Journal of Financial Stability最新文献_第7页

Sovereign credit spreads, banking fragility, and global factors 主权信用利差、银行业脆弱性和全球因素

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-08 DOI: 10.1016/j.jfs.2024.101235

Anusha Chari , Felipe Garcés , Juan Francisco Martínez , Patricio Valenzuela

引用次数: 0

Over with carbon? Investors’ reaction to the Paris Agreement and the US withdrawal 碳排放结束了？投资者对《巴黎协定》和美国退出的反应

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-07 DOI: 10.1016/j.jfs.2024.101232

Lucia Alessi , Stefano Battiston , Virmantas Kvedaras

{"title":"Over with carbon? Investors’ reaction to the Paris Agreement and the US withdrawal","authors":"Lucia Alessi , Stefano Battiston , Virmantas Kvedaras","doi":"10.1016/j.jfs.2024.101232","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101232","url":null,"abstract":"<div><p>How financial investors may react to policy events related to sustainability and climate change mitigation in particular, is a key question with implications for sustainable finance and financial stability. We address this question by carrying out a multi-period difference-in-difference approach on a confidential database of securities holdings of the European Central Bank, and we provide evidence of several effects related to the Paris Agreement. In aggregate, investors reduced their participation in the equities of high-carbon firms in response to the agreement, and the trend reverted after the US’s announcement of withdrawal from the agreement. However, the reaction varies across categories and geographies of the securities holders, their ownership size, and the emissions of owned firms. In particular, transition risk has been taken up by less regulated financial institutions and the BRIC countries. Our results highlight that the redirection of global financial flows towards climate action requires clear and unanimous signals from the global community of policy makers.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000172/pdfft?md5=4a821dc41f462f0663674b05b6c5fc30&pid=1-s2.0-S1572308924000172-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139915129","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 role of banks’ technology adoption in credit markets during the pandemic 大流行病期间银行采用技术对信贷市场的作用

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-07 DOI: 10.1016/j.jfs.2024.101230

Nicola Branzoli, Edoardo Rainone, Ilaria Supino

{"title":"The role of banks’ technology adoption in credit markets during the pandemic","authors":"Nicola Branzoli, Edoardo Rainone, Ilaria Supino","doi":"10.1016/j.jfs.2024.101230","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101230","url":null,"abstract":"<div><p>This paper shows that higher information technology (IT) adoption by banks was associated to a larger increase in corporate lending in the months following the COVID-19 outbreak in Italy. Examining banks with heterogeneous degrees of IT adoption, we investigate the dynamics of credit and its allocation across firms using a new database with detailed information on banks’ IT expenditures and use of innovative technologies matched with bank-firm level data on credit growth before and during the pandemic. Using a diff-in-diff approach, we find that banks with a higher share of IT spending increased their credit more than others during the pandemic. The increase was concentrated in term loans extended to smaller and financially sounder companies; the effect was stronger in the initial phase of tighter restrictions to firm activity and individual mobility, and more significant for undertakings active in the sectors most affected by the shock. We provide evidence that these results are driven by bank’s ability to offer credit entirely online and bank’s use of artificial intelligence for credit risk assessment. Physical proximity between borrowers and lenders was important for credit provision during the pandemic, but only when combined with high level of IT adoption.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139915128","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

Bank runs, prudential tools and social welfare in a global game general equilibrium model 全球博弈一般均衡模型中的银行挤兑、审慎工具和社会福利

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-06 DOI: 10.1016/j.jfs.2024.101236

Daisuke Ikeda

引用次数: 0

Assessing the systemic risk impact of bank bail-ins 评估银行纾困的系统性风险影响

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-03 DOI: 10.1016/j.jfs.2024.101229

Christoph Siebenbrunner , Martin Hafner-Guth , Ralph Spitzer , Stefan Trappl

引用次数: 0

The double materiality of climate physical and transition risks in the euro area 欧元区气候物理风险和转型风险的双重重要性

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-03 DOI: 10.1016/j.jfs.2024.101233

Régis Gourdel , Irene Monasterolo , Nepomuk Dunz , Andrea Mazzocchetti , Laura Parisi

