following a simple and consistent framework, equally applicable to non-cleared and cleared portfolios, to develop and backtest forecasting models for Initial Margin.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132543266","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":"Agency Conflicts, Bank Capital Regulation and Accounting Measurement","authors":"Tong Lu, H. Sapra, Ajay Subramanian","doi":"10.2139/ssrn.2885895","DOIUrl":"https://doi.org/10.2139/ssrn.2885895","url":null,"abstract":"We develop a model to show how shareholder-creditor agency conflicts interact with accounting measurement rules to influence the design of bank capital regulation. Relative to a benchmark autarkic regime, higher capital requirements mitigate inefficient asset substitution, but exacerbate underinvestment due to debt overhang. The optimal regulatory policy balances the distortions created by underinvestment and asset substitution, while also incorporating the excess cost of equity relative to debt financing for banks. The optimal regulatory policy can be implemented using historical cost accounting for low values of the excess cost of equity. For intermediate levels of the excess cost of equity, fair value accounting is necessary for regulation to optimally respond to interim performance signals by imposing higher capital requirements that mitigate asset substitution. If the excess cost of equity is sufficiently high, however, the optimal regulatory policy features forbearance by permitting asset substitution to mitigate underinvestment. Overall, our results highlight the importance of accounting measurement in influencing the design of bank regulation through the implementation of capital requirements.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125981349","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 Bank Lending Channel of Conventional and Unconventional Monetary Policy","authors":"Ugo Albertazzi, A. Nobili, F. Signoretti","doi":"10.2139/ssrn.2934235","DOIUrl":"https://doi.org/10.2139/ssrn.2934235","url":null,"abstract":"Using a new monthly dataset on bank-level lending rates, we study the transmission of conventional and unconventional monetary policy in the euro area via shifts in the supply of credit. We find that a bank lending channel is operational for both types of measures, though its functioning differs: for standard operations the transmission is weaker for banks with more capital and a more solid funding structure, in line with an important role of asymmetric information. However, in response to non-standard measures lending supply expands by more at banks with stronger capital and funding positions, suggesting a crucial role for regulatory and economic constraints. We also find that the transmission of unconventional measures is attenuated by their negative effect on future bank’s capital position via the net interest income (reverse bank capital channel). Finally, we find that large sovereign exposures mute the response of lending rates to conventional policy, but amplify the transmission of unconventional measures.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129434195","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":"Aggregate Liquidity and Banking Sector Fragility","authors":"Mark Mink","doi":"10.2139/ssrn.2877683","DOIUrl":"https://doi.org/10.2139/ssrn.2877683","url":null,"abstract":"As compared to non-banks, banks adopt relatively fragile balance sheet structures characterized by leverage, maturity mismatch, and asset diversification. This paper offers a new potential explanation for this observation, within a model where banks face lower aggregate (funding) liquidity risk than non-banks. This single difference between both provides banks with an incentive to adopt fragile balance sheets, even in the absence of tax distortions, moral hazard, or a special role for banks as liquidity providers. The model implies that banks engage in pro-cyclical risk-taking, are vulnerable to contagion, and will resist regulatory equity and liquidity requirements, while non-banks do not.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"88 31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121282176","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":"Do New Capital Requirements Make Loans More Expensive? An Empirical Study for the Colombian Banking System","authors":"Nydia Remolina","doi":"10.2139/ssrn.2861607","DOIUrl":"https://doi.org/10.2139/ssrn.2861607","url":null,"abstract":"After the financial crisis Basel III Committee recommended new capital ratio regulations for the banking system. Colombian regulators adopted some of these recommendations in 2012 through the Decree 1771 of 2012, particularly regarding capital requirements applicable to banks. Some scholars claim that additional capital requirements – as the ones recommended by Basel III – make loans more expensive and also affect the expansion of lending. However, some other scholars dispute this statement. This paper tests both hypotheses relying in Colombian banks data and the results of an econometric analysis based on Differences in Differences (DID) methodology. On one hand, a model confirms the hypothesis about the correlation between capital requirements and rates of loans in Colombia. On the other hand, another model confirms the hypothesis about the correlation between capital requirements and volumes of loans in Colombia. Both models analyze data from a time series from 2006 to 2015. Part of the data was collected from the Superintendency of Financial Institutions and includes 25 banks, which represent the entire population. Some other data – the control variables – was collected from National Department of Statistics and World Bank’s database for Colombia.The conclusions provided in this paper are relevant for the Colombian financial regulator since the 2016 Colombian Unit of Financial Regulation’s agenda has the evaluation of the implementation of Basel III capital adequacy requirements as a priority. The regulator will prepare by the end of this year a document regarding this matter. Moreover, Colombia – as other emerging economies – currently faces significant financing necessities. The government pursues very ambitious goals in financial inclusion and infrastructure in the medium and long term. Regarding financial inclusion, the government expects to expand the lending activity performed by banks and concerning infrastructure; the government plans to develop huge highways across the country. The role of the banking system, as lender, in both projects is key. Therefore, this paper is relevant for the policy discussion within the Colombian financial industry. Additionally, this paper analyzes the differences between the financial system’s structure that motivated Basel III recommendations and Colombian banking system. This study will allow regulators and policy makers to measure the impact of these recommendations after being applied to underdeveloped banking systems structures. Finally, the Basel Committee is currently undertaking an ambitious revision of the Basel III recommendations. So far, the discussion focuses on the Risk Weighted Assets (RWA). New provisions regarding RWA, necessarily, will affect the capital ratios because banks will have to improve their capital in order to maintain the required ratios. The global banking industry is greatly concerned about the potential additional tightening of capital requirements due to the conservative","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121994858","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":"Politics, Credit Allocation and Bank Capital Requirements","authors":"A. Thakor","doi":"10.2139/ssrn.2910011","DOIUrl":"https://doi.org/10.2139/ssrn.2910011","url":null,"abstract":"I develop a theory of political influence on bank lending and capital structure. The idea is that legislators may want to direct bank credit to politically-favored loans that reduce bank shareholder wealth, but generate social and/or political benefits. The regulator, who implements the laws passed by legislators, uses both asset-choice regulation and capital requirements to induce this lending. There are four main results. First, the enacting of credit-allocation regulation should be accompanied by higher capital requirements. Second, when credit-allocation regulation is adopted, political or regulatory hubris in misestimating the bank’s valuation of its lending alternatives can generate “hidden” banking fragility. Third, when politics weighs more heavily in bank regulation, the result is a larger (and more competitive) banking sector with higher capital requirements. Fourth, political influence on bank credit allocation is likely to be stronger when banks are more profitable.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128213064","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":"Decentralized Clearing in Financial Networks","authors":"P. Csóka, P. Herings","doi":"10.2139/ssrn.2726569","DOIUrl":"https://doi.org/10.2139/ssrn.2726569","url":null,"abstract":"We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents' assets might be insufficient to satisfy their liabilities leading to defaults. We assume the primitives to be denoted in some unit of account. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed. We present a convenient representation of bankruptcy rules. A clearing payment matrix is a payment matrix consistent with the prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Both clearing payment matrices and the corresponding values of equity are not uniquely determined. We provide bounds on the possible levels equity can take. We analyze decentralized clearing processes and show the convergence of any such process in finitely many steps to the least clearing payment matrix. When the unit of account is sufficiently small, all decentralized clearing processes lead essentially to the same value of equity as a centralized clearing procedure. As a policy implication, it is not necessary to collect and process all the sensitive data of all the agents simultaneously and run a centralized clearing procedure.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127688506","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}