Journal of Financial Stability最新文献

Lending relationships and boom–bust cycles 贷款关系和盛衰周期

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-06 DOI: 10.1016/j.jfs.2026.101511

Vivek Sharma

引用次数: 0

Biases in investor-paid credit ratings 投资者支付信用评级的偏见

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-01-16 DOI: 10.1016/j.jfs.2026.101501

Jianfu Shen , Gaiyan Zhang , Zunxin Zheng

引用次数: 0

Optimal CBDC design: A model with two access mechanisms and the role of anonymity 最优CBDC设计：具有两种访问机制和匿名作用的模型

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-19 DOI: 10.1016/j.jfs.2026.101516

Julian A. Parra-Polania , Constanza Martinez-Ventura

{"title":"Optimal CBDC design: A model with two access mechanisms and the role of anonymity","authors":"Julian A. Parra-Polania , Constanza Martinez-Ventura","doi":"10.1016/j.jfs.2026.101516","DOIUrl":"10.1016/j.jfs.2026.101516","url":null,"abstract":"<div><div>This paper analyzes the optimal design of central bank digital currencies (CBDCs). To this end, we build a model in which households freely choose among four types of money — cash, deposits, and two forms of CBDC (account-based and token-based) differing in their degrees of anonymity and remuneration. Users are heterogeneous in their preferences for privacy and security, giving rise to trade-offs in CBDC design. We derive closed-form expressions for the optimal CBDC design parameters and characterize the resulting equilibrium. Our results show that when the central bank distributes both types of CBDC directly, it is optimal to set their remuneration to zero and differentiate them solely by their position along the anonymity-security spectrum. A higher value added from bank intermediation leads the central bank to design CBDCs with greater anonymity to limit deposit disintermediation. We also consider an alternative scenario where the account-based CBDC is managed by commercial banks and used for lending and find that only a modest degree of bank intermediation value is needed for this arrangement to improve welfare. Our findings provide policy-relevant insights into how to design and implement CBDCs that preserve financial stability while accommodating users’ heterogeneous preferences.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101516"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147398624","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

Enough liquidity with enough capital—and vice versa? 足够的流动性和足够的资本——反之亦然？

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-05 DOI: 10.1016/j.jfs.2026.101513

Hans Gersbach , Hans Haller , Sebastian Zelzner

引用次数: 0

Predictive multiplicity, procedural multiplicity, and heterogeneous machine learning ensembles in recovery rate forecasting 预测多重性、程序多重性和异构机器学习在采收率预测中的集成

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-05 DOI: 10.1016/j.jfs.2026.101510

Martin T. Hibbeln , Raphael M. Kopp , Noah Urban

{"title":"Predictive multiplicity, procedural multiplicity, and heterogeneous machine learning ensembles in recovery rate forecasting","authors":"Martin T. Hibbeln , Raphael M. Kopp , Noah Urban","doi":"10.1016/j.jfs.2026.101510","DOIUrl":"10.1016/j.jfs.2026.101510","url":null,"abstract":"<div><div>Machine learning (ML) could strengthen banks’ resilience through improved credit risk screening and ultimately benefit financial stability. Yet, ML adoption in banking remains limited, with simpler linear models still predominating. We argue that the emergence of highly flexible ML models has created a new challenge for forecasting tasks: ‘model multiplicity’—where equally accurate ML models at the aggregate level produce divergent individual-level predictions (‘predictive multiplicity’) or differ in their decision surfaces (‘procedural multiplicity’). These issues raise fundamental questions: Why should an individual or firm be subject to an adverse credit risk model outcome when there is an equally accurate model that treats them more favorably? Using the world’s largest loss database of corporate defaults, we examine these two phenomena in recovery rate (<em>RR</em>) modeling and propose heterogeneous ML ensembles as a natural solution. By combining predictions and decision surfaces from multiple well-performing ML models, ensembles mitigate risks associated with predictive multiplicity by ensuring that borrowers are not subject to the fluctuations of a single model, and reduce procedural multiplicity by providing a robust measure of features that ultimately improve out-of-sample <em>RR</em> predictions. By addressing the ‘multiplicity of good models’ problem, our study emphasizes the importance of model stability and provides new insights for the future development of ML models.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101510"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146174392","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

