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Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system 系统性风险过高导致失败：欧元区金融体系系统性风险衡量标准的经验比较
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-25 DOI: 10.1016/j.jfs.2024.101273
Amir Armanious
{"title":"Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system","authors":"Amir Armanious","doi":"10.1016/j.jfs.2024.101273","DOIUrl":"10.1016/j.jfs.2024.101273","url":null,"abstract":"<div><p>This paper quantifies the Too-Systemic-To-Fail (TSTF) paradigm in the Eurozone since the introduction of the Euro through three primary dimensions: Too-Big-To-Fail (TBTF), Too-Interconnected-To-Fail (TITF), and Too-Many-To-Fail (TMTF). We apply prominent systemic risk measures based on public data, including the Granger-causality network (GCN), Delta Conditional Value-at-Risk (ΔCoVaR), Marginal Expected Shortfall (MES), and Systemic Risk Index (SRISK). Financial interconnectedness and systemic risk exposure within the 17-member states of the Eurozone are measured on two levels: (i) identifying which financial sectors (banking, diversified financials, insurance, and real estate) are most exposed to systemic risk in the Eurozone at the union level; and (ii) identifying which member state is most exposed to systemic risk within each financial sector at the country level. We extend the original ΔCoVaR, MES and SRISK models by incorporating the bootstrap Kolmogorov-Smirnov stochastic dominance test to rank institutions based on their exposure to systemic risk formally.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101273"},"PeriodicalIF":5.4,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000585/pdfft?md5=03df3fe8b9d82887e4960b06469f94bd&pid=1-s2.0-S1572308924000585-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141192620","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
Structural shifts in bank credit ratings 银行信贷评级的结构性变化
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-21 DOI: 10.1016/j.jfs.2024.101272
Antonis Ballis, Christos Ioannidis, Emmanouil Sifodaskalakis
{"title":"Structural shifts in bank credit ratings","authors":"Antonis Ballis,&nbsp;Christos Ioannidis,&nbsp;Emmanouil Sifodaskalakis","doi":"10.1016/j.jfs.2024.101272","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101272","url":null,"abstract":"<div><p>We investigate the time variation in credit rating standards awarded to financial institutions of commercial bank credit ratings awarded by the three principal CRAs from 1990 to 2015 in a world-wide context by testing for well-defined structural shifts. We focus on the part of the ratings that cannot be accounted using publicly available information. We test whether major financial events are conditioning, ex-post such changes Distinctively in this paper’s timespan our analysis covers four periods: (i) before and (ii) after the 2001–2 corporate collapses, followed by (iii) before the global financial crisis and (iv) after the global financial crisis. We find substantial differences in the assignment of bank credit ratings among the three major agencies, Moody’s, Fitch, and S&amp;P. Agencies differ both in terms of re-adjustment of ratings but also on the speed of response to the evens. All three agencies tightened ratings during the 2008 crisis and kept reducing them in its aftermath.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101272"},"PeriodicalIF":5.4,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000573/pdfft?md5=dae587a554dd0fcd3fc9af32dd04897a&pid=1-s2.0-S1572308924000573-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141097416","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
Testing the boundaries of applicability of standard Stochastic Discount Factor models 测试标准随机贴现因子模型的适用范围
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-14 DOI: 10.1016/j.jfs.2024.101268
Luca Pezzo , Yinchu Zhu , M. Kabir Hassan , Jiayuan Tian
{"title":"Testing the boundaries of applicability of standard Stochastic Discount Factor models","authors":"Luca Pezzo ,&nbsp;Yinchu Zhu ,&nbsp;M. Kabir Hassan ,&nbsp;Jiayuan Tian","doi":"10.1016/j.jfs.2024.101268","DOIUrl":"10.1016/j.jfs.2024.101268","url":null,"abstract":"<div><p>We provide a joint non-parametric test to gather insights on the boundaries of applicability of Stochastic Discount Factor (SDF) models. We find that a non-trivial class of models cannot price the U.S. stock market equally weighted portfolio, implying non-monotonic SDFs, especially over the last 50/60 years in (recessionary) periods characterized by higher market volatility. Stocks responsible for this rejection mostly belong to the smallest NYSE market cap decile, are characterized by high idiosyncratic risk, and typically cannot be priced via SDF models where the aggregate level of risk aversion is bigger then 9 or 10. Excluding these stocks increases the ability to explain the cross-section of returns without impairing the ability to span the mean–variance frontier.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101268"},"PeriodicalIF":5.4,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141031876","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
Strategic alliances and shared auditors 战略联盟和共享审计师
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-10 DOI: 10.1016/j.jfs.2024.101271
