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Negative nominal rates 负名义利率
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-19 DOI: 10.1016/j.jfs.2025.101437
Julio Dávila , Elizaveta Lukmanova
{"title":"Negative nominal rates","authors":"Julio Dávila ,&nbsp;Elizaveta Lukmanova","doi":"10.1016/j.jfs.2025.101437","DOIUrl":"10.1016/j.jfs.2025.101437","url":null,"abstract":"<div><div>We show the possibility of negative nominal interest rates in a general equilibrium model with financial intermediation. We establish that the decentralization of the planner’s steady state requires a zero nominal lending rate on bank loans to firms, as well as a negative nominal lending rate on central bank loans to banks. We also find that implementing the planner’s steady state requires firms to be bound by collateral requirements that limit their leverage. The key driver of the results is the very defining characteristic of banking, namely banks’ ability to create money by opening deposit accounts that borrowers can withdraw from, and that are unbacked by household deposits. Our results can be used to rationalize the ultra-low rates policy implemented by major central banks in the second half of the 2010’s and early 2020’s.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101437"},"PeriodicalIF":6.1,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144702832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk shocks, due loans, and policy options: When less is more! 风险冲击、到期贷款和政策选择：当少即是多！
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-19 DOI: 10.1016/j.jfs.2025.101439
Paulo Júlio , José R. Maria , Sílvia Santos
{"title":"Risk shocks, due loans, and policy options: When less is more!","authors":"Paulo Júlio ,&nbsp;José R. Maria ,&nbsp;Sílvia Santos","doi":"10.1016/j.jfs.2025.101439","DOIUrl":"10.1016/j.jfs.2025.101439","url":null,"abstract":"<div><div>We employ a structural model endowed with a banking system in which assets of different qualities, occasionally binding credit restrictions, and regulatory requirements coexist, to analyze the effectiveness of various macroprudential policies that cope with the level of due loans in the economy. We analyze how policy designs influencing impairment recognition by banks affect output and welfare, both in the steady state and across business cycles driven by financial risk. The cost of managing due loans, credit constraints, dividend strategies, and the cure rate, are key components of the driveshaft propelling policies to outcomes. Our findings suggest that “less is more,” <em>i.e.</em> policies emphasizing greater leniency in impairment recognition outperform stricter approaches, when management costs are sufficiently low, especially when combined with high cure rates that enhance the benefits of delaying recognition. However, reducing penalties for banks that violate regulatory requirements proves largely ineffective and exacerbates incentives for non-compliance. The presence of binding credit constraints enhances the effectiveness of lenient impairment policies when management costs are low and diminishes it otherwise.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101439"},"PeriodicalIF":6.1,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144702823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Designing credit-spread driven macroprudential rules 设计信用利差驱动的宏观审慎规则
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-16 DOI: 10.1016/j.jfs.2025.101438
Pauline Gandré , Margarita Rubio
{"title":"Designing credit-spread driven macroprudential rules","authors":"Pauline Gandré ,&nbsp;Margarita Rubio","doi":"10.1016/j.jfs.2025.101438","DOIUrl":"10.1016/j.jfs.2025.101438","url":null,"abstract":"<div><div>Macroprudential policy is traditionally characterized by countercyclical rules that respond to credit variables. In this paper, we augment these rules with additional indicators, including the credit spread. First, we empirically assess the relevance of the credit spread by showing its correlation with credit booms. Then, we incorporate this variable into a Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions. Using the model, we evaluate the extent to which macroprudential measures that also respond to credit spreads can improve welfare, focusing on both a capital requirement ratio (CRR) rule and a loan-to-value ratio (LTV) rule. We find that credit spreads are particularly useful for credit supply-based measures, while borrower-based measures benefit more from an additional response to house prices. Overall, the augmented rules enhance welfare by reducing output volatility, although this comes at the cost of increased inflation volatility. Finally, we show that the welfare gains from responding to credit spreads are robust to the monetary policy stance in the case of the CRR, while for the LTV rule, they depend on the degree of monetary policy responsiveness to inflation.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101438"},"PeriodicalIF":6.1,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144655119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Real estate transaction taxes and credit supply 房地产交易税与信贷供给
