Monetary Economics: International Financial Flows最新文献

{"title":"What Went Wrong?: The Puerto Rican Debt Crisis, the 'Treasury Put,' and the Failure of Market Discipline","authors":"Robert S. Chirinko, R. Chiu, Shaina Henderson","doi":"10.2139/ssrn.3357135","DOIUrl":"https://doi.org/10.2139/ssrn.3357135","url":null,"abstract":"What went wrong? Why did seemingly rational bond investors continue to purchase Puerto Rican debt with only a modest risk premium, even though the macroeconomic fundamentals were dismal? Why did financial markets fail to exercise market discipline and restrict capital flows to Puerto Rico? Given gloomy macroeconomic fundamentals and relatively low risk premia, investors were either stunningly myopic/misinformed, or Puerto Rican debt was implicitly insured by the U.S. government. This paper examines the latter hypothesis, which we label the “Treasury Put.” The expectation of a federal bailout was perfectly reasonable given past behavior by the federal government, starting with the prior bailout of the city of New York. Evaluating the Treasury Put hypothesis with a minimal set of assumptions is possible given three unique features – the dire fiscal and economic conditions in Puerto Rico, a fortunate characteristic of Puerto Rican bond issuance, and a “seismic shock.” Regarding the second feature, Puerto Rico issued both uninsured and insured general obligation bonds on the same day and, in many cases, with the exact same maturity. The associated bond price data allow for an accurate computation of the risk premia on Puerto Rican bonds. The third feature is the non-bailout of the city of Detroit in 2013 that effectively extinguished the Treasury Put. Puerto Rican risk premia were stable before the Detroit bankruptcy and bracketed by the risk premia on Corporate Aaa and Baa bonds. However, after the Detroit bankruptcy, risk premia rose dramatically, thus identifying a sizeable Treasury Put of at least 300 basis points and a significant misallocation of capital to Puerto Rico. In effect, the Treasury Put was a form of regulatory forbearance. Institutional reforms that would eliminate the Treasury Put are considered, but none are found satisfactory.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129401115","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 Persistence of Investment Inefficiencies: The Dynamics of Default and Endogenous Leverage","authors":"Theofanis Papamichalis, D. Tsomocos, Nikolaos Romanidis","doi":"10.2139/ssrn.3949091","DOIUrl":"https://doi.org/10.2139/ssrn.3949091","url":null,"abstract":"We propose a tractable framework that incorporates endogenous default in a continuous time setting and assesses the interaction of default and leverage. In our heterogeneous agent model, productive experts face leverage constraints and aggregate risk, borrow from less productive households and choose whether to default. We establish a positive correlation between default and borrowing costs, hence a positive default premium. Moreover, increased default lowers experts’ capital holdings and suppresses investment, thus resulting into constrained inefficient equilibria. Finally, we show how, in the presence of leverage constraints, lower penalties can considerably decrease the time the economy spends in the inefficient region.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"25 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130699383","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":"Pandemic Waves, Government Response, and Bank Stock Returns: Evidence from 36 Countries","authors":"Stephan Bales, Hans-Peter Burghof","doi":"10.2139/ssrn.3886541","DOIUrl":"https://doi.org/10.2139/ssrn.3886541","url":null,"abstract":"PurposeThe paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies for 36 countries. Moreover, the authors look at the governments' responses to the corona crisis and examine its impact on bank stock returns.Design/methodology/approachThe paper applies continuous wavelet transformation to obtain robust estimates of the co-movement (coherency) between confirmed cases and bank stock returns over time and at different time scales. Furthermore, the authors apply fixed effects panel regression to examine the response of bank stocks to domestic COVID-19 policies.FindingsThe results indicate that the number of confirmed COVID-19 cases negatively impacts bank stock returns during different waves of the pandemic in the medium-run. However, there is only little dependence in the very short-run. Moreover, bank stock returns positively react to domestic COVID-19 polices. This demonstrates that governmental interventions not only reduce the spread of COVID-19 but are also able to thereby calm financial markets.Originality/valueThe application of wavelet methods to the field of economics and finance is relatively recent and allows the distinction between short-term and long-term effects. Standard econometric methods, in contrast, only operate within the time domain. This paper combines wavelet methods with conventional econometrics to answer the research question.