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Projected operating efficiencies, credit ratings and the creation of debt capacity 预计的运营效率、信用评级和债务能力的创造
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-09-17 DOI: 10.1016/j.jfs.2025.101469
Ahmad K. Ismail, Assem Safieddine
{"title":"Projected operating efficiencies, credit ratings and the creation of debt capacity","authors":"Ahmad K. Ismail,&nbsp;Assem Safieddine","doi":"10.1016/j.jfs.2025.101469","DOIUrl":"10.1016/j.jfs.2025.101469","url":null,"abstract":"<div><div>We investigate how operating synergies from mergers and acquisitions (M&amp;A) influence the acquiring firm’s debt capacity, credit ratings, and market valuation. Our analysis incorporates credit rating quality, revealing that investment-grade acquirers predominantly drive the positive relationship between synergy forecasts and debt issuance. This pattern reflects reduced information asymmetry and strengthens lender confidence. Further, we find that while increased debt issuance generally pressures credit ratings downward, this effect is reversed for high-credit-quality firms with credible synergy forecasts, allowing them to improve their ratings post-merger. Market reactions align with these findings, demonstrating more favorable abnormal returns for deals with high synergy projections that boost debt capacity. Robustness checks, including sample selection correction and alternative leverage measures, confirm the robustness and stability of these results. Our study highlights the critical role of credible synergy forecasts and credit quality in shaping financing strategies and market perceptions in the M&amp;A context.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"81 ","pages":"Article 101469"},"PeriodicalIF":4.2,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145118588","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
Output floors in setting bank capital requirements 设定银行资本要求的产出下限
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-09-03 DOI: 10.1016/j.jfs.2025.101459
Adrian POP, Diana POP
{"title":"Output floors in setting bank capital requirements","authors":"Adrian POP,&nbsp;Diana POP","doi":"10.1016/j.jfs.2025.101459","DOIUrl":"10.1016/j.jfs.2025.101459","url":null,"abstract":"<div><div>We examine various implementation issues related to the calibration of output floors in setting minimum bank capital requirements under the finalized version of the Basel III capital accord. The main <em>raison d’être</em> of output floors is to limit the capital savings enjoyed by large banks due to regulatory arbitrage under the internal model paradigm. We consider regulatory arbitrage through the bank’s incentive to optimize its grading system in order to lower as much as possible the capital requirement given the structure of its asset portfolio in terms of internal ratings and default probabilities. Based on a fictional portfolio of SME loans observed over a full business cycle, we conduct a counterfactual analysis in order to compare the effect of the output floor implemented with respect to two benchmarks: (<em>i</em>) a standardized approach calibrated from credit ratings assigned by external rating agencies, as proposed in the finalized version of the Basel III capital accord; and (<em>ii</em>) an alternative, more granular, and comprehensive standardized approach benchmark, based on an external grading system that mimics the in-house credit assessment systems used by certain national central banks. Our results show that a more granular, risk-sensitive, benchmark is likely to reduce the effect of the output floor on the minimum capital requirement. We also reveal that output floors exhibit a <em>countercyclical</em> pattern, which is an interesting feature of the mechanism from a macroprudential point of view.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"81 ","pages":"Article 101459"},"PeriodicalIF":4.2,"publicationDate":"2025-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145027477","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
Non-blockholder dissatisfaction and firm performance volatility: A groupthink perspective 非大股东不满与公司绩效波动：群体思维视角
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-09-01 DOI: 10.1016/j.jfs.2025.101456
Jeong-Bon Kim , Johan Maharjan , Yijiang Zhao
{"title":"Non-blockholder dissatisfaction and firm performance volatility: A groupthink perspective","authors":"Jeong-Bon Kim ,&nbsp;Johan Maharjan ,&nbsp;Yijiang Zhao","doi":"10.1016/j.jfs.2025.101456","DOIUrl":"10.1016/j.jfs.2025.101456","url":null,"abstract":"<div><div>Social psychology research suggests that management groups under greater external pressure are more prone to groupthink (i.e., a tendency to reach premature consensus), leading to greater performance volatility. To isolate the group dynamics channel, we focus on the pressure management faces from largely uninformed and dissatisfied non-blockholders. Consistent with the groupthink view, we find that non-blockholder dissatisfaction is positively associated with performance volatility, which is further corroborated by tests addressing omitted variable bias and reverse causality. In addition, the baseline relationship is stronger in firms with greater interaction among directors, more powerful CEOs, and less diverse boards. Our findings suggest that non-blockholder dissatisfaction heightens performance volatility by exacerbating groupthink.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101456"},"PeriodicalIF":4.2,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144919692","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 stablecoin that’s actually stable: A portfolio optimization approach 一个真正稳定的稳定币：一种投资组合优化方法