Mufaddal Baxamusa , Anand Jha , K.K. Raman
{"title":"Strategic alliances and shared auditors","authors":"Mufaddal Baxamusa ,&nbsp;Anand Jha ,&nbsp;K.K. Raman","doi":"10.1016/j.jfs.2024.101271","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101271","url":null,"abstract":"<div><p>Strategic alliances are voluntary corporate arrangements for mutual benefit. Although alliances are common as an alternative to M&amp;As, they require cooperation between alliance partners who continue to operate as independent companies. Thus, relational risk—the probability and consequences of unsatisfactory cooperation or opportunistic behavior—is inherent in alliances and a major determinant of alliance success. In this paper, we examine and find that alliance announcement CARs are higher for companies sharing the same auditor with their alliance partner. Further, our findings suggest that the shared auditor effect is stronger for alliances where potential relational risk between alliance partners is greater. Our findings hold when we use “withdrawn” (i.e., the withdrawal of an announced alliance before its start date) as an alternative, albeit inverse, measure of alliance success. Collectively, we provide novel evidence which suggests that auditors add shareholder value by playing a matchmaking role in alliance formation, building inter-company trust and mitigating relational risk by facilitating the sharing of non-financial information between potential alliance partners among their audit clients.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101271"},"PeriodicalIF":5.4,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140918744","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
Asset redeployability and green innovation 资产可调配性和绿色创新
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-10 DOI: 10.1016/j.jfs.2024.101270
Trung K. Do
{"title":"Asset redeployability and green innovation","authors":"Trung K. Do","doi":"10.1016/j.jfs.2024.101270","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101270","url":null,"abstract":"<div><p>We present evidence that firms with greater asset redeployability are more likely to engage in green innovation activities, as measured by corporate green patents and citations. This finding supports the notion of funding flexibility and withstands numerous robustness and endogeneity tests. The relationship is particularly pronounced for firms facing high climate change uncertainty, as well as those in high-polluting industries. Moreover, we find further evidence that the pursuit of green innovation is associated with improved firm value over the long term. These insights shed light on how asset redeployability correlates with both innovation outcomes and firm performance within the context of green finance for sustainable development.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101270"},"PeriodicalIF":5.4,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141067732","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
Desirable banking competition and stability 理想的银行业竞争和稳定
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-10 DOI: 10.1016/j.jfs.2024.101266
Jonathan Benchimol , Caroline Bozou
{"title":"Desirable banking competition and stability","authors":"Jonathan Benchimol ,&nbsp;Caroline Bozou","doi":"10.1016/j.jfs.2024.101266","DOIUrl":"10.1016/j.jfs.2024.101266","url":null,"abstract":"<div><p>Every financial crisis raises questions about how the banking market structure affects the real economy. Although low bank concentration may reduce markups and foster riskier behavior, concentrated banking systems appear more resilient to financial shocks. We use a nonlinear dynamic stochastic general equilibrium model with financial frictions to compare the transmissions of shocks under different competition and concentration configurations. The results reveal that oligopolistic competition amplifies the effects of the shocks relative to monopolistic competition. The transmission mechanism works through the markups, which are amplified when banking concentration is increased. The desirable banking market structure is determined according to financial stability and social welfare objectives. Moreover, we find that depending on policymakers’ preferences, a banking concentration of five to eight banks balances social welfare and bank stability objectives in the United States.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101266"},"PeriodicalIF":5.4,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141050930","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
Investor flows, performance, and fragility of U.S. municipal bond mutual funds 美国市政债券共同基金的投资者流动、业绩和脆弱性
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-05-08 DOI: 10.1016/j.jfs.2024.101267
Mark A. Peterson
