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Decoding underprediction and anchoring in BEA's GDP backcasts 破解低估，锚定东亚银行的GDP预测
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jfs.2026.101509
Geoffrey G. Booth , Polina Ellina , Panayiotis Theodossiou
{"title":"Decoding underprediction and anchoring in BEA's GDP backcasts","authors":"Geoffrey G. Booth ,&nbsp;Polina Ellina ,&nbsp;Panayiotis Theodossiou","doi":"10.1016/j.jfs.2026.101509","DOIUrl":"10.1016/j.jfs.2026.101509","url":null,"abstract":"<div><div>This paper applies a Skewed Generalized Error Distribution (SGED) framework to evaluate the distributional properties of the Bureau of Economic Analysis’s 15-, 45-, and 75-day backcasts of quarterly nominal and real GDP growth. By modeling the mode, skewness, and tail thickness jointly, we assess informational efficiency and the extent to which early GDP estimates vary across business-cycle conditions. The results show systematic departures from efficiency: mean errors remain negative in expansions, variances do not decline monotonically across releases, and all error distributions exhibit heavy tails. The most probable forecast error (mode) deviates from zero in a clear, state-dependent pattern, negative in expansions and positive in contractions, while tail risks intensify in downturns. These regime-dependent shifts suggest persistent anchoring and elevated uncertainty in early-release estimates. The SGED framework thus highlights structural features of BEA backcasts that shape real-time inference and underscores the need for continued improvements in measurement, transparency, and early-data interpretation.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101509"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146174391","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
Contagion, interdependence and global crisis: Evidence from equity markets 传染、相互依赖与全球危机：来自股市的证据
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jfs.2026.101508
Christian Urom , Ilyes Abid , Khaled Guesmi , Samir Saadi
{"title":"Contagion, interdependence and global crisis: Evidence from equity markets","authors":"Christian Urom ,&nbsp;Ilyes Abid ,&nbsp;Khaled Guesmi ,&nbsp;Samir Saadi","doi":"10.1016/j.jfs.2026.101508","DOIUrl":"10.1016/j.jfs.2026.101508","url":null,"abstract":"<div><div>This paper examines the transmission of shocks between 55 global equity markets over the major crisis episodes, such as the 2007–2009 global financial crisis and the COVID-19 pandemic. Employing a factor model incorporating U.S., global, and domestic market factors, we find five dominant transmission channels: domestic banking sector exposure, banking system default risk, external exposure, domestic market fundamentals, and global equity market volatility. Our results show an increase in market co-movement during crises, largely explained by the U.S. factor, followed by the global factor. Some evidence for non-fundamental contagion is also present in certain markets. Though risk transmission channels differ by region and factor, the findings suggest that external exposures through international banking linkages and financial integration are the major conduits for contagion. Global equity market volatility and current account imbalances also figure prominently as sources of spillovers, particularly within European markets. Overall, our analysis highlights the predominant role of external factors and the strength of domestic macroeconomic fundamentals in determining shock transmission during crises. These results provide important guidance to investors for effective portfolio strategies and policymakers for mitigating contagion risks, highlighting the role of macroeconomic stability and cautious financial integration in minimizing vulnerability during turbulent times.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101508"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146174394","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
Capital and liquidity interaction in banking 银行资本与流动性的相互作用
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-03-01 Epub Date: 2026-02-16 DOI: 10.1016/j.jfs.2026.101515
Jonathan Acosta-Smith , Guillaume Arnould , Sebastian J.A. De-Ramon , Kristoffer Milonas , Quynh-Anh Vo
{"title":"Capital and liquidity interaction in banking","authors":"Jonathan Acosta-Smith ,&nbsp;Guillaume Arnould ,&nbsp;Sebastian J.A. De-Ramon ,&nbsp;Kristoffer Milonas ,&nbsp;Quynh-Anh Vo","doi":"10.1016/j.jfs.2026.101515","DOIUrl":"10.1016/j.jfs.2026.101515","url":null,"abstract":"<div><div>We study how banks’ capital levels affect the extent to which banks engage in liquidity transformation. We first build a simple model to develop a testable hypothesis of this relationship. We then test our prediction using a confidential Bank of England dataset that includes time varying and arguably exogenous add-ons to banks’ capital requirements. We find that, on average, banks engage in less liquidity transformation when their capital increases, which suggests that capital and liquidity requirements are, to at least some extent, substitutes. We also find that this substitution is mostly driven by smaller banks. These results have interesting implications for the optimal joint calibration of capital and liquidity requirements and for the proportionality of prudential regulations.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"83 ","pages":"Article 101515"},"PeriodicalIF":4.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147398628","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