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-28 DOI: 10.1016/j.jfs.2025.101458
Klaus Grobys , Juha-Pekka Junttila , James W. Kolari
{"title":"A stablecoin that’s actually stable: A portfolio optimization approach","authors":"Klaus Grobys ,&nbsp;Juha-Pekka Junttila ,&nbsp;James W. Kolari","doi":"10.1016/j.jfs.2025.101458","DOIUrl":"10.1016/j.jfs.2025.101458","url":null,"abstract":"<div><div>Stablecoins seek to address the high price fluctuations of unbacked cryptocurrencies, such as Bitcoin and Ether. However, recent studies as well as the collapse of stablecoin USTC (Terra) cast doubt on the stability of stablecoins. Using well-known Markowitz portfolio optimization methods, we combine five leading stablecoins into a global minimum variance portfolio that represents a stable aggregate stablecoin (SAS). We find that SAS is much more stable than its constituent stablecoins. Also, in a stress test adding USTC to the portfolio, SAS remains stable with a narrow price range over time. Importantly, the construction of SAS using modern diversification methods has practical implications for the ongoing development of central bank digital currencies (CBDCs).</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"81 ","pages":"Article 101458"},"PeriodicalIF":4.2,"publicationDate":"2025-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144988960","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
Cross-listing, innovation and the role of nation-level institutions 交叉上市、创新和国家级机构的作用
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-24 DOI: 10.1016/j.jfs.2025.101457
Trung K. Do
{"title":"Cross-listing, innovation and the role of nation-level institutions","authors":"Trung K. Do","doi":"10.1016/j.jfs.2025.101457","DOIUrl":"10.1016/j.jfs.2025.101457","url":null,"abstract":"<div><div>We analyze the relationship between cross-listing and innovation using a sample of firms from 40 countries spanning 1980–2016. We measure innovation through both the number of patents granted and citations received. Our results reveal a positive association between cross-listing and innovation, with this effect being more pronounced for firms from countries with poor legal environments and less developed financial systems. Overall, our findings align with bonding theory, suggesting that managers of cross-listed firms seek to bind themselves by adhering to the high legal and regulatory standards demanded by U.S. markets.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101457"},"PeriodicalIF":4.2,"publicationDate":"2025-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144903193","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
Financial contagion within the interbank network 银行间网络内的金融传染
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-22 DOI: 10.1016/j.jfs.2025.101449
Christina D. Mikropoulou , Angelos T. Vouldis
{"title":"Financial contagion within the interbank network","authors":"Christina D. Mikropoulou ,&nbsp;Angelos T. Vouldis","doi":"10.1016/j.jfs.2025.101449","DOIUrl":"10.1016/j.jfs.2025.101449","url":null,"abstract":"<div><div>The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct linkages. This paper develops an agent-based model of financial contagion in the interbank market that features both direct and indirect transmission mechanisms. We conduct simulations on actual interbank bilateral exposures, constructed manually from a confidential supervisory dataset reported by the largest euro area banks. The model is used to investigate and quantify the relative contributions of direct and indirect channels. We find that while the impact of direct contagion increases gradually with the shock intensity, the effect of indirect contagion is subject to threshold effects and can increase abruptly when the threshold is exceeded. In addition, the risk posed by indirect contagion has a higher upper bound compared to direct contagion. Finally, we find that in terms of overall impact, the shocks to the value of sovereign debt and non-bank financial institutions represent the most significant risk to the functioning of the interbank market.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"81 ","pages":"Article 101449"},"PeriodicalIF":4.2,"publicationDate":"2025-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144921378","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
Monetary policy transmission via nonbank lending: Evidence from peer-to-peer loans 非银行贷款的货币政策传导：来自p2p贷款的证据
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-20 DOI: 10.1016/j.jfs.2025.101455
Esteban Argudo
