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Systemic risk and oil price volatility shocks 系统性风险与油价波动冲击
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-06-28 DOI: 10.1016/j.jfs.2025.101432
Ioannis Chatziantoniou , Gonul Colak , Michail Filippidis , George Filis , Panagiotis Tzouvanas
{"title":"Systemic risk and oil price volatility shocks","authors":"Ioannis Chatziantoniou ,&nbsp;Gonul Colak ,&nbsp;Michail Filippidis ,&nbsp;George Filis ,&nbsp;Panagiotis Tzouvanas","doi":"10.1016/j.jfs.2025.101432","DOIUrl":"10.1016/j.jfs.2025.101432","url":null,"abstract":"<div><div>We examine the impact of different types of oil price volatility shocks on firm’s systemic risk using a large panel dataset of US firms. Oil price volatility shocks occur due to changes in supply or demand for oil, or through idiosyncratic fluctuations of oil prices. Our findings indicate that the supply-driven or idiosyncratic oil price volatility shocks reduce systemic risk, whereas demand-driven shocks have the opposite effect. Large-cap and high-beta firms amplify the impact of oil price volatility shocks on firms’ systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101432"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144522290","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
Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach 货币政策对银行杠杆的顺周期影响建模：一种随机宏观审慎方法
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-05-23 DOI: 10.1016/j.jfs.2025.101421
Juan F. Rendón , Lina M. Cortés , Javier Perote
{"title":"Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach","authors":"Juan F. Rendón ,&nbsp;Lina M. Cortés ,&nbsp;Javier Perote","doi":"10.1016/j.jfs.2025.101421","DOIUrl":"10.1016/j.jfs.2025.101421","url":null,"abstract":"<div><div>This study presents a methodology for analyzing procyclical systemic risk arising from joint monetary and prudential policy decisions. We analyze the impact of different scenarios of the monetary policy interest rate on the leverage ratio of US commercial banks. The Dynamic Conditional Correlation - Semi-nonparametric model and bivariate spectral analysis are applied to model the dynamics among the variables. The results indicate that high and low interest rates increase leverage while medium rates reduce it. The importance of considering asymmetries and heavy tails of probability distributions in stress tests and the dynamics of the correlation between variables is highlighted when assessing financial stability.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101421"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144167669","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
Rapid bank runs and delayed policy responses 银行挤兑迅速，政策反应迟缓
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-06-16 DOI: 10.1016/j.jfs.2025.101422
Ryuichiro Izumi , Yang Li
{"title":"Rapid bank runs and delayed policy responses","authors":"Ryuichiro Izumi ,&nbsp;Yang Li","doi":"10.1016/j.jfs.2025.101422","DOIUrl":"10.1016/j.jfs.2025.101422","url":null,"abstract":"<div><div>The 2023 banking turmoil highlighted how technological advancements have significantly accelerated the speed of bank runs. This paper investigates the impact of these faster bank runs on the effectiveness of policy interventions by interpreting them as a constraint on the relative speed of policy responses. Using a model of bank runs and ex-post policy responses, we examine how delays caused by this constraint affect financial fragility and welfare. We find that while delays exacerbate welfare loss by distorting allocations, they may also decrease fragility by making banks more cautious. We study the optimal level of structural delay, balancing the trade-off between distributional distortions and financial fragility. Furthermore, we extend this model to explore the roles of liquidity regulations and capital injections given such a delay. We show that regulation may be more desirable than a capital injection if the delay is substantial because the benefit of decreased fragility is particularly potent.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101422"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144307510","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
Rise of NBFIs and the global structural change in the transmission of market shocks 非金融机构的崛起与全球市场冲击传导的结构性变化
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-05-23 DOI: 10.1016/j.jfs.2025.101419
Yoshihiko Hogen , Yoshiyasu Kasai , Yuji Shinozaki
