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Journal of Financial Stability最新文献

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Do small bank deposits run more than large ones? Three event studies of contagion and financial inclusion 小额银行存款比大额银行存款更划算吗？传染与普惠金融的三个事件研究
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-05-07 DOI: 10.1016/j.jfs.2025.101417
Dante B. Canlas , Johnny Noe E. Ravalo , Eli M. Remolona
{"title":"Do small bank deposits run more than large ones? Three event studies of contagion and financial inclusion","authors":"Dante B. Canlas ,&nbsp;Johnny Noe E. Ravalo ,&nbsp;Eli M. Remolona","doi":"10.1016/j.jfs.2025.101417","DOIUrl":"10.1016/j.jfs.2025.101417","url":null,"abstract":"<div><div>How susceptible to contagion are bank deposits associated with financial inclusion? To assess this susceptibility, we analyze the behavior of deposits around three significant events of bank failure in the Philippines. We conduct the event studies with the advantage of a unique dataset that disaggregates deposits by size at the town level. We show that both small and large deposits are withdrawn up to 4–5 quarters before the bank’s closure. We take advantage of this distinction between small and large deposits to test for contagion. Applying difference-in-difference regressions, we find evidence of contagion: the closure of a large bank leads to withdrawals at banks in neighboring towns by depositors both large and small. This is the case for two of the three events, and when the data is taken collectively. That there is a market for information affects deposit insurance as a safety net for depositors and as a disciplining tool for banks. There are also liquidity considerations that banks need to consider. In any case, we consistently find the behavior of small depositors to be no different from that of large depositors. Hence, if financial inclusion is about access to bank deposits, it is not likely to heighten systemic risks nor mitigate them.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101417"},"PeriodicalIF":6.1,"publicationDate":"2025-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143947273","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
Idiosyncratic contagion between ETFs and stocks: A high dimensional network perspective etf与股票之间的特质传染：一个高维网络视角
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-30 DOI: 10.1016/j.jfs.2025.101415
Yu Wang, Yiguo Sun
{"title":"Idiosyncratic contagion between ETFs and stocks: A high dimensional network perspective","authors":"Yu Wang,&nbsp;Yiguo Sun","doi":"10.1016/j.jfs.2025.101415","DOIUrl":"10.1016/j.jfs.2025.101415","url":null,"abstract":"<div><div>This paper examines the return spillovers between Exchange-Traded Funds (ETFs) and stocks. While traditional approaches focus on proportional relationships between ETFs and their underlying assets, we develop a high-dimensional network framework that captures spillover effects between any ETF-stock pair, regardless of their compositional relationship. By separating idiosyncratic and systematic risks, we investigate potential drivers of contagion. We document substantial heterogeneity in spillover patterns across sectors, which is previously unaddressed in the literature. Sectors such as Utilities and Real Estate exhibit robust spillovers to both their component stocks and assets in other sectors. Conversely, in sectors such as Consumer Discretionary and Finance, cross-sector influences dominate intra-sector ETF-constituent linkages. Our results also highlight that during periods of high market volatility, sources of idiosyncratic contagion become more diverse, suggesting the need for broader market surveillance beyond the few most influential ETFs.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101415"},"PeriodicalIF":6.1,"publicationDate":"2025-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143898979","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
The paradox of macroprudential policy and sovereign risk 宏观审慎政策与主权风险的悖论
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-25 DOI: 10.1016/j.jfs.2025.101411
António Afonso, André Teixeira
{"title":"The paradox of macroprudential policy and sovereign risk","authors":"António Afonso,&nbsp;André Teixeira","doi":"10.1016/j.jfs.2025.101411","DOIUrl":"10.1016/j.jfs.2025.101411","url":null,"abstract":"<div><div>This paper investigates the impact of macroprudential policy on sovereign risk. As long as macroprudential policy improves financial stability, it lowers sovereign risk and enables governments to increase spending without raising taxes. Consequently, countries with tighter macroprudential policies have lower primary budget balances and accumulate government debt over time. However, this effect diminishes or reverses when there is excessive regulation or high levels of debt. These findings are somewhat paradoxical: macroprudential policy may lower private debt, while increasing public debt.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101411"},"PeriodicalIF":6.1,"publicationDate":"2025-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143890688","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
Dating housing booms fueled by credit: A Markov switching approach 信贷推动的房地产繁荣的年代：马尔可夫转换方法
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-24 DOI: 10.1016/j.jfs.2025.101412
Carlos Cañizares Martínez
{"title":"Dating housing booms fueled by credit: A Markov switching approach","authors":"Carlos Cañizares Martínez","doi":"10.1016/j.jfs.2025.101412","DOIUrl":"10.1016/j.jfs.2025.101412","url":null,"abstract":"<div><div>This study aims to empirically identify the state of the US housing market. I do so by estimating a Markov switching model of housing prices, in which mortgage debt affects house prices nonlinearly and drives state transition probabilities. Second, I compute a state-contingent housing risk measure fed with the probability of being in each state. Finally, I show that such risk measure contains early warning information in a forecasting exercise to predict the charge-off rates of real estate residential loans and a financial stress index. The significance of this study is that it informs economic agents and policymakers about the state of the housing market mechanically.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101412"},"PeriodicalIF":6.1,"publicationDate":"2025-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143898980","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