Stimulating credit through banks’ unsecured debt purchases: Insights from a non-traditional measure 通过购买银行无担保债务刺激信贷：来自非传统措施的见解
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-12-24 DOI: 10.1016/j.jfs.2025.101497
Noam Michelson
{"title":"Stimulating credit through banks’ unsecured debt purchases: Insights from a non-traditional measure","authors":"Noam Michelson","doi":"10.1016/j.jfs.2025.101497","DOIUrl":"10.1016/j.jfs.2025.101497","url":null,"abstract":"<div><div>This paper examines the effectiveness of a novel monetary policy instrument—central bank purchases of commercial banks’ unsecured bonds—on bank credit supply. As part of its COVID-19 response in July 2020, the Bank of Israel uniquely included purchases of banks’ unsecured debt issued through publicly tradable bonds in its corporate bond purchase program. This differed from most similar programs globally that focused solely on corporate securities. Using confidential datasets of individual central bank purchases and bank-level borrower credit, I employ Khwaja and Mian’s (2008) analytical framework with borrower fixed effects to isolate supply effects from demand factors. The results demonstrate that the share of bank bonds purchased by the Bank of Israel led to a significant increase in credit supply. An analysis of the transmission channels reveals that changes in bondholder composition—specifically the shift from “unstable hands” investors to the stable, buy-and-hold, Bank of Israel— drove these effects by restoring market confidence and inducing deposit inflows. Consequently, banks with higher pre-program shares of price-sensitive bondholders experienced larger deposit inflows and exhibited substantially stronger credit responses. This study contributes to the literature by documenting a novel policy instrument for expanding the supply of bank credit and providing the first evidence that changes in banks’ debtholder composition affect their provision of credit.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101497"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840189","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 policy and international capital reallocation 气候政策与国际资本再分配
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-12-24 DOI: 10.1016/j.jfs.2025.101495
Marius Fourné , Xiang Li
{"title":"Climate policy and international capital reallocation","authors":"Marius Fourné ,&nbsp;Xiang Li","doi":"10.1016/j.jfs.2025.101495","DOIUrl":"10.1016/j.jfs.2025.101495","url":null,"abstract":"<div><div>This study employs bilateral data on external assets to examine the impact of climate policies on the reallocation of international capital. We find that the stringency of climate policy in the destination country is significantly and positively associated with an increase in the allocation of portfolio equity and banking investment to that country. However, it does not show significant effects on the allocation of foreign direct investment and portfolio debt. Our findings are not driven by valuation effects, and we present evidence that suggests diversification, suasion, and uncertainty mitigation as possible underlying mechanisms.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101495"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840190","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
Trade reforms and firm value: Worldwide evidence 贸易改革与企业价值：全球证据
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-11-16 DOI: 10.1016/j.jfs.2025.101481
Linghua Kong, Thomas To, Eliza Wu
{"title":"Trade reforms and firm value: Worldwide evidence","authors":"Linghua Kong,&nbsp;Thomas To,&nbsp;Eliza Wu","doi":"10.1016/j.jfs.2025.101481","DOIUrl":"10.1016/j.jfs.2025.101481","url":null,"abstract":"<div><div>Tariffs are commonly used to protect domestic firms from foreign competition. Using 25 major trade reforms implemented in 17 countries around the world since 1990, we document that firm value significantly increases following reductions in import tariffs. This value enhancement is concentrated in emerging markets and countries with stronger ex-ante competition laws. We identify two channels driving the increase in firm value: an increase in firm efficiency and profit margins due to lower input costs, and an increase in CEO turnover-performance and pay-performance sensitivity driven by increased competition. Overall, our findings underscore the importance of trade liberalization, while also highlighting the critical role of institutional support in fostering competition from foreign firms to stimulate private sector growth.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101481"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145616535","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 leverage of hedge funds and the risk of their prime brokers 对冲基金的杠杆和它们的主要经纪人的风险
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-12-29 DOI: 10.1016/j.jfs.2025.101498
Ariston Karagiorgis , Dimitrios Anastasiou , Konstantinos Drakos , Steven Ongena