{"title":"Monetary policy transmission via nonbank lending: Evidence from peer-to-peer loans","authors":"Esteban Argudo","doi":"10.1016/j.jfs.2025.101455","DOIUrl":"10.1016/j.jfs.2025.101455","url":null,"abstract":"<div><div>I use data on unsecured consumer loans from Lending Club to study how peer-to-peer lending markets respond to monetary policy shocks. I find that both loan supply and demand decrease following unexpected increases in the federal funds rate. The contraction in supply is smallest for risky borrowers, while the decline in demand is largest for these borrowers. In contrast, both demand and supply increase following surprise LSAP contractions, with the increases being largest for risky borrowers. These findings suggest that peer-to-peer lending dampens the effectiveness of monetary policy transmission in unsecured consumer credit markets while increasing risk-taking.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101455"},"PeriodicalIF":4.2,"publicationDate":"2025-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144893214","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
Institutional distraction and illegal business practices: The role of career concerns and wealth incentives 制度性干扰和非法商业行为：职业关注和财富激励的作用
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-16 DOI: 10.1016/j.jfs.2025.101450
Daniel Neukirchen , Gerrit Köchling , Peter N. Posch
{"title":"Institutional distraction and illegal business practices: The role of career concerns and wealth incentives","authors":"Daniel Neukirchen ,&nbsp;Gerrit Köchling ,&nbsp;Peter N. Posch","doi":"10.1016/j.jfs.2025.101450","DOIUrl":"10.1016/j.jfs.2025.101450","url":null,"abstract":"<div><div>We exploit exogenous shocks to institutional investors’ portfolios to show that managers engage in significantly more stakeholder-related misconduct when institutional investors are distracted. Additional cross-sectional tests reveal that managerial career concerns and risk-taking equity incentives strongly moderate this relationship, suggesting that managers weigh the potential benefits and risks before engaging in misconduct during these periods. Finally, we provide evidence that the results are more pronounced when especially those institutional investors who are likely to be motivated monitors of the managers become distracted.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101450"},"PeriodicalIF":4.2,"publicationDate":"2025-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144908764","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
Decomposing systemic risk: The roles of contagion and common exposures 分解系统风险：传染和共同暴露的作用
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-16 DOI: 10.1016/j.jfs.2025.101451
Grzegorz Hałaj, Ruben Hipp
{"title":"Decomposing systemic risk: The roles of contagion and common exposures","authors":"Grzegorz Hałaj,&nbsp;Ruben Hipp","doi":"10.1016/j.jfs.2025.101451","DOIUrl":"10.1016/j.jfs.2025.101451","url":null,"abstract":"<div><div>We evaluate the impact of contagion and common exposures on banks’ capital using a structural regression framework derived from the balance sheet identity and inspired by the structural VAR literature. Contagion arises through bilateral exposures, fire sales, rollover risk, and market-based sentiment, while common exposures reflect overlapping portfolio holdings. We estimate the model using granular regulatory balance sheet and interbank exposure data for the Canadian banking sector. Our results yield three key insights. First, contagion driven by bilateral contractual exposures remains relatively stable over time until the onset of quantitative easing. In contrast, non-contractual contagion channels are less stable and move with market conditions. Second, we observe an increase in common exposure risk along with a decrease in contagion risk, following unprecedented fiscal and monetary policy measures in the COVID-19 pandemic. Third, we demonstrate how our framework complements traditional bank stress-testing approaches that focus on individual institutions by analysing second-round effects. In a policy application, we simulate targeted bailouts and show that their effectiveness in stabilizing the system is related to the interconnectedness of the rescued institution.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101451"},"PeriodicalIF":4.2,"publicationDate":"2025-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144860300","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
Artificial intelligence and financial crises 人工智能和金融危机
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-14 DOI: 10.1016/j.jfs.2025.101453
Jon Danielsson , Andreas Uthemann
{"title":"Artificial intelligence and financial crises","authors":"Jon Danielsson ,&nbsp;Andreas Uthemann","doi":"10.1016/j.jfs.2025.101453","DOIUrl":"10.1016/j.jfs.2025.101453","url":null,"abstract":"<div><div>The rapid adoption of artificial intelligence (AI) poses new and poorly understood threats to financial stability. We use a game-theoretic model to analyse the stability impact of AI, finding that it amplifies existing financial system vulnerabilities — leverage, liquidity stress and opacity — through superior information processing, common data, speed and strategic complementarities. The consequence is crises become faster and more severe, where the likelihood of a crisis is directly affected by how effectively the authorities engage with AI. In response, we propose that the financial authorities develop their own AI systems and expertise, establish direct AI-to-AI communication, implement automated crisis facilities and monitor AI use.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"80 ","pages":"Article 101453"},"PeriodicalIF":4.2,"publicationDate":"2025-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144878801","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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