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Journal of Central Banking Theory and Practice最新文献

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Financial cycle − A critical analysis of the methodology for its identification 金融周期——对其识别方法的批判性分析
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-09-01 DOI: 10.2478/jcbtp-2021-0026
Łukasz Kurowski
{"title":"Financial cycle − A critical analysis of the methodology for its identification","authors":"Łukasz Kurowski","doi":"10.2478/jcbtp-2021-0026","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0026","url":null,"abstract":"Abstract While the legitimacy of the concept of the financial cycle (as distinct from the business cycle) in research and economic policy after the experience of the global financial crisis raises no concerns, the methodology for its application has become a subject of discussion. The purpose of this article is to indicate which research methods dominate in identifying a financial cycle and which methodological traps accompany them. The low level of critical perspective on the methods used to identify cycles often results in conclusions that have no economic justification and may result in erroneous decisions in economic policy and central bank practice. The case study carried out in the article confirms that the key elements in identifying a financial cycle are part of a long-term series covering at least two lengths of the financial cycle. In addition, because the results may be sensitive to the type of filter used, it is important not to rely on a single variable but rather to build indexes that take into account a number of them (including those obtained using filtration methods).","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41646232","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
Measuring Sovereign Credit Risk of the EU countries 欧盟国家主权信用风险测度
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-09-01 DOI: 10.2478/jcbtp-2021-0030
Vojtěch Siuda, Milan Szabo
{"title":"Measuring Sovereign Credit Risk of the EU countries","authors":"Vojtěch Siuda, Milan Szabo","doi":"10.2478/jcbtp-2021-0030","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0030","url":null,"abstract":"Abstract European countries have increased significantly their public debt since the Global Financial Crisis. The increasing trend and the high concentration of public debt in portfolios of financial institutions can lead to a financial turmoil we witnessed during the European Sovereign Debt Crisis. Financial stability authorities therefore look for models to measure the sovereign credit risk and develop“what-if”scenarios to assess a potential repercussion of a financial institution rescue or of an economic contraction on sovereign credit risk. The presented article introduces adjustments to the sovereign contingent claims analysis that is based on the Merton´s Credit Risk Model and the Black-Scholes option pricing techniques. The article proposes adjustments by introducing a new view on a stylised liability side of a central government balance sheet, seniority of its items, and a new proxy for risk measure of junior claims. We show reliable results using derived risk sensitivities for 20 EU countries with decent forward looking ability and propose potential stress-testing framework with an application for the Czech Republic.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49437690","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: 1
Resilience and Path Dependency: Income Distribution Effects of GDP in Colombia 弹性与路径依赖：哥伦比亚GDP的收入分配效应
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-20 DOI: 10.2139/ssrn.3936467
A. Aysan, Dilek Demirbas, Mustafa Disli, M. Parra
{"title":"Resilience and Path Dependency: Income Distribution Effects of GDP in Colombia","authors":"A. Aysan, Dilek Demirbas, Mustafa Disli, M. Parra","doi":"10.2139/ssrn.3936467","DOIUrl":"https://doi.org/10.2139/ssrn.3936467","url":null,"abstract":"Abstract This study examines the effect of GDP per capita on the Gini index, which measures income concentration, in Colombia. The methodology used is an econometric analysis of time series with data extracted from the Inter-American Development Bank and the World Bank. The econometric results suggest that, at least during the period studied here, there is no evidence that GDP per capita has been an explanatory variable of the behaviour of income distribution in Colombia. The results also align with the understanding that the problem of inequality in the distribution of income is not merely economic but concerns persistent matters such as political and historical issues.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49244807","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
A Segmented and Observable Yield Curve for Colombia 哥伦比亚的分段可观测产量曲线
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0019
Carlos Castro-Iragorri, Juan Felipe Peña, Cristhian Rodríguez
{"title":"A Segmented and Observable Yield Curve for Colombia","authors":"Carlos Castro-Iragorri, Juan Felipe Peña, Cristhian Rodríguez","doi":"10.2478/jcbtp-2021-0019","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0019","url":null,"abstract":"Abstract Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49380447","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
Specificities of the Monetary Transmission Mechanism within the Bulgarian Currency Board Framework: The first five years 保加利亚货币发行局框架内货币传导机制的特点:头五年
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0014
Martin N. Pazardjiev, Aleksandar Vasilev
{"title":"Specificities of the Monetary Transmission Mechanism within the Bulgarian Currency Board Framework: The first five years","authors":"Martin N. Pazardjiev, Aleksandar Vasilev","doi":"10.2478/jcbtp-2021-0014","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0014","url":null,"abstract":"Abstract This paper presents an overview of the channels of monetary transmission and their manifestation in Bulgaria – a country in a currency board arrangement – in the first five years after the introduction of the regime. The presence of such a mechanism of transmission requires some form of macroeconomic discretion. The latter is approximated here with dynamics in the single fiscal account present on the balance sheet of the currency board.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47926455","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
Does market competition affect all banks equally? Empirical evidence on Montenegro 市场竞争对所有银行的影响是否平等？关于黑山的经验证据
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0015
Nina Vujanović, N. Fabris
