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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
Bank capital, liquidity creation and the moderating role of bank culture: An investigation using a machine learning approach 银行资本、流动性创造和银行文化的调节作用：使用机器学习方法进行调查
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-15 DOI: 10.1016/j.jfs.2024.101265
Loan Quynh Thi Nguyen , Roman Matousek , Gulnur Muradoglu
{"title":"Bank capital, liquidity creation and the moderating role of bank culture: An investigation using a machine learning approach","authors":"Loan Quynh Thi Nguyen ,&nbsp;Roman Matousek ,&nbsp;Gulnur Muradoglu","doi":"10.1016/j.jfs.2024.101265","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101265","url":null,"abstract":"<div><p>This empirical study investigates whether a strong bank culture may help strengthen, weaken, or have no effect on the relationship between regulatory capital and liquidity creation. Using a machine learning approach and banks’ 10-K reports, we first measure the corporate culture of selected bank holding companies (BHCs) in the United State (U.S.) over the period between 1995 and 2019. We find that bank culture does affect the link between regulatory capital and liquidity creation. In particular, while we find that regulatory capital has a negative impact on bank liquidity creation, a strong culture in a bank weakens this negative association. We also find that an increase in asset-side liquidity creation is the main channel through which bank culture exerts its moderating role. Finally, our results are largely driven by smaller banks, banks with a more traditional funding structure and more profitable banks. The results of this study suggest that regulators should consider bank culture as being a crucial element in the monitoring approach when designing bank regulation and supervision.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101265"},"PeriodicalIF":5.4,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140604952","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 macroeconomic costs of the bank tax 银行税的宏观经济成本
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-10 DOI: 10.1016/j.jfs.2024.101262
Marcin Borsuk , Joanna Przeworska , Anthony Saunders , Dobromił Serwa
{"title":"The macroeconomic costs of the bank tax","authors":"Marcin Borsuk ,&nbsp;Joanna Przeworska ,&nbsp;Anthony Saunders ,&nbsp;Dobromił Serwa","doi":"10.1016/j.jfs.2024.101262","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101262","url":null,"abstract":"<div><p>In this paper, we investigate the real effects of special taxation on banks. We provide evidence that the introduction of a new fiscal levy on banks significantly impairs their performance and has an adverse impact on the real economy through the lending channel. Using micro-level data on lending relationships, we identify the credit supply shock related with a bank tax controlling for loan demand factors. We compute a firm-specific measure of firm exposure to burdened credit institutions. We find a negative impact of the tax shock on investment and output. Our results are important from a policy perspective as they shed light on the economic consequences of double taxation on banks.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101262"},"PeriodicalIF":5.4,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140631225","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
Political connections and zombie firms: The role of the 2008 stimulus plan in China 政治关系与僵尸企业：中国 2008 年经济刺激计划的作用
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-09 DOI: 10.1016/j.jfs.2024.101260
Jie Li , Xiaowei Guo , Bihong Huang , Tianhang Zhou
{"title":"Political connections and zombie firms: The role of the 2008 stimulus plan in China","authors":"Jie Li ,&nbsp;Xiaowei Guo ,&nbsp;Bihong Huang ,&nbsp;Tianhang Zhou","doi":"10.1016/j.jfs.2024.101260","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101260","url":null,"abstract":"<div><p>This paper explores the impact of political connections on zombie business in the presence of massive economic stimulus. Although a stimulus plan may substantially ease financial constraints for a politically connected firm, it distorts the firm’s decision regarding market exit. Exploiting China’s 2008 stimulus package as a semi natural experiment, we show that a firm with political connections is more likely to become a zombie following such stimulus measures. Further analysis indicates that the zombification impact of the stimulus plan is more pronounced for the firms operating in the key industries targeted by the stimulus package.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101260"},"PeriodicalIF":5.4,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140542485","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
International financial stress spillovers during times of unconventional monetary policy interventions 非常规货币政策干预时期的国际金融压力溢出效应
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-04-09 DOI: 10.1016/j.jfs.2024.101259
George N. Apostolakis, Nikolaos Giannellis
{"title":"International financial stress spillovers during times of unconventional monetary policy interventions","authors":"George N. Apostolakis,&nbsp;Nikolaos Giannellis","doi":"10.1016/j.jfs.2024.101259","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101259","url":null,"abstract":"<div><p>In this study, we estimate a Bayesian global vector autoregressive model to uncover the effects of financial stress on output growth, inflation, and interest rates, accounting for several advanced and emerging economies for a period spanning from February 2008 until May 2022. We construct a financial stress index applicable to all countries, tracking periods of financial instability in the economies, and employ shadow short rates as a proxy measure of unconventional monetary policy. This study provides strong evidence that financial stress shocks are transmitted abroad as financial stress increases in all the countries in the sample. Our results also show that financial stress innovation generates important domestic and cross-border output, inflation, and interest rate spillovers for several countries. Additionally, we identify the active role of the financial and bank credit channels in the transmission of shocks across financial systems, while macroprudential policy can intercept the propagation of the shock. Our results carry policy implications for monetary and regulatory authorities.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101259"},"PeriodicalIF":5.4,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140548577","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
Impact of higher capital buffers on banks’ lending and risk-taking in the short- and medium-term: Evidence from the euro area experiments 更高的缓冲资本对银行中短期贷款和风险承担的影响：欧元区实验的证据
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-03-27 DOI: 10.1016/j.jfs.2024.101250
Giuseppe Cappelletti , Aurea Ponte Marques , Paolo Varraso
{"title":"Impact of higher capital buffers on banks’ lending and risk-taking in the short- and medium-term: Evidence from the euro area experiments","authors":"Giuseppe Cappelletti ,&nbsp;Aurea Ponte Marques ,&nbsp;Paolo Varraso","doi":"10.1016/j.jfs.2024.101250","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101250","url":null,"abstract":"<div><p>We study the impact of higher capital buffers on bank lending and risk-taking behaviour, at different time horizons following the initial policy decision. Employing a regression discontinuity design and confidential centralised supervisory data for euro area banks from 2014 to 2017, our research uniquely explores the effects of the EU policy on other systemically important institutions (O-SIIs) through a quasi-randomised experiment, exploiting the induced policy change and discontinuity of the O-SII identification process. Our findings show that the introduction of the O-SII buffers resulted in a short-term reduction in credit supply to households and financial sector, followed by a medium-term shift towards less risky borrowers, particularly in the household sector. We find a temporary cut in loan growth post-capital hikes, succeeded by a rebound in the medium-term. Our results substantiate the hypothesis that higher capital buffers can positively discipline banks by reducing risk-taking in the medium-term. At the same time, evidence suggests a limited adverse impact on the real economy, characterised by a temporary reduction in credit supply restricted to instances of macroprudential policy tightening.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"72 ","pages":"Article 101250"},"PeriodicalIF":5.4,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140345411","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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