{"title":"The leverage of hedge funds and the risk of their prime brokers","authors":"Ariston Karagiorgis ,&nbsp;Dimitrios Anastasiou ,&nbsp;Konstantinos Drakos ,&nbsp;Steven Ongena","doi":"10.1016/j.jfs.2025.101498","DOIUrl":"10.1016/j.jfs.2025.101498","url":null,"abstract":"<div><div>Using an extensive matched hedge fund-prime broker panel dataset for the period 2001–2021, we document a strong positive relationship between hedge fund leverage and prime broker’s stock price crash risk after controlling for other crash risk drivers. Our results are not only statistically, but also economically significant, showing that a one-standard-deviation increase in hedge fund leverage is associated on average with an increase of around 5% of a standard deviation in the negative skewness or the down-to-up-volatility of bank stock returns. Moreover, they remain robust when accounting for endogeneity and conducting many robustness checks. We also document that some investment strategies, such as one focusing on fixed income, appear to decrease the slope of the risk metrics of prime brokers, and ultimately leading to lower stock price crash risk.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101498"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883772","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
Do municipalities pay more to issue unrated bonds? 市政当局是否为发行未评级债券支付更多费用？
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-11-19 DOI: 10.1016/j.jfs.2025.101482
Matthew Peppe , Haluk Unal
{"title":"Do municipalities pay more to issue unrated bonds?","authors":"Matthew Peppe ,&nbsp;Haluk Unal","doi":"10.1016/j.jfs.2025.101482","DOIUrl":"10.1016/j.jfs.2025.101482","url":null,"abstract":"<div><div>In this paper, we investigate why municipalities do not obtain ratings for their bond issues and whether this raises their issuance costs. Approximately 34 % of local municipal bonds were issued without ratings during 1998–2017. We show that issuers are less likely to obtain ratings for smaller, negotiated offerings, and bonds issued by municipalities with low personal income. Using a doubly robust inverse probability weighted regression adjustment, we estimate that rated bonds have 37–59 basis points lower offering yields than the unrated bonds. We find the choice of issuers to forgo ratings despite the substantial potential savings is associated with the choice of underwriter. Prior to the reform that prohibited underwriters from also working as advisors to the issuer, use of a dual underwriter was associated with not obtaining a rating.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101482"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145580369","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
Culture as a catalyst: The impact of corporate culture on strategic alliances and equity market response 文化作为催化剂：企业文化对战略联盟和股权市场反应的影响
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-12-26 DOI: 10.1016/j.jfs.2025.101496
Kawser Ahmed Shiblu, Francesca Toscano
{"title":"Culture as a catalyst: The impact of corporate culture on strategic alliances and equity market response","authors":"Kawser Ahmed Shiblu,&nbsp;Francesca Toscano","doi":"10.1016/j.jfs.2025.101496","DOIUrl":"10.1016/j.jfs.2025.101496","url":null,"abstract":"<div><div>This study investigates the relationship between corporate culture and strategic alliances. We find that firms with strong cultural frameworks are more likely to form strategic alliances, particularly in contract-intensive sectors. Additionally, corporate culture acts as a substitute for factors like industry competition or potential credit rating changes. Culture impacts nearly every domain aside from funding-related alliances, with <em>Teamwork</em>, <em>Innovation</em>, and <em>Quality</em> representing the most significant dimensions. Finally, equity markets respond positively to alliance announcements from firms with stronger cultural values, suggesting that investors view corporate culture as a key driver of strategic success.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101496"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840292","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
Different strokes for different banks: A heterogeneity analysis of Fed QE on bank lending 不同银行的不同举措：美联储量化宽松对银行贷款的异质性分析
IF 4.2 2区 经济学
Journal of Financial Stability Pub Date : 2026-02-01 Epub Date: 2025-12-23 DOI: 10.1016/j.jfs.2025.101493
Marianna Blix Grimaldi , Supriya Kapoor
{"title":"Different strokes for different banks: A heterogeneity analysis of Fed QE on bank lending","authors":"Marianna Blix Grimaldi ,&nbsp;Supriya Kapoor","doi":"10.1016/j.jfs.2025.101493","DOIUrl":"10.1016/j.jfs.2025.101493","url":null,"abstract":"<div><div>Using detailed data on U.S. bank holding companies and the Federal Reserve’s Quantitative Easing (QE) programmes implemented after the 2007–09 financial crisis, we reveal a more nuanced transmission mechanism than previously documented in the literature. The effect of QE on bank lending varies systematically according to banks’ liquidity and solvency profiles. Specifically, we find that the most vulnerable banks (e.g., those with high asset-risk exposure and low liquidity or low capital positions) tend to increase lending more aggressively than their safer counterparties in response to QE. Moreover, QE appears to increase risk-taking behaviour, especially among weaker banks. These findings highlight the non-linear nature of QE transmission and emphasize the importance of accounting for bank heterogeneity in the assessment of unconventional monetary policy.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"82 ","pages":"Article 101493"},"PeriodicalIF":4.2,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883769","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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