{"title":"Does market competition affect all banks equally? Empirical evidence on Montenegro","authors":"Nina Vujanović, N. Fabris","doi":"10.2478/jcbtp-2021-0015","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0015","url":null,"abstract":"Abstract Bank stability is an important aspect of financial stability, especially in bank-centric systems like that of Montenegro. Hence, it is important to analyse risks affecting stability of both the banking and financial system as a whole. Rising competition among banks could pose a challenge and possibly change the level of credit risk, especially if the banks are small in size. This can affect both credit risk and financial stability. Small-sized banks could be the ones to react less nimbly to a changing market structure than bigger banks with stable market shares. This study tries to answer whether competition affects credit risk in Montenegro and whether banks differing in size react differently. Panel data techniques were applied to eleven banks which account for over 90 percent of the banking sector. The results indicate that market concentration could be particularly harmful when it comes to credit risk of small-sized banks, while large-sized banks are less affected. Overall, the increasing competition may positively affect credit risk in Montenegro.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45144524","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
How Do Bank Capital and Capital Buffer Affect Risk: Empirical Evidence from Large US Commercial Banks 银行资本和资本缓冲如何影响风险——来自美国大型商业银行的经验证据
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0016
Faisal Abbas, Z. Younas
{"title":"How Do Bank Capital and Capital Buffer Affect Risk: Empirical Evidence from Large US Commercial Banks","authors":"Faisal Abbas, Z. Younas","doi":"10.2478/jcbtp-2021-0016","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0016","url":null,"abstract":"Abstract This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative impact on total risk. In addition, the results showed that the relationship between bank asset risk and bank capital, risk-based capital and a capital buffer is negative in pre, amid and post-crisis periods. The findings also reveal that the result of bank capital, risk-based capital and a capital buffer is not similar in case of well, adequately, under, significantly under, and critically undercapitalized banks. Our conclusions have numerous implications for policymakers and regulators in the banking sector.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42793882","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
A financial Stability Index for Jordan 约旦的金融稳定指数
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0018
Samer A. M. Al-Rjoub
{"title":"A financial Stability Index for Jordan","authors":"Samer A. M. Al-Rjoub","doi":"10.2478/jcbtp-2021-0018","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0018","url":null,"abstract":"Abstract Financial stability is an important part of the Central Bank of Jordan (CBJ) role in parallel with maintenance of monetary stability. The impact of the global financial crises from 2007-2009 and the economic slowdown has left the Jordanian banking sector in a generally weaker position than before. This paper constructs an index of financial stability of the Jordanian banking sector that will adequately reflects the effects of the crises in 2008-2009 and measure the resilience of the banking sector against negative shocks. The index is based on the aggregation of the fifteen announced soundness indicators into four main categories: (i) Capital Adequacy, (ii) Earnings and Profitability, and (iii) liquidity to build one aggregate composite index. Using two weighting schemes the Financial Stability Index (FSI) proved to be a good indicator of banking reactions to shocks and changing economic conditions. FSI is intuitively attractive as it could enable policy makers to better monitor the banking sector’s resilience to shocks and can help further in anticipating the sources and causes of financial stress to the system. The index of financial stability of the banking sector in Jordan shows that the banking system has been consciously resilient against shocks and negative economic conditions.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43512131","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
Analysis of the Impact of Macroeconomic Stability on the Level of Global Competitiveness of Western Balkan Countries 宏观经济稳定对西巴尔干国家全球竞争力水平的影响分析
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0012
N. Milović, Mijat Jocović, Nikola Martinović
{"title":"Analysis of the Impact of Macroeconomic Stability on the Level of Global Competitiveness of Western Balkan Countries","authors":"N. Milović, Mijat Jocović, Nikola Martinović","doi":"10.2478/jcbtp-2021-0012","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0012","url":null,"abstract":"Abstract Competitiveness, as a complex concept, can be observed in different ways, from the perspective of an individual, group, company and/or state. The subject of this paper deals with competitiveness of national economies observed through factor analysis, with a particular focus on the level of macroeconomic stability. Through the application of the Analytical-Hierarchical Process (AHP) method, special attention has been paid to the comparative ranking of Western Balkan countries. The ranking has been made in relation to macroeconomic stability and the positions of countries in the ranking of the World Economic Forum, based on the Global Competitiveness Index, for three defined periods of time. The paper identifies key factors that affect the competitiveness of Western Balkan countries. Research findings show that macroeconomic stability has a strong impact on the level of global competitiveness of national economies.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48755740","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
Profitability Determinants of Big European Banks 欧洲大型银行盈利能力的决定因素
IF 1.4
Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0013
V. Karadzic, Nikola Đalović
{"title":"Profitability Determinants of Big European Banks","authors":"V. Karadzic, Nikola Đalović","doi":"10.2478/jcbtp-2021-0013","DOIUrl":"https://doi.org/10.2478/jcbtp-2021-0013","url":null,"abstract":"Abstract The subject of research in this paper is the profitability of the biggest banks in the European financial market, some of which operate in Montenegro. The profitability of banks is influenced by a large number of factors, including internal banking and external macroeconomic factors. The aim of this paper is to use statistical and econometric methods to examine which factors and with what intensity affect the profitability of large banks in Europe. The empirical analysis used highly balanced panel models with annual data on 47 large banks from 14 European countries over the period 2013-2018. Three static panel models were estimated and evaluated (pooled ordinary least squares, model with fixed effects and model with random effects), as well as dynamic model utilizing general methods of moments. The POLS model was chosen as the best, confirming that all macroeconomic factors have a statistically significant impact on the profitability of big banks, while the impact of internal factors, which are controlled by the bank’s management, is not significant. GDP growth rate, inflation rate and market concentration have a positive effect on profitability, while the membership of the European Union has a negative impact on profit, meaning that banks with headquarters outside the EU are more profitable.","PeriodicalId":44101,"journal":{"name":"Journal of Central Banking Theory and Practice","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49003379","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
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