{"title":"Rise of NBFIs and the global structural change in the transmission of market shocks","authors":"Yoshihiko Hogen ,&nbsp;Yoshiyasu Kasai ,&nbsp;Yuji Shinozaki","doi":"10.1016/j.jfs.2025.101419","DOIUrl":"10.1016/j.jfs.2025.101419","url":null,"abstract":"<div><div>Fire-sale (FS) vulnerabilities, including those associated with nonbank financial intermediaries, are often measured using FS models. While existing studies use granular data to analyze these dynamics, the scope tends to focuses on a particular jurisdiction, leaving out the cross-jurisdictional dimension. This paper uses flow of funds data from Japan, the United States, and the Euro area to measure cross-border spillovers of market shocks (interlinkage effect) in the global financial system using a standard FS model. We find that the interlinkage effect has substantially increased at the global level since the global financial crisis, suggesting a global structural change in the transmission of market shocks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101419"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144184587","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 information disclosure quality and systemic risk in the U.S. banking industry 美国银行业气候信息披露质量与系统性风险
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-05-28 DOI: 10.1016/j.jfs.2025.101420
Zinan Hu, Sumuya Borjigin
{"title":"Climate information disclosure quality and systemic risk in the U.S. banking industry","authors":"Zinan Hu,&nbsp;Sumuya Borjigin","doi":"10.1016/j.jfs.2025.101420","DOIUrl":"10.1016/j.jfs.2025.101420","url":null,"abstract":"<div><div>Enhancing climate information disclosure quality in the banking sector improves transparency, reduces information asymmetry, and strengthens financial stability. We explore the effect of high-quality climate information disclosures, extracted from 271 U.S. banks’ annual reports from 2015 to 2024, on systemic risk. We use the deep learning model <span><math><mrow><mtext>C</mtext><mtext>LIMATE</mtext><mtext>B</mtext><mtext>ERT</mtext></mrow></math></span> to identify climate-related risk, neutral, and opportunity texts in U.S.-listed banks’ annual reports, focusing on their specificity. Based on these texts, and banks’ actual transition and physical risks, we construct a climate information disclosure quality index. This index includes non-symbolic and non-selective disclosures, measuring the transparency of banks’ climate disclosures. We find that improved climate disclosure quality reduces information asymmetry, mitigates market risk, and weakens systemic risk. Endogeneity tests and robustness checks support the findings. Increased investor attention amplifies the positive impact of climate disclosures. Finally, for financially unhealthy banks, the effect of enhanced disclosure quality is more significant.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101420"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144184675","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
On the origin of green finance policies 论绿色金融政策的起源
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-05-22 DOI: 10.1016/j.jfs.2025.101418
T.F. Cojoianu , D. French , A.G.F. Hoepner , L. Sheenan , A. Vu
{"title":"On the origin of green finance policies","authors":"T.F. Cojoianu ,&nbsp;D. French ,&nbsp;A.G.F. Hoepner ,&nbsp;L. Sheenan ,&nbsp;A. Vu","doi":"10.1016/j.jfs.2025.101418","DOIUrl":"10.1016/j.jfs.2025.101418","url":null,"abstract":"<div><div>Despite the rising number of green finance policies, the socioeconomic determinants shaping them remain largely unexamined. Drawing from the literature analysing the relationship between regulation, market development and institutional economics, we contend that green finance policy adoption is driven by both market-based and institutional factors. Using a survival analysis approach to understand the levers influencing green finance policy adoption across 188 countries from 2000 to 2019, we find that exposure to the fossil fuel industry predominantly drives the initial issuance of green finance policies. The positive effect of fossil fuel commercial financing on the adoption of green finance policies exists in countries with high and medium climate change awareness levels. Meanwhile, in countries with a low climate change awareness level, fossil fuel government subsidies drive green finance policy adoption. Our study also highlights the role of the financial industry as one of the key actors in the policy cycle of green finance policies via two pathways: (i) affecting financial stability through financing oil and gas companies on primary financial markets and (ii) developing a market for sustainable finance products.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101418"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144167668","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 listed banks riskier than private banks? 上市银行是否比私人银行风险更大？
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-07-03 DOI: 10.1016/j.jfs.2025.101435
Hamid Mehran , Ajay Patel , Nonna Sorokina
