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Journal of Financial Stability最新文献

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Bank opacity, systemic risk and financial stability 银行的不透明性、系统性风险和金融稳定性
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-21 DOI: 10.1016/j.jfs.2023.101211
Michael Mies
{"title":"Bank opacity, systemic risk and financial stability","authors":"Michael Mies","doi":"10.1016/j.jfs.2023.101211","DOIUrl":"10.1016/j.jfs.2023.101211","url":null,"abstract":"<div><p>This paper examines the impact of bank opacity on European financial stability. Based on a panel dataset of listed European banks covering the period 2002–2018, I find that bank opacity has a significant influence on the institution-specific contribution to the ∆Conditional Value at Risk and Marginal Expected Shortfall. The enforcement mechanism and the policies introduced by accounting standard setters and regulators for the risk disclosure of banks have a positive impact on the reduction of systemic risk. Both the risk reporting in accordance with IFRS 7 and the measures introduced by the Basel Committee in the form of the Basel Pillar 3 regulation led to an increase in transparency and thus an improvement in financial market stability. As an independent enforcement mechanism, the country-specific strength of the external auditing profession plays a significant role in fostering stability. The results are robust, by using both alternative opacity measures and instrumental-variable estimations (2SLS) to control for potential endogeneity.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138826030","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-change regulations: Bank lending and real effects 气候变化法规：银行贷款和实际影响
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-21 DOI: 10.1016/j.jfs.2023.101212
Faruk Miguel, Alvaro Pedraza, Claudia Ruiz-Ortega
{"title":"Climate-change regulations: Bank lending and real effects","authors":"Faruk Miguel,&nbsp;Alvaro Pedraza,&nbsp;Claudia Ruiz-Ortega","doi":"10.1016/j.jfs.2023.101212","DOIUrl":"10.1016/j.jfs.2023.101212","url":null,"abstract":"<div><p>We analyze how capital requirements from environmental risk exposure affect bank lending to the corporate sector, and how these effects transmit to real economic activity and to greenhouse gas emissions. To do so, we exploit the introduction of a policy in Brazil that required banks to incorporate environmental risks in their capital assessments. Using comprehensive credit data, we find that the policy induces large banks to reallocate their lending away from exposed sectors. The credit contraction has no substantial impact on the real activity and greenhouse gas emissions of these sectors, as smaller banks expand their lending afterwards. However, the policy triggers a moderate labor reallocation from small firms (i.e., those with higher costs of switching lenders) and into large firms within environmentally exposed sectors.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138826134","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 broke the pearl of the Indian ocean? The causes of the Sri Lankan economic crisis and its policy implications 是什么毁了印度洋上的明珠？斯里兰卡经济危机的原因及其政策影响
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-16 DOI: 10.1016/j.jfs.2023.101213
Lalith P. Samarakoon
{"title":"What broke the pearl of the Indian ocean? The causes of the Sri Lankan economic crisis and its policy implications","authors":"Lalith P. Samarakoon","doi":"10.1016/j.jfs.2023.101213","DOIUrl":"10.1016/j.jfs.2023.101213","url":null,"abstract":"<div><p>Sri Lanka unilaterally defaulted on its external debt in April 2022, exposing its long-standing economic and financial vulnerabilities and igniting a series of inter-related multiple economic crises—fiscal, debt, currency, inflation, and balance of payments—as well as a vast socio-political upheaval. This paper analyses the economic crisis and its various dimensions to understand the sources of the crisis and draw policy implications. The role of fiscal balances and public debt in the crisis, along with debt sustainability, international sovereign bonds, liquidity crisis, and currency collapse, are analyzed. The root cause of Sri Lanka’s economic crisis was running persistent and large fiscal deficits, which were increasingly financed by unsustainable public debt, particularly foreign commercial borrowings. A substantial reduction and reprofiling of debt through restructuring of both domestic and foreign debt to ensure debt sustainability, meaningful fiscal policy reforms anchored by revenue increases and expenditure rationalization to reduce fiscal deficits, and deep growth-enhancing structural reforms are necessary for medium-term rescue and recovery and long-term growth and stability of Sri Lanka. The findings provide important policy lessons for other emerging markets and middle-income economies.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679947","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 thousand words tell more than just numbers: Financial crises and historical headlines 千言万语比数字更能说明问题：金融危机与历史头条
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-16 DOI: 10.1016/j.jfs.2023.101209
Kim Ristolainen , Tomi Roukka , Henri Nyberg
