Journal of Financial Stability最新文献_第8页

Do interbank markets price systemic risk? 银行间市场是否为系统性风险定价？

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-27 DOI: 10.1016/j.jfs.2024.101223

Michael Sigmund, Christoph Siebenbrunner

引用次数: 0

Financial stability through the lens of complex systems 从复杂系统的角度看金融稳定

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101228

Grzegorz Hałaj , Serafin Martinez-Jaramillo , Stefano Battiston

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引用次数: 0

Modelling fire sale contagion across banks and non-banks 模拟银行和非银行间的火灾销售传染

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101231

Fabio Caccioli , Gerardo Ferrara , Amanah Ramadiah

引用次数: 0

Temporal networks and financial contagion 时间网络和金融传染

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101224

Fabio Franch, Luca Nocciola, Angelos Vouldis

引用次数: 0

Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market 不确定性、非线性传染和信贷质量渠道：西班牙银行间市场的应用

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101226

Adrian Carro , Patricia Stupariu

{"title":"Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market","authors":"Adrian Carro , Patricia Stupariu","doi":"10.1016/j.jfs.2024.101226","DOIUrl":"10.1016/j.jfs.2024.101226","url":null,"abstract":"<div><p>Using granular data from the Spanish Credit Register, we study the contagion of financial distress via the credit quality channel in the Spanish interbank market. We propose a non-linear contagion mechanism dependent on banks’ balance-sheet structure (specifically, their leverage ratios). Moreover, we explicitly model uncertainty in lenders’ assessments of the probability of default of their borrowers, thus incorporating agents’ lack of complete information and heterogeneous expectations in their assessment of future outcomes. We perform multiple simulations across a wide range of possible levels of stress in the system, and we focus on disentangling the effects of these two key model components by comparing the results of our model with those of a linear and deterministic counterpart. In this way, we find that non-linear contagion leads to substantially larger losses than its linear counterpart for a wide range of intermediate levels of stress in the system, while its effects become negligible for very low and very high stress levels. Regarding uncertainty, we find that its effects, while smaller than those of non-linear contagion, are nonetheless relevant and most important around levels of stress at which different parts of the system become unstable. Interestingly, losses can be amplified or mitigated with respect to the deterministic case depending on the specific level of stress considered. Finally, the interaction between both model components—non-linear contagion and uncertainty—alters the area where uncertainty matters.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139581852","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 optimal control of interbank contagion in the euro area banking system 论欧元区银行体系中银行间传染的最优控制

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101225

Gábor Fukker, Christoffer Kok

{"title":"On the optimal control of interbank contagion in the euro area banking system","authors":"Gábor Fukker, Christoffer Kok","doi":"10.1016/j.jfs.2024.101225","DOIUrl":"10.1016/j.jfs.2024.101225","url":null,"abstract":"<div><p><span>In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from </span>combinatorial optimization tailored to controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the contagion losses and the policy authority’s ability to control them depend on the assumed fire sale mechanism and the fiscal budget constraint that may or may not restrain the policy authorities from infusing money to halt the contagion. The modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in the context of resolutions and precautionary recapitalizations or as a crisis prevention tool to help calibrate capital buffer requirements to address systemic risks due to interconnectedness.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139581686","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

“Thank me later”: Why is (macro)prudence desirable? "待会儿再谢我"：为什么（宏观）谨慎是可取的？

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-26 DOI: 10.1016/j.jfs.2024.101227

Graeme Cokayne , Eddie Gerba , Andreas Kuchler , Rasmus Pank Roulund

{"title":"“Thank me later”: Why is (macro)prudence desirable?","authors":"Graeme Cokayne , Eddie Gerba , Andreas Kuchler , Rasmus Pank Roulund","doi":"10.1016/j.jfs.2024.101227","DOIUrl":"10.1016/j.jfs.2024.101227","url":null,"abstract":"<div><p>We examine the social desirability of macroprudential measures, particularly those aimed at riskier home buyers. We examine the effectiveness of these measures against social costs, such as reduced access to the housing ladder for poorer households. Our analysis shows that the measures implemented so far have not limited access to credit or the housing markets. They have been effective in limiting the riskiest loans, minimizing negative equity episodes, reducing systemic risks by debilitating the house price-leverage spiral, and limiting the depths of contractions of a range of macro-financial variables. The welfare of households has also improved. Costs from these measures have been limited and have materialized through a rise in the age-income profile of first-time buyers, and somewhat more attenuated booms. Our results point to the conclusion that macroprudence is desirable when insulated from short-term interference and quick gains. The economy becomes more robust and even households in the lowest decile of the wealth distribution benefit from the general equilibrium effects of more stable financial provision.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139633336","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

Stock price crash risk and firms’ operating leverage 股价暴跌风险与公司的经营杠杆、

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-25 DOI: 10.1016/j.jfs.2024.101219

Xin Chang , Louis T.W. Cheng , Wing Chun Kwok , George Wong

引用次数: 0

Isolating defensive corporate ESG effects: Evidence from purely domestic anti-COVID-19 measures 隔离防御性企业的环境、社会和治理效应：来自纯粹国内反《19 世纪议程》措施的证据

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-24 DOI: 10.1016/j.jfs.2024.101220

John W. Goodell , Shaen Corbet , Yang (Greg) Hou , Yang Hu , Les Oxley

引用次数: 0

Bridging the information gap: How digitalization shapes stock price informativeness 弥合信息鸿沟：数字化如何影响股价信息量

IF 5.4 2区经济学

Journal of Financial Stability Pub Date : 2024-01-10 DOI: 10.1016/j.jfs.2024.101217

Weiping Li , Tingyu Li , Dequan Jiang , Xuezhi Zhang

引用次数: 0