Digital currency and banking-sector stability 数字货币和银行业稳定
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-24 DOI: 10.1016/j.jfs.2025.101414
William Chen , Gregory Phelan
{"title":"Digital currency and banking-sector stability","authors":"William Chen ,&nbsp;Gregory Phelan","doi":"10.1016/j.jfs.2025.101414","DOIUrl":"10.1016/j.jfs.2025.101414","url":null,"abstract":"<div><div>We introduce digital currency into a macro model with a banking sector in which financial frictions generate endogenous systemic risk and instability. In the model, digital currency is fully integrated into the financial system. Stablecoin issuance significantly increases the probability of a banking-sector crisis because it depresses bank deposit spreads, particularly during crises, which limits banks’ ability to recapitalize following losses. While banking-sector stability suffers, household welfare can still improve significantly. Financial frictions nevertheless limit the potential benefits of digital currencies. The optimal level of digital currency could be below what would be issued in a competitive environment. In contrast to stablecoins, which are backed by debt, tokenized deposits backed by traditional bank assets improve welfare without harming financial stability. The scope for welfare gains from stablecoins or tokenized deposits depends on how households value the liquidity services of digital currency relative to traditional deposits and on the cost of issuing stablecoins.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101414"},"PeriodicalIF":6.1,"publicationDate":"2025-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143876708","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
Central banks’ financial stability orientation and bank risk-taking 央行金融稳定取向与银行风险承担
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-22 DOI: 10.1016/j.jfs.2025.101409
Christy Dwita Mariana , Arisyi F. Raz
{"title":"Central banks’ financial stability orientation and bank risk-taking","authors":"Christy Dwita Mariana ,&nbsp;Arisyi F. Raz","doi":"10.1016/j.jfs.2025.101409","DOIUrl":"10.1016/j.jfs.2025.101409","url":null,"abstract":"<div><div>The existing literature provides inconclusive theoretical predictions regarding whether central banks’ monetary policy should address financial stability. We therefore empirically evaluate the effect of central banks’ financial stability orientation (“leaning against the wind”) on bank risk-taking. Our baseline results from cross-country, bank-level panel data suggest that higher central banks’ financial stability orientation significantly reduces bank risk-taking. Further investigation shows that monetary policy aimed at achieving financial stability complements macroprudential policy in reducing bank risk-taking, particularly during macroprudential policy tightening. These results offer novel insights into the effect of central bank’s monetary policy on bank stability and provide empirical evidence to prior theoretical works.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101409"},"PeriodicalIF":6.1,"publicationDate":"2025-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868791","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
What drives U.S. corporate private equity? An historical perspective 是什么推动了美国企业私募股权？历史的视角
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-17 DOI: 10.1016/j.jfs.2025.101413
John V. Duca , Franklin Sanchez-Colburn
{"title":"What drives U.S. corporate private equity? An historical perspective","authors":"John V. Duca ,&nbsp;Franklin Sanchez-Colburn","doi":"10.1016/j.jfs.2025.101413","DOIUrl":"10.1016/j.jfs.2025.101413","url":null,"abstract":"<div><div>This study models the closely held (PE) share of U.S. nonfinancial corporate equity over time. Corporate income tax rates, the Sarbanes-Oxley Act, default risk, and the real medium-run Treasury yield significantly affect the PE share, consistent with other studies which separately analyze these factors. The PE share is negatively related to business loan delinquencies and real medium-term Treasury rates. High interest rates discourage PE funds from using leverage to finance buyouts of public companies and fund distributions of interim cash distributions that enhance the relative liquidity of the closely held firms in PE fund portfolios. Interim cash distributions by PE funds help to avoid the double-taxation of dividends, thus causing the appeal of PE to rise with corporate income tax rates, which increases the PE share. The PE share rose during the Enron scandal and after the Sarbanes-Oxley Act (SOX), which increased the costs of continuing as, or becoming, a publicly traded corporation. The PE share is well explained and tracked by key macroeconomic variables as well as tax and regulatory policies.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101413"},"PeriodicalIF":6.1,"publicationDate":"2025-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868792","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
Board gender diversity at target firms and acquisition decisions of gender diverse bidders 目标公司董事会性别多样性与性别多元化竞标者的收购决策
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-04-11 DOI: 10.1016/j.jfs.2025.101410
Abeyratna Gunasekarage , Kristina Minnick , Syed Shams