{"title":"Investor flows, performance, and fragility of U.S. municipal bond mutual funds","authors":"Mark A. Peterson","doi":"10.1016/j.jfs.2024.101267","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101267","url":null,"abstract":"<div><p>We examine the determinants of investor flows into, and the potential market fragility imposed by, U.S. municipal bond mutual funds. We find that funds have a linear flow-performance relationship that is consistent with effective liquidity management strategies. Funds use liquid holdings to partially offset net redemptions, but trade municipal bonds in proportion to flows. Funds increase their liquid holdings after flow volatility increases. The fact that funds use a vertical slice approach as a primary strategy is not surprising because they maintain small amounts of liquid securities. Our evidence is consistent with investors not being concerned with municipal bond mutual funds promoting run-risk.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101267"},"PeriodicalIF":5.4,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140906168","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
Excessive bank risk-taking in an infinite horizon economy 无限视野经济中的银行过度冒险
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-29 DOI: 10.1016/j.jfs.2024.101263
Jorge Pozo
{"title":"Excessive bank risk-taking in an infinite horizon economy","authors":"Jorge Pozo","doi":"10.1016/j.jfs.2024.101263","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101263","url":null,"abstract":"<div><p>We develop a dynamic framework to study banks’ incentives to take excessive risk in an emerging economy, where bank default probability and excess bank risk-taking are modeled endogenously. We calibrate it for the 1998 Peruvian economy. We find that the infinite-period feature amplifies banks’ incentives to take excessive risk. When we simulate the sudden stop that hit Peru in 1998, the model accurately predicts the substantial short-term rise in the non-performing loans ratio through the rise of the bank default probability.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101263"},"PeriodicalIF":5.4,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141242043","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
Zero-risk weights and capital misallocation 零风险权重和资本错配
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-20 DOI: 10.1016/j.jfs.2024.101264
Takuji Fueki , Patrick Hürtgen , Todd B. Walker
{"title":"Zero-risk weights and capital misallocation","authors":"Takuji Fueki ,&nbsp;Patrick Hürtgen ,&nbsp;Todd B. Walker","doi":"10.1016/j.jfs.2024.101264","DOIUrl":"10.1016/j.jfs.2024.101264","url":null,"abstract":"<div><p>Financial institutions, especially in Europe, hold a disproportionate amount of domestic sovereign debt. We examine the extent to which this home bias leads to capital misallocation in a real business cycle model with imperfect information and fiscal stress. We assume banks can hold sovereign debt according to a zero-risk weight policy and contrast this scenario to one in which banks weight the sovereign debt according to default probabilities. Banks are assumed to miscalculate the probability of a disaster state due to moral hazard and imperfect monitoring. This distortion pushes the economy away from the first-best allocation. We show that the zero risk weight policy exacerbates these distortions while a non-zero risk-weight improves allocations. The welfare costs associated with zero-risk weight policies are large. Households are willing to give up 3.2 percent of their consumption to move to the first-best allocation, whereas in the economy with non-zero risk-weights households are willing to give up only 1.2 percent of their consumption to move to the first-best allocation.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101264"},"PeriodicalIF":5.4,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140769912","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’ corporate asset purchase programmes and risk-taking by bond funds in the aftermath of market stress 中央银行的企业资产购买计划和债券基金在市场受压后的风险承担
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-16 DOI: 10.1016/j.jfs.2024.101261
Nicola Branzoli , Raffaele Gallo , Antonio Ilari , Dario Portioli
{"title":"Central banks’ corporate asset purchase programmes and risk-taking by bond funds in the aftermath of market stress","authors":"Nicola Branzoli ,&nbsp;Raffaele Gallo ,&nbsp;Antonio Ilari ,&nbsp;Dario Portioli","doi":"10.1016/j.jfs.2024.101261","DOIUrl":"10.1016/j.jfs.2024.101261","url":null,"abstract":"<div><p>This paper provides evidence that central banks’ purchase programmes of corporate bonds in the aftermath of market stress foster risk-taking by bond funds. Using the COVID-19 shock as a laboratory, we show that funds more exposed to pandemic-related asset purchase programmes took on more credit and liquidity risks than less exposed ones during 2020, generating higher returns and attracting more inflows. More exposed funds increased their risk-taking buying assets not eligible for central banks’ interventions, particularly when they under-performed their peers or held less liquid assets. These results suggest that asset purchase programmes affected risk-taking by reducing liquidation costs and, thus, lowering the risk of run by fund investors. We discuss the implications for the transmission of policy interventions during periods of market stress and the regulation of the investment fund sector.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101261"},"PeriodicalIF":5.4,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140791528","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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