{"title":"The double materiality of climate physical and transition risks in the euro area","authors":"Régis Gourdel , Irene Monasterolo , Nepomuk Dunz , Andrea Mazzocchetti , Laura Parisi","doi":"10.1016/j.jfs.2024.101233","DOIUrl":"10.1016/j.jfs.2024.101233","url":null,"abstract":"<div><p>We analyse the double materiality of climate physical and transition risks in the euro area economy and banking sector. First, by tailoring the EIRIN Stock-Flow Consistent behavioural model, we provide a dynamic balance sheet assessment of the Network for Greening the Financial System (NGFS) scenarios. We find that an orderly transition achieves early co-benefits by reducing CO<sub>2</sub> emissions (12% less in 2040 than in 2020) while supporting growth in economic output. In contrast, a disorderly transition worsens the economic performance and financial stability of the euro area. Further, in a disorderly transition with higher physical risks, real GDP decreases by 12.5% in 2050 relative to an orderly transition. Second, we analyse how firms’ expectations about climate policy credibility (climate sentiments) affect investment decisions in high or low-carbon goods. Firms that trust an orderly policy introduction do anticipate the carbon tax and switch earlier to low-carbon investments. This, in turn, accelerates economic decarbonization and decreases the risk of carbon-stranded assets for investors. Our results highlight the crucial role of early and credible climate policies to signal investment decisions in the low-carbon transition.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000184/pdfft?md5=9b0fa83c1b1e142745ecc0cebeae0f45&pid=1-s2.0-S1572308924000184-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139677653","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

Shock amplification in an interconnected financial system of banks and investment funds 银行和投资基金相互关联的金融体系中的冲击放大效应

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-03 DOI: 10.1016/j.jfs.2024.101234

Matthias Sydow , Aurore Schilte , Giovanni Covi , Marija Deipenbrock , Leonardo Del Vecchio , Pawel Fiedor , Gábor Fukker , Max Gehrend , Régis Gourdel , Alberto Grassi , Björn Hilberg , Michiel Kaijser , Georgios Kaoudis , Luca Mingarelli , Mattia Montagna , Thibaut Piquard , Dilyara Salakhova , Natalia Tente

{"title":"Shock amplification in an interconnected financial system of banks and investment funds","authors":"Matthias Sydow , Aurore Schilte , Giovanni Covi , Marija Deipenbrock , Leonardo Del Vecchio , Pawel Fiedor , Gábor Fukker , Max Gehrend , Régis Gourdel , Alberto Grassi , Björn Hilberg , Michiel Kaijser , Georgios Kaoudis , Luca Mingarelli , Mattia Montagna , Thibaut Piquard , Dilyara Salakhova , Natalia Tente","doi":"10.1016/j.jfs.2024.101234","DOIUrl":"10.1016/j.jfs.2024.101234","url":null,"abstract":"<div><p>This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. Our analysis reveals that adding the fund sector to our model for banks leads to additional losses through fire sales and a further depletion of banks’ capital ratios by around one percentage point. The main driver of additional bank losses are endogenous market losses generated by investment funds’ asset liquidation.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139677769","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 topological structure of panel variance decomposition networks 面板方差分解网络的拓扑结构

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-02 DOI: 10.1016/j.jfs.2024.101222

Alessandro Celani , Paola Cerchiello , Paolo Pagnottoni

引用次数: 0

Spillovers in Europe: The role of ESG 欧洲的溢出效应：环境、社会和治理的作用

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-02 DOI: 10.1016/j.jfs.2024.101221

Karoline Bax , Giovanni Bonaccolto , Sandra Paterlini

{"title":"Spillovers in Europe: The role of ESG","authors":"Karoline Bax , Giovanni Bonaccolto , Sandra Paterlini","doi":"10.1016/j.jfs.2024.101221","DOIUrl":"10.1016/j.jfs.2024.101221","url":null,"abstract":"<div><p>This paper explores the relationship between environmental, social and governance (ESG) information and systemic risk, an increasingly important issue for both regulators and investors. While ESG ratings are widely used to assess a company’s non-financial performance, the impact of these factors on financial stability and systemic risk is still under debate. By extending the Forecast Error Variance Decomposition (FEVD) method with a double regularization on both the underlying vector autoregressive (VAR) parameters and the covariance matrix of the VAR residuals, we are able to address the curse of dimensionality within each estimation. This allows us to examine how vulnerable a company is and how much systemic impact a company has given its specific ESG. Looking at a larger sample of European stocks over the period 2007–2022, we empirically show that both the best and worst ESG performers have the largest impact on the financial system in normal times. However, during a crisis, companies with the best ESG ratings generate significant spillovers throughout the system. These findings highlight the importance of incorporating ESG factors into systemic risk assessments and monitoring companies’ ESG performance to ensure financial stability. Policymakers can benefit from this research by supporting investment in high ESG companies to mitigate relevant spillovers during stressed market conditions, when such companies are more interconnected.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000068/pdfft?md5=18a9ae8682bceaf3b4702cf58b716ec0&pid=1-s2.0-S1572308924000068-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139680098","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

In Memoriam - Phil Molyneux 悼念菲尔-莫利纽克斯

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-02-01 DOI: 10.1016/j.jfs.2024.101218

引用次数: 0