{"title":"A thousand words tell more than just numbers: Financial crises and historical headlines","authors":"Kim Ristolainen ,&nbsp;Tomi Roukka ,&nbsp;Henri Nyberg","doi":"10.1016/j.jfs.2023.101209","DOIUrl":"10.1016/j.jfs.2023.101209","url":null,"abstract":"<div><p>We show that financial crises are preceded by changes in specific types of narrative information contained in newspaper article titles. Our novel international dataset and the resulting empirical evidence are gathered by integrating information from a large panel of economic news articles in global newspapers between the years 1870 and 2016 with conventional macroeconomic and financial indicators. We find that the predictive information of newspaper article titles that signals coming crisis episodes is substantial over and above the macroeconomic and financial indicators. Feature contribution analysis and crisis case studies reveal that the new indicators capture more detailed, but still generalizable information on the buildup of crises.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308923001092/pdfft?md5=ef123cac8042247467ab990e69819947&pid=1-s2.0-S1572308923001092-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138680013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bubble occurrence and landing 气泡发生和着陆
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-15 DOI: 10.1016/j.jfs.2023.101210
Junmin Wan
{"title":"Bubble occurrence and landing","authors":"Junmin Wan","doi":"10.1016/j.jfs.2023.101210","DOIUrl":"10.1016/j.jfs.2023.101210","url":null,"abstract":"<div><p>First, a rational bubble with a stochastic crash is modelled under conditions of timelessness (or strictly a zero interest rate) and an infinite number of investors. The necessary and sufficient conditions for this bubble are a strictly positive bubble premium and a sufficient number of investors. Second, it is shown that a rational bubble occurs under a strictly negative interest rate. Finally, whether bubbles can be prevented or landed is discussed.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679987","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 green loans less risky? Micro-evidence from a European Emerging Economy 绿色贷款风险更低吗？欧洲新兴经济体的微观证据
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-09 DOI: 10.1016/j.jfs.2023.101208
Florian Neagu , Luminița Tatarici , Florin Dragu , Amalia Stamate
{"title":"Are green loans less risky? Micro-evidence from a European Emerging Economy","authors":"Florian Neagu ,&nbsp;Luminița Tatarici ,&nbsp;Florin Dragu ,&nbsp;Amalia Stamate","doi":"10.1016/j.jfs.2023.101208","DOIUrl":"10.1016/j.jfs.2023.101208","url":null,"abstract":"<div><p>The role played by the banking sector in supporting the green transition has been limited but is expected to increase substantially. We investigate whether the green loans granted by Romanian financial institutions during the period from 2010 to 2020 bear less credit risk compared with other loans in their portfolio. In this respect, we use a novel micro database with information on all green loans granted by a representative share of Romanian financial institutions, combined with debtors’ financial statements. We use different approaches to control for the small share of green loans and find that firms with a sounder financial profile are more likely to access green loans. Using a matched sample of non-green loans, we are able to disentangle the factors that contribute to the increase in credit risk, but we do not observe a significant risk reduction in the case of green loans.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138565861","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
How does the repo market behave under stress? Evidence from the COVID-19 crisis 回购市场在压力下的表现如何？来自 COVID-19 危机的证据
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-07 DOI: 10.1016/j.jfs.2023.101193
Anne-Caroline Hüser , Caterina Lepore , Luitgard Anna Maria Veraart
{"title":"How does the repo market behave under stress? Evidence from the COVID-19 crisis","authors":"Anne-Caroline Hüser ,&nbsp;Caterina Lepore ,&nbsp;Luitgard Anna Maria Veraart","doi":"10.1016/j.jfs.2023.101193","DOIUrl":"10.1016/j.jfs.2023.101193","url":null,"abstract":"<div><p>We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 crisis. We find that during this crisis the repo network becomes more connected, with most institutions relying on previously used counterparties. There are however important changes in the repo volumes and spreads during the stress relative to normal times. There is a significant increase in volumes traded with the central counterparties (CCPs) sector. At the same time non-banks, except hedge funds, decrease borrowing and face higher spreads in the bilateral segment. Overall, this evidence reflects a preference for dealers and banks to transact in the centrally cleared rather than the bilateral segment. Our results can inform the policy debate around the behaviour of banks and non-banks in recent liquidity stress and on widening participation in CCPs by non-banks.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138545667","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 activity and bank lending during financial crises ESG活动和金融危机期间的银行贷款