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-14 DOI: 10.1016/j.jfs.2025.101436
M. Koetter , P. Marek , A. Mavropoulos
{"title":"Real estate transaction taxes and credit supply","authors":"M. Koetter ,&nbsp;P. Marek ,&nbsp;A. Mavropoulos","doi":"10.1016/j.jfs.2025.101436","DOIUrl":"10.1016/j.jfs.2025.101436","url":null,"abstract":"<div><div>We exploit staggered real estate transaction tax (RETT) hikes across German states to identify the effect on the growth rates of regional house prices and outstanding mortgage loans by all local German banks. The results show that a RETT hike by one percentage point reduces regional house prices by 3%–4%. Furthermore, IV-regressions yield that a 1 percentage point drop in regional house prices induced by a RETT increase leads to a 0.3% decline in regional mortgage lending, particularly among low-capitalized banks in rural regions.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101436"},"PeriodicalIF":6.1,"publicationDate":"2025-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144655120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dissecting capital flows: Do capital controls shield against foreign shocks? 剖析资本流动：资本管制能抵御外国冲击吗？
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-05 DOI: 10.1016/j.jfs.2025.101433
Kyongjun Kwak , Camilo Granados
{"title":"Dissecting capital flows: Do capital controls shield against foreign shocks?","authors":"Kyongjun Kwak ,&nbsp;Camilo Granados","doi":"10.1016/j.jfs.2025.101433","DOIUrl":"10.1016/j.jfs.2025.101433","url":null,"abstract":"<div><div>To rationalize the increased use of capital flows regulations in recent times, we study the capacity of capital flow management measures (CFMs) to insulate an economy from external shocks. We examine the extent to which CFMs mitigate the effects of US monetary shocks and whether measuring this mitigation at the net or gross level of flows matters. Our analysis is carried out for a panel of emerging market economies and for different disaggregations of the flows. Our results indicate that the level of aggregation matters for evaluating the effects of CFMs, and that analyses with excessively aggregated flows or with only net measures may lead to biases in assessing the insulation features of the CFMs. Furthermore, CFMs have insulation properties that mitigate capital repatriations; however, these are mostly related to risky portfolio and banking flows.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101433"},"PeriodicalIF":6.1,"publicationDate":"2025-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144596816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are listed banks riskier than private banks? 上市银行是否比私人银行风险更大？
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-07-03 DOI: 10.1016/j.jfs.2025.101435
Hamid Mehran , Ajay Patel , Nonna Sorokina
{"title":"Are listed banks riskier than private banks?","authors":"Hamid Mehran ,&nbsp;Ajay Patel ,&nbsp;Nonna Sorokina","doi":"10.1016/j.jfs.2025.101435","DOIUrl":"10.1016/j.jfs.2025.101435","url":null,"abstract":"<div><div>We shed light on the narrative that listing contributes to risk-taking by examining the risk characteristics of listed BHCs, small enough to be private, against a sample of comparable private BHCs, large enough to be listed, over the 1987–2019 period. We measure our proxies for risk characteristics over different intervals in the sample period to account for the effect of new regulations and variation in the intensity of information production by regulators, markets, and financial firms. We document that listed banks are riskier than private banks over the 22-year sample period. Examining the subperiods, we find that listed banks are riskier than private banks before the crisis, but they may not be as risky following the crisis. While risk increases for all banks during the crisis, the increase in risk for listed banks during the crisis is greater than that for private banks. Our findings are both statistically and economically significant and suggest that financial reforms and regulatory expectations facing banks post-crisis might have contributed to the risk reduction for listed banks relative to private banks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101435"},"PeriodicalIF":6.1,"publicationDate":"2025-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144596817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Systemic risk and oil price volatility shocks 系统性风险与油价波动冲击
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-06-28 DOI: 10.1016/j.jfs.2025.101432
Ioannis Chatziantoniou , Gonul Colak , Michail Filippidis , George Filis , Panagiotis Tzouvanas