Learning, externality, and optimal financial regulation 学习、外部性与最优金融监管

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-17 DOI: 10.1016/j.jfs.2026.101517

Deepal Basak , Yunhui Zhao

{"title":"Learning, externality, and optimal financial regulation","authors":"Deepal Basak , Yunhui Zhao","doi":"10.1016/j.jfs.2026.101517","DOIUrl":"10.1016/j.jfs.2026.101517","url":null,"abstract":"<div><div>Periods of financial tranquility raise a fundamental regulatory dilemma: do they signal dangerous complacency or genuine resilience? We develop a dynamic model in which rational investors and policymakers learn over time about systemic fragility. Investors’ risk-taking creates an externality they fail to internalize, and learning amplifies this inefficiency. We derive an economically intuitive Sufficient Convexity Condition (SCC) that determines the optimal direction of macroprudential policy—to tighten if the “risk-taking effect” dominates, and to loosen if the “resilience effect” dominates, deviating from purely countercyclical rules. Our concrete economic example further shows that the SCC’s validity is an empirical question to be assessed on a case-by-case basis, varying across financial systems and asset classes. This challenges the prevailing view that prolonged stability always warrants more regulation. Our framework extends to environments with Markov-switching fundamentals and underscores the risk of misguided deregulation or overregulation. Our paper implies that policymakers should not only consider the cyclical indicators “on the surface” (for example, credit growth), but also closely examine the deep structural change of the resilience of the system. The paper also highlights the importance of delegating the macroprudential authority to independent agencies with technical expertise that allows them to gauge the underlying true resilience of the system.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101517"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147398627","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

Diversification or distortion? The role of ETFs in retail investor portfolios and performance 多元化还是扭曲？etf在散户投资者投资组合和业绩中的作用

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-18 DOI: 10.1016/j.jfs.2026.101514

Zheng Wu, P. Joakim Westerholm, Zhen Wang

引用次数: 0

Social capital and stock price crash risk: cross-country evidence 社会资本与股价崩盘风险：跨国证据

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-01-12 DOI: 10.1016/j.jfs.2026.101499

Chrysovalantis Gaganis , George N. Leledakis , Fotios Pasiouras , Emmanouil G. Pyrgiotakis

引用次数: 0

Banks’ stock market reaction to prudential policy announcements: The role of central bank independence and financial stability sentiment 银行股票市场对审慎政策公告的反应：央行独立性和金融稳定情绪的作用

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-13 DOI: 10.1016/j.jfs.2026.101512

Andreea Maura Bobiceanu , Simona Nistor , Steven Ongena

{"title":"Banks’ stock market reaction to prudential policy announcements: The role of central bank independence and financial stability sentiment","authors":"Andreea Maura Bobiceanu , Simona Nistor , Steven Ongena","doi":"10.1016/j.jfs.2026.101512","DOIUrl":"10.1016/j.jfs.2026.101512","url":null,"abstract":"<div><div>We leverage differences in central bank independence and financial stability sentiment across countries to investigate the variability in banks’ stock market reactions to prudential policy announcements during the COVID-19 crisis. Our findings reveal that the relaxation of both macro- and micro-prudential policies leads to negative cumulative abnormal returns (CARs), the reaction being attenuated in countries where the central bank is more independent or communicates deteriorations in financial stability. The CARs around the announcement dates are 0.75 percentage points (pp) and 6.89 pp higher for macro- and micro-prudential policy announcements, respectively, in countries with greater central bank independence compared to those with lesser independence. The difference is approximately 3.73 pp and 5.65 pp between banks located in countries where the central bank communicates a negative sentiment about financial stability, compared to those where a positive sentiment is conveyed. The positive impact of higher degrees of central bank independence and deteriorations in financial stability sentiment on bank market valuation is enhanced for smaller banks, as well as for banks in countries with greater fiscal flexibility and a higher prevalence of privately owned banks. (181 words)</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101512"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147398626","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

A safe pair of hands? Bank CEO career experience and acquisition performance 一双安全的手？银行CEO职业经历与收购绩效

IF 4.2 2区经济学

Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-01-16 DOI: 10.1016/j.jfs.2026.101500

Shaker Ahmed , Jens Hagendorff , Timothy King , Abhishek Srivastav

引用次数: 0