{"title":"Are listed banks riskier than private banks?","authors":"Hamid Mehran ,&nbsp;Ajay Patel ,&nbsp;Nonna Sorokina","doi":"10.1016/j.jfs.2025.101435","DOIUrl":"10.1016/j.jfs.2025.101435","url":null,"abstract":"<div><div>We shed light on the narrative that listing contributes to risk-taking by examining the risk characteristics of listed BHCs, small enough to be private, against a sample of comparable private BHCs, large enough to be listed, over the 1987–2019 period. We measure our proxies for risk characteristics over different intervals in the sample period to account for the effect of new regulations and variation in the intensity of information production by regulators, markets, and financial firms. We document that listed banks are riskier than private banks over the 22-year sample period. Examining the subperiods, we find that listed banks are riskier than private banks before the crisis, but they may not be as risky following the crisis. While risk increases for all banks during the crisis, the increase in risk for listed banks during the crisis is greater than that for private banks. Our findings are both statistically and economically significant and suggest that financial reforms and regulatory expectations facing banks post-crisis might have contributed to the risk reduction for listed banks relative to private banks.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101435"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144596817","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 performance and bond return volatility ESG绩效与债券回报波动性
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-06-13 DOI: 10.1016/j.jfs.2025.101434
Zehua Zhang , Ran Zhao , Lu Zhu , Trevor Chamberlain
{"title":"ESG performance and bond return volatility","authors":"Zehua Zhang ,&nbsp;Ran Zhao ,&nbsp;Lu Zhu ,&nbsp;Trevor Chamberlain","doi":"10.1016/j.jfs.2025.101434","DOIUrl":"10.1016/j.jfs.2025.101434","url":null,"abstract":"<div><div>This study examines the effects of environmental, social, and governance (ESG) performance on bond return volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond return volatility. The empirical results demonstrate that the impact on bond return volatility is primarily driven by ESG strengths rather than concerns. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with opportunistic managers and poor information environments.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101434"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144312527","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
Dissecting capital flows: Do capital controls shield against foreign shocks? 剖析资本流动：资本管制能抵御外国冲击吗？
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-08-01 Epub Date: 2025-07-05 DOI: 10.1016/j.jfs.2025.101433
Kyongjun Kwak , Camilo Granados
{"title":"Dissecting capital flows: Do capital controls shield against foreign shocks?","authors":"Kyongjun Kwak ,&nbsp;Camilo Granados","doi":"10.1016/j.jfs.2025.101433","DOIUrl":"10.1016/j.jfs.2025.101433","url":null,"abstract":"<div><div>To rationalize the increased use of capital flows regulations in recent times, we study the capacity of capital flow management measures (CFMs) to insulate an economy from external shocks. We examine the extent to which CFMs mitigate the effects of US monetary shocks and whether measuring this mitigation at the net or gross level of flows matters. Our analysis is carried out for a panel of emerging market economies and for different disaggregations of the flows. Our results indicate that the level of aggregation matters for evaluating the effects of CFMs, and that analyses with excessively aggregated flows or with only net measures may lead to biases in assessing the insulation features of the CFMs. Furthermore, CFMs have insulation properties that mitigate capital repatriations; however, these are mostly related to risky portfolio and banking flows.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"79 ","pages":"Article 101433"},"PeriodicalIF":6.1,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144596816","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
Macroprudential policy and systemic risk: The role of corporate and household credit booms 宏观审慎政策和系统性风险：企业和家庭信贷繁荣的作用
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2025-06-01 Epub Date: 2025-02-08 DOI: 10.1016/j.jfs.2025.101390
Peter Karlström
{"title":"Macroprudential policy and systemic risk: The role of corporate and household credit booms","authors":"Peter Karlström","doi":"10.1016/j.jfs.2025.101390","DOIUrl":"10.1016/j.jfs.2025.101390","url":null,"abstract":"<div><div>Recent financial crises have once again underscored the critical role of credit booms in driving systemic risk and financial instability in both advanced and developing countries. In this study, I examine whether macroprudential policies can attenuate systemic risk by mitigating the effects of booms in credit. The robust results show that macroprudential instruments are effective in curbing the build-up of systemic risk during household credit booms, which pose significant concerns for financial stability, though not for booms in credit to firms. Moreover, the findings suggest that limits on banks’ sectoral exposures are particularly effective in reducing systemic risk during booms in credit to the household sector. I further discover that leverage is a key transmission channel through which household credit booms contribute to systemic risk.</div></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"78 ","pages":"Article 101390"},"PeriodicalIF":6.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508380","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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