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131982820","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 Simple and Consistent Credit Risk Model for Basel II/III, IFRS 9 and Stress Testing when Loan Data History is Short","authors":"B. Engelmann","doi":"10.2139/ssrn.3926176","DOIUrl":"https://doi.org/10.2139/ssrn.3926176","url":null,"abstract":"In the current regulatory environment, banks are required to quantify credit risk by means of default probabilities, loss rates conditional on default and expected exposures for a number of purposes: Regulatory capital calculation, loan loss provisioning and stress testing. The nature of each credit risk parameter might be different for each application, e.g., forward looking default probabilities are needed for loan loss provisioning while regulatory capital is based on long-term averages. Those different requirements for each purpose create a substantial burden especially for small and medium-sized banks. This article describes a simple framework that allows the consistent calculation of credit risk parameters for all risk applications. It assumes that a bank is using a scorecard based on loan-level data where the data history might only span a couple of years. This data is combined with a macroeconomic model in a suitable way to derive risk parameters compliant with all regulatory requirements.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132435088","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":"Leverage Constraints and Bank Monitoring: Bank Regulation versus Monetary Policy","authors":"F. Böser, H. Gersbach","doi":"10.2139/ssrn.3877234","DOIUrl":"https://doi.org/10.2139/ssrn.3877234","url":null,"abstract":"Bank leverage constraints can emerge from regulatory capital requirements as well as from central bank collateral requirements in reserve lending facilities. While these two channels are usually examined separately, we are able to compare them with the help of a bank money creation model in which central bank reserves have to be acquired to settle interbank liabilities. In particular, we show that with regard to bank monitoring, monetary policy via collateral requirements leads to a unique collateral leverage channel, which cannot be replicated by standard capital requirements. Through this channel, banks can expand loan supply and deposit issuance when they face liquidity constraints, by raising the collateral value of their loans with tighter monitoring of firms. The collateral leverage channel can improve welfare beyond standard bank capital regulation. Our results may inform current policy debates, such as the design of central bank collateral frameworks or the question whether monetary policy remains effective in times with large central bank reserves.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"203 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123043787","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":"An Index of Cryptocurrency Environmental Attention (ICEA)","authors":"Yizhi Wang, Brian Lucey, S. Vigne, L. Yarovaya","doi":"10.2139/ssrn.3866535","DOIUrl":"https://doi.org/10.2139/ssrn.3866535","url":null,"abstract":"Purpose(1) A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains regarding how environmental attention and public concerns adversely affect cryptocurrency prices. Therefore, the paper aims to introduce the index of cryptocurrency environmental attention (ICEA), which aims to capture the relative extent of media discussions surrounding the environmental impact of cryptocurrencies. (2) The impacts of cryptocurrency environmental attention on long-term macro-financial markets and economic development remain part of undeveloped research fields. Based on these factors, the paper will further examine the effects of the ICEA on financial markets or economic developments.Design/methodology/approach(1) The paper introduces a new index to capture cryptocurrency environmental attention in terms of the cryptocurrency response to major related events through gathering a large amount of news stories around cryptocurrency environmental concerns – i.e. >778.2 million news items from the LexisNexis News & Business database, which can be considered as Big Data – and analysing that rich dataset using variety of quantitative techniques. (2) The vector error correction model (VECM) and structural VECM (SVECM) [impulse response function (IRF), forecast error variance decomposition (FEVD) and historical decomposition (HD)] are useful for characterising the dynamic relationships between ICEA and aggregate economic activities.Findings(1) The paper has developed a new measure of attention to sustainability concerns of cryptocurrency markets' growth, ICEA. (2) ICEA has a significantly positive relationship with the UCRY indices, volatility index (VIX), Brent crude oil (BCO) and Bitcoin. (3) ICEA has a significantly negative relationship with the global economic policy uncertainty (GlobalEPU) and global temperature uncertainty (GTU). Moreover, ICEA has a significantly positive relationship with the industrial production (IP) in the short term, whilst having a significantly negative relationship in the long term. (4) The HD of the ICEA displays higher linkages between environmental attention, Bitcoin and UCRY indices around key events that significantly change the prices of digital assets.Research limitations/implicationsThe ICEA is significant in the analysis of whether cryptocurrency markets are sustainable regarding energy consumption requirements and negative contributions to climate change. Understanding of the broader impacts of cryptocurrency environmental concerns on cryptocurrency market volatility, uncertainty and environmental sustainability should be considered and developed. Moreover, the paper aims to point out future research and