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-11-24 DOI: 10.1016/j.jfs.2023.101206
Gamze Ozturk Danisman , Amine Tarazi
{"title":"ESG activity and bank lending during financial crises","authors":"Gamze Ozturk Danisman ,&nbsp;Amine Tarazi","doi":"10.1016/j.jfs.2023.101206","DOIUrl":"https://doi.org/10.1016/j.jfs.2023.101206","url":null,"abstract":"<div><p>This paper explores how banks’ environmental, social, and governance (ESG) activities affect their lending during financial crises. We use a sample of European listed banks with available ESG scores from 2002 to 2020 and consider the global financial crisis of 2007–2009 and the European sovereign debt crisis of 2010–2012. We estimate a two-step system GMM dynamic panel data model<span> and also address potential endogeneity with instrumental variable (IV) and difference-in-difference (DiD) estimations. We find that lending falls to a lesser extent for banks with higher ESG scores during crisis times. Our findings are robust to using alternative ESG rating providers. An investigation of the different potential channels shows that, during crises, banks more engaged in ESG activities are less affected in terms of credit risk, asset risk, and profitability. They also face a lower reduction in market funding, allowing them to downsize to a lesser extent during crises, and their deposit rates do not increase as much as in less ESG-engaged banks. A deeper investigation reveals that our findings mainly hold for banks focused on traditional lending and deposit activities and are essentially driven by the environmental pillar component of ESG scores and the global financial crisis of 2007–2009.</span></p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138467118","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
Investment deregulation and innovation performance of Chinese private firms 投资放松管制与中国民营企业创新绩效
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-11-24 DOI: 10.1016/j.jfs.2023.101207
Jianhong Zhang , Jiangang Jiang
{"title":"Investment deregulation and innovation performance of Chinese private firms","authors":"Jianhong Zhang ,&nbsp;Jiangang Jiang","doi":"10.1016/j.jfs.2023.101207","DOIUrl":"https://doi.org/10.1016/j.jfs.2023.101207","url":null,"abstract":"<div><p>This study explores the effect of an investment system reform (deregulation) on the innovation performance of private firms in China. Using a difference-in-differences approach on the data on patent applications of private firms from 1998 to 2009, this study confirms the positive relationship between investment deregulation and innovation performance. We also find that the positive relationship is moderated by types of innovation, firm size and international orientation, and regional patent promotion policy. The study further finds evidence that investment deregulation stimulates innovation performance through two mechanisms, the escaping competition effect, and the preemptive patenting effect. Moreover, investment deregulation may improve the innovation performance of private firms by encouraging investment in fixed capital.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308923001079/pdfft?md5=8ccda8cabf698b611e4ac7dbcf4aeafc&pid=1-s2.0-S1572308923001079-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138484531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Hedging inflation expectations in the cryptocurrency futures market 对冲加密货币期货市场的通胀预期
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-11-22 DOI: 10.1016/j.jfs.2023.101205
Jinan Liu , Victor J. Valcarcel
{"title":"Hedging inflation expectations in the cryptocurrency futures market","authors":"Jinan Liu ,&nbsp;Victor J. Valcarcel","doi":"10.1016/j.jfs.2023.101205","DOIUrl":"https://doi.org/10.1016/j.jfs.2023.101205","url":null,"abstract":"<div><p>This paper finds the first evidence of time variation in the relationship between inflation expectations and the price of cryptocurrency futures. Daily data on the futures markets of Bitcoin – starting in December 2017 – and Ethereum – available since February 2021 – reveal responses to inflation expectations that are consistently positive across both measures in a full sample encompassing 2022. These results hold for a sample that precedes the Luna crash in May 13, 2022. However, the response turns negative in the period between the failures of the Luna and FTX crypto exchanges. We find cryptocurrency futures provide an effective hedge against inflation expectations and may provide a hedge against idiosyncratic market risk if the ensuing uncertainty is embraced by traders leading them to <em>search-for-yield</em> behavior. Risk that is more systemic – and not properly digested by financial markets – may lead futures contract holders to exit their positions ahead of expiration, leading to a bid down of futures prices and an erosion of their hedging ability. This may have contributed to the turbulence in cryptocurrencies experienced during the latter part of 2022.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308923001055/pdfft?md5=7e227338084404f1ad458ed4b596da25&pid=1-s2.0-S1572308923001055-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138467119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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