Journal of Financial Stability最新文献_第10页

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 , 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

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 , 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

External wealth of nations and systemic risk 国家外部财富与系统性风险

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-15 DOI: 10.1016/j.jfs.2023.101192

Alin Marius Andrieş , Alexandra Maria Chiper , Steven Ongena , Nicu Sprincean

{"title":"External wealth of nations and systemic risk","authors":"Alin Marius Andrieş , Alexandra Maria Chiper , Steven Ongena , Nicu Sprincean","doi":"10.1016/j.jfs.2023.101192","DOIUrl":"https://doi.org/10.1016/j.jfs.2023.101192","url":null,"abstract":"<div><p>External imbalances played a pivotal role leading to the global financial crisis and were an important cause of turmoil. While current account (flow) imbalances narrowed in the aftermath of the crisis, the net international investment position (NIIP) (stock) imbalances persisted. This study explores the implications of countries’ net foreign positions on systemic risk. Using a sample of 470 banks located in 49 advanced economies, emerging countries, and developing economies over 2000–2020, we find robust empirical evidence that banks can reduce their systemic risk exposure when the countries in which they are incorporated improve their NIIPs and maintain creditor status vis-à-vis the rest of the world. However, only the equity component of the NIIP is responsible for this outcome, whereas debt flows are not significant. Similarly, we find that the mitigating effect of an external balance sheet on systemic risk is derived from valuation gains rather than from the incremental net acquisition of assets or liabilities represented by the current account. Our findings are particularly relevant for policymakers seeking to improve banks’ resilience to adverse shocks and maintain financial stability.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S157230892300092X/pdfft?md5=d3a610f724cf636f4cf186952a6f2ee0&pid=1-s2.0-S157230892300092X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138395790","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

The impact of COVID-19 on sovereign contagion COVID-19对主权蔓延的影响

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-14 DOI: 10.1016/j.jfs.2023.101189

Anastasios Drakos, Georgios Moratis

引用次数: 0

From liquidity risk to systemic risk: A use of knowledge graph 从流动性风险到系统性风险:知识图谱的应用

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-14 DOI: 10.1016/j.jfs.2023.101195

Ren-Raw Chen , Xiaohu Zhang

引用次数: 0

Direct and indirect impacts of natural disasters on banks: A spatial framework 自然灾害对银行的直接和间接影响:一个空间框架

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-10 DOI: 10.1016/j.jfs.2023.101194

James R. Barth , Qinyou Hu , Robin Sickles , Yanfei Sun , Xiaoyu Yu

{"title":"Direct and indirect impacts of natural disasters on banks: A spatial framework","authors":"James R. Barth , Qinyou Hu , Robin Sickles , Yanfei Sun , Xiaoyu Yu","doi":"10.1016/j.jfs.2023.101194","DOIUrl":"10.1016/j.jfs.2023.101194","url":null,"abstract":"<div><p>We examine the direct and indirect impacts of natural disasters on deposit rates of U.S. bank branches from 2008 to 2017. We capture the indirect impact by the spatial spillover effects of disasters, from branches directly exposed to such disasters to neighboring branches. We theoretically motivate our spatial framework by local competition for deposits among branches and provide empirical evidence consistent with this model. We find that indirect effects contribute to at least two-thirds of the total impact for deposit rate-setting branches. Rate-setting branches in affected counties, on average, raise their deposit rates on 12-month CDs by 1.5 basis points directly due to the disaster shock. However, there is an additional indirect increase of 2.7 – 4.3 basis points for all rate-setting branches, including those in adjacent but unaffected counties, due to the local geographical competition for deposits. We also confirm that the spillover effect occurs among branches across counties via an overlooked social connectedness. Moreover, and importantly, online and one-county banks are more likely to rely on the information channel embedded in the social connectedness effect in response to natural disasters. Branches in less concentrated local markets also respond more to the nature disaster and rate adjustments of neighboring branches.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135615006","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 risks and financial stability: Evidence from the European financial system 气候风险与金融稳定:来自欧洲金融体系的证据

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-10 DOI: 10.1016/j.jfs.2023.101190

Miia Chabot, Jean-Louis Bertrand

引用次数: 0

Portfolio choice algorithms, including exact stochastic dominance 投资组合选择算法，包括精确随机优势

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-10 DOI: 10.1016/j.jfs.2023.101196

H.D. Vinod

{"title":"Portfolio choice algorithms, including exact stochastic dominance","authors":"H.D. Vinod","doi":"10.1016/j.jfs.2023.101196","DOIUrl":"10.1016/j.jfs.2023.101196","url":null,"abstract":"<div><p>Assume data on Nj stock (asset) returns are available for p stocks, allowing us to construct approximate density functions <span><math><mrow><mi>f</mi><mtext>(</mtext><msub><mrow><mi>x</mi></mrow><mrow><mi>j</mi></mrow></msub></mrow></math></span>) for (j=1, 2, …, p) from p empirical cumulative distribution functions (ECDFs). Our portfolio choice is designed to rank ECDF-induced, ill-behaved <span><math><mrow><mi>f</mi><mtext>(</mtext><msub><mrow><mi>x</mi></mrow><mrow><mi>j</mi></mrow></msub></mrow></math></span>) densities subject to multiple modes, asymmetric fat tails, dips, turns, and numerous overlaps. Older portfolio theory assumes that parameters like the mean, variance, and percentiles fully describe <span><math><mrow><mi>f</mi><mtext>(</mtext><msub><mrow><mi>x</mi></mrow><mrow><mi>j</mi></mrow></msub></mrow></math></span>). All six of our algorithms avoid (expected) utility theory. The only available algorithm by Anderson for order-k Stochastic Dominance (SDk) needs a trapezoidal approximation. Our new exact algorithm for SDk is based on ECDFs and overcomes pairwise comparisons. We include algorithms for statistical inference using the bootstrap and one for “pandemic proof” out-of-sample portfolio performance comparisons from our R package ‘generalCorr’. We suggest a test for “zero cost profitable arbitrage” and illustrate our algorithms in action by using two sets of recent 169-month stock returns. We do not claim to suggest new optimal portfolios.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135566191","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

Social responsibility and bank resiliency 社会责任和银行弹性

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2023-11-10 DOI: 10.1016/j.jfs.2023.101191

Thomas Gehrig , Maria Chiara Iannino , Stephan Unger

引用次数: 0