{"title":"Board gender diversity at target firms and acquisition decisions of gender diverse bidders","authors":"Abeyratna Gunasekarage ,&nbsp;Kristina Minnick ,&nbsp;Syed Shams","doi":"10.1016/j.jfs.2025.101410","DOIUrl":"10.1016/j.jfs.2025.101410","url":null,"abstract":"<div><div>We examine whether gender diversity at the target firm influences acquisition decisions by gender-diverse firms. Our findings show that gender-diverse acquirers are more likely to select gender-diverse targets over male-only firms. This preference is driven by specific attributes of female directors at the target firm, such as their educational and professional qualifications, networking abilities, functional experience, and industry expertise. Gender-diverse acquirers pay a lower premium to gender-diverse targets compared to male-only targets, and these acquisitions are positively received by the market, reflected in significant announcement-period abnormal returns. Additionally, gender-diverse firms that acquire gender-diverse targets show stronger post-acquisition performance compared to those acquiring male-only targets. These findings remain robust after addressing potential endogeneity concerns, including omitted variable bias and reverse causality.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101410"},"PeriodicalIF":6.1,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143843268","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
Geopolitical risk and corporate maturity mismatch 地缘政治风险与企业期限错配
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-03-27 DOI: 10.1016/j.jfs.2025.101408
Man Wang , Xueting Wang
{"title":"Geopolitical risk and corporate maturity mismatch","authors":"Man Wang ,&nbsp;Xueting Wang","doi":"10.1016/j.jfs.2025.101408","DOIUrl":"10.1016/j.jfs.2025.101408","url":null,"abstract":"<div><div>This paper explores how geopolitical risk affects corporate maturity mismatch using a sample of Chinese listed corporations. We find that geopolitical risk significantly exacerbates corporate maturity mismatch. Specifically, GPR increases corporate long-term investment and short-term debt, while decreasing corporate short-term investment and long-term debt. Further, the impact of GPR is amplified by R&amp;D investment, industry competitiveness, and financial constraint, but weakened by corporate credit quality. The results of the mechanism test suggest that geopolitical risk exacerbates corporate maturity mismatch by increasing corporate information asymmetry and default risk. Additionally, we find that the impact of GPR on corporate maturity mismatch exhibits industry heterogeneity, and the positive effect of geopolitical risk on corporate maturity mismatch is more significant for high-growth corporations, non-state-owned corporations, small corporations, multinational corporations, and capital-intensive corporations. Finally, based on the extended Fama-French models, we construct two firm-level GPR indicators and the results indicate that individual GPR exacerbates maturity mismatch. Our paper enriches the research on the factors affecting maturity mismatch and helps corporations better manage operational and uncertainty risks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101408"},"PeriodicalIF":6.1,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143759766","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
The impact of country- and firm-level governance on capital allocation efficiency: New evidence from India 国家和公司层面的治理对资本配置效率的影响：来自印度的新证据
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-03-27 DOI: 10.1016/j.jfs.2025.101407
Akash Singh Yadav , Inder Sekhar Yadav
{"title":"The impact of country- and firm-level governance on capital allocation efficiency: New evidence from India","authors":"Akash Singh Yadav ,&nbsp;Inder Sekhar Yadav","doi":"10.1016/j.jfs.2025.101407","DOIUrl":"10.1016/j.jfs.2025.101407","url":null,"abstract":"<div><div>This paper investigates the impact of country-level governance on corporate investment efficiency using data from Indian-listed firms between 2009 and 2022. Additionally, we explore how country-level governance interacts with firm-level corporate governance to influence investment inefficiency. Using World Bank's worldwide governance indicators, our findings from panel econometric models reveal that country-level governance and its subcomponents (political stability, government effectiveness, regulatory quality, rule of law, control of corruption, and voice and accountability) negatively affect investment inefficiency, underinvestment, and overinvestment. This suggests that robust governance at country-level serves as a control mechanism, reducing companies' likelihood of investing above or below optimal levels. Furthermore, we find that the effect of firm-level corporate governance (measured using a newly constructed governance index) on investment inefficiency is more pronounced in weak country-level governance environments, indicating a substitutive relationship. Similar patterns are observed in overinvestment and underinvestment scenarios. This evidence implies that when country-level governance is inadequate in mitigating agency conflicts and information asymmetries, firm-level corporate governance mechanisms become crucial for promoting investment efficiency. The robustness of our results is ensured through various methodological approaches. Sample selection bias is addressed using entropy balancing, while endogeneity concerns are mitigated with a combination of two-stage least squares, firm fixed effects, and a two-step generalized method of moments. Additionally, our findings remain consistent when using different proxies for both dependent and independent variables. Our empirical investigation provides valuable insights for regulators, policymakers, and corporate stakeholders in developing efficient investment policies.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101407"},"PeriodicalIF":6.1,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143816836","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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