{"title":"Systemic risk and oil price volatility shocks","authors":"Ioannis Chatziantoniou ,&nbsp;Gonul Colak ,&nbsp;Michail Filippidis ,&nbsp;George Filis ,&nbsp;Panagiotis Tzouvanas","doi":"10.1016/j.jfs.2025.101432","DOIUrl":"10.1016/j.jfs.2025.101432","url":null,"abstract":"<div><div>We examine the impact of different types of oil price volatility shocks on firm’s systemic risk using a large panel dataset of US firms. Oil price volatility shocks occur due to changes in supply or demand for oil, or through idiosyncratic fluctuations of oil prices. Our findings indicate that the supply-driven or idiosyncratic oil price volatility shocks reduce systemic risk, whereas demand-driven shocks have the opposite effect. Large-cap and high-beta firms amplify the impact of oil price volatility shocks on firms’ systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101432"},"PeriodicalIF":6.1,"publicationDate":"2025-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144522290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Rapid bank runs and delayed policy responses 银行挤兑迅速，政策反应迟缓
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-06-16 DOI: 10.1016/j.jfs.2025.101422
Ryuichiro Izumi , Yang Li
{"title":"Rapid bank runs and delayed policy responses","authors":"Ryuichiro Izumi ,&nbsp;Yang Li","doi":"10.1016/j.jfs.2025.101422","DOIUrl":"10.1016/j.jfs.2025.101422","url":null,"abstract":"<div><div>The 2023 banking turmoil highlighted how technological advancements have significantly accelerated the speed of bank runs. This paper investigates the impact of these faster bank runs on the effectiveness of policy interventions by interpreting them as a constraint on the relative speed of policy responses. Using a model of bank runs and ex-post policy responses, we examine how delays caused by this constraint affect financial fragility and welfare. We find that while delays exacerbate welfare loss by distorting allocations, they may also decrease fragility by making banks more cautious. We study the optimal level of structural delay, balancing the trade-off between distributional distortions and financial fragility. Furthermore, we extend this model to explore the roles of liquidity regulations and capital injections given such a delay. We show that regulation may be more desirable than a capital injection if the delay is substantial because the benefit of decreased fragility is particularly potent.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101422"},"PeriodicalIF":6.1,"publicationDate":"2025-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144307510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ESG performance and bond return volatility ESG绩效与债券回报波动性
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-06-13 DOI: 10.1016/j.jfs.2025.101434
Zehua Zhang , Ran Zhao , Lu Zhu , Trevor Chamberlain
{"title":"ESG performance and bond return volatility","authors":"Zehua Zhang ,&nbsp;Ran Zhao ,&nbsp;Lu Zhu ,&nbsp;Trevor Chamberlain","doi":"10.1016/j.jfs.2025.101434","DOIUrl":"10.1016/j.jfs.2025.101434","url":null,"abstract":"<div><div>This study examines the effects of environmental, social, and governance (ESG) performance on bond return volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond return volatility. The empirical results demonstrate that the impact on bond return volatility is primarily driven by ESG strengths rather than concerns. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with opportunistic managers and poor information environments.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101434"},"PeriodicalIF":6.1,"publicationDate":"2025-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144312527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Climate information disclosure quality and systemic risk in the U.S. banking industry 美国银行业气候信息披露质量与系统性风险
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-05-28 DOI: 10.1016/j.jfs.2025.101420
Zinan Hu, Sumuya Borjigin
{"title":"Climate information disclosure quality and systemic risk in the U.S. banking industry","authors":"Zinan Hu,&nbsp;Sumuya Borjigin","doi":"10.1016/j.jfs.2025.101420","DOIUrl":"10.1016/j.jfs.2025.101420","url":null,"abstract":"<div><div>Enhancing climate information disclosure quality in the banking sector improves transparency, reduces information asymmetry, and strengthens financial stability. We explore the effect of high-quality climate information disclosures, extracted from 271 U.S. banks’ annual reports from 2015 to 2024, on systemic risk. We use the deep learning model <span><math><mrow><mtext>C</mtext><mtext>LIMATE</mtext><mtext>B</mtext><mtext>ERT</mtext></mrow></math></span> to identify climate-related risk, neutral, and opportunity texts in U.S.-listed banks’ annual reports, focusing on their specificity. Based on these texts, and banks’ actual transition and physical risks, we construct a climate information disclosure quality index. This index includes non-symbolic and non-selective disclosures, measuring the transparency of banks’ climate disclosures. We find that improved climate disclosure quality reduces information asymmetry, mitigates market risk, and weakens systemic risk. Endogeneity tests and robustness checks support the findings. Increased investor attention amplifies the positive impact of climate disclosures. Finally, for financially unhealthy banks, the effect of enhanced disclosure quality is more significant.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101420"},"PeriodicalIF":6.1,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144184675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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