policy legislation directions. Notably, the paper poses the question of how cryptocurrency can be made more sustainable and environmentally friendly and how governments' cryptocurrency policies can address the crypto","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128562318","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":"Liquidity Regulation and Bank Lending","authors":"Foly Ananou, Dimitris K. Chronopoulos, Amine Tarazi, John O. S. Wilson","doi":"10.2139/ssrn.3560215","DOIUrl":"https://doi.org/10.2139/ssrn.3560215","url":null,"abstract":"Bank liquidity shortages during the global financial crisis of 2007-2009 led to the introduction of liquidity regulations, the impact of which has attracted the attention of academics and policymakers. In this paper, we investigate the impact of liquidity regulation on bank lending. As a setting, we use the Netherlands, where a Liquidity Balance Rule (LBR) was introduced in 2003. The LBR was imposed on Dutch banks only and did not apply to other banks operating elsewhere within the Eurozone. Using this differential regulatory treatment to overcome identification concerns, we investigate whether there is a causal link from liquidity regulation to the lending activities of banks. Using a difference-indifferences approach, we find that stricter liquidity requirements following the implementation of the LBR did not reduce lending. However, the LBR did lead Dutch banks to modify the structure of loan portfolios by increasing corporate lending and reducing mortgage lending. During this period Dutch banks experienced a significant increase in deposits and issued more equity. Overall, the findings of this study have relevance for policymakers tasked with monitoring the impact of post-crisis liquidity regulations on bank behavior.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114400786","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 Good, the Bad, and the not-so Ugly of Credit Booms: Capital Allocation and Financial Constraints","authors":"M. Braun, Francisco Marcet, C. Raddatz","doi":"10.2139/ssrn.3868620","DOIUrl":"https://doi.org/10.2139/ssrn.3868620","url":null,"abstract":"We provide international empirical evidence that periods of rapid expansion in credit — credit booms — lead to a tradeoff between a relaxation of financial constraints and a worsening of capital allocation. This tradeoff is stronger across small, financially constrained, and more innovative firms, as well as for firms in less tangible industries. In advanced economies the misallocation effect is stronger than the relaxation of financial constraints, and the opposite is true among emerging markets. Credit booms with larger capital misallocation are associated with a higher probability of experiencing a banking crisis and with poor economic and financial performance after the boom.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"2 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132094937","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":"Dollar Liquidity, Trade Invoicing, and Real Effects: Evidence from India","authors":"Apoorva Javadekar, Gautham Udupa, Shekhar Tomar","doi":"10.2139/ssrn.3806450","DOIUrl":"https://doi.org/10.2139/ssrn.3806450","url":null,"abstract":"We provide causal evidence on the linkage between dollar liquidity and dollar invoicing exploiting an unanticipated shock to the dollar financing around the Taper Tantrum. Using the differential funding shock across countries, we test the impact of dollar liquidity on invoicing and imports by Indian firms using transaction-level data. We find that (i) firm-level dollar invoicing drops in response to dollar funding shock with corresponding rise in Euro and producer currency pricing, (ii) local presence of foreign banks allows Indian firms to smooth-out the liquidity shock, and (iii) firms transfer liquidity from one market to another using their internal capital markets to smooth-out country specific funding shocks. We document that firms unable to maintain the level of dollar invoicing are more likely to lose a trade connection.<br>","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129247765","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":"Fickle Emerging Market Flows, Stable Euros, and the Dollar Risk Factor","authors":"Martijn Adriaan Boermans, J. Burger","doi":"10.2139/ssrn.3801705","DOIUrl":"https://doi.org/10.2139/ssrn.3801705","url":null,"abstract":"Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight. Instead, we find differentiation across emerging market bonds based on currency denomination and issuer-level risk factors. First, euro area investors exhibit a strong home currency bias that manifests itself both as a cross-sectional preference and in the form of relatively stable flows to Euro-denominated bonds over time. Second, volatile flows to USD and local-currency denominated bonds are most robustly related to fluctuations in the broad dollar exchange rate. Attempts to explain the dollar factor yield modest evidence for a balance sheet mechanism, and, consistent with a broader risk appetite channel, we find flows to bonds with lower credit ratings and higher yield spreads are more sensitive to USD fluctuations.","PeriodicalId":446247,"journal":{"name":"Monetary Economics: International Financial Flows","volume":"41 21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128490612","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}