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Price exuberance episodes in private real estate 私人房地产价格飙升事件
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-26 DOI: 10.1016/j.jfs.2024.101300
Peter Cincinelli , Sotiris Tsolacos , Giovanni Urga
{"title":"Price exuberance episodes in private real estate","authors":"Peter Cincinelli ,&nbsp;Sotiris Tsolacos ,&nbsp;Giovanni Urga","doi":"10.1016/j.jfs.2024.101300","DOIUrl":"10.1016/j.jfs.2024.101300","url":null,"abstract":"<div><p>In this paper, we investigate price exuberance episodes in the main UK commercial real estate sectors – retail, offices and industrials - over the period December 1986–April 2022. Using the Backward Supremum Augmented Dickey Fuller approach of Phillips et al. (2015a,b), we find that episodes of price explosiveness are asynchronous across sectors with only common phase being the period 2003–2007. We also conduct a multivariate probit analysis to identify factors that indicate the occurrence of price exuberance episodes and generate early signals for possible price bubble building. The predictors for price explosiveness differ by sector with more consistent signals obtained from the yield curve for retail and industrials, rent growth for offices and industrials, and inflation for retail and offices. A key implication of this study is that the study of price exuberance and bubbles in private real estate should be sector specific even within the same country.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"74 ","pages":"Article 101300"},"PeriodicalIF":6.1,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141851870","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
Firm-level political risk and stock price crashes 公司层面的政治风险与股价暴跌
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-25 DOI: 10.1016/j.jfs.2024.101303
Panagiota Makrychoriti , Emmanouil G. Pyrgiotakis
{"title":"Firm-level political risk and stock price crashes","authors":"Panagiota Makrychoriti ,&nbsp;Emmanouil G. Pyrgiotakis","doi":"10.1016/j.jfs.2024.101303","DOIUrl":"10.1016/j.jfs.2024.101303","url":null,"abstract":"<div><p>In this study, we examine the relationship between firm-level political risk and stock price crash risk. Using a broad dataset of 4230 U.S. firms, 38,097 firm-year observations from 2002 to 2019, we reveal a positive association between political risk and stock price crash risk. These findings are robust to several model specifications and endogeneity checks. By using the Brexit referendum as a quasi-natural experiment, we provide evidence of a causal relationship between political risk and crash risk. Through channel analysis, we identify that this relationship is mediated via higher idiosyncratic volatility, lower price informativeness, and higher distress risk. We also find that our results are more pronounced in intangible-intensive firms. Interestingly, we show that managers of these firms respond to political risk by engaging in bad news hoarding. Finally, strong (external or internal) corporate governance mechanisms can moderate the positive relationship between political risk and stock price crash risk.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"74 ","pages":"Article 101303"},"PeriodicalIF":6.1,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000883/pdfft?md5=87b7265bb0a7ed9cf0fea37aaf7068d5&pid=1-s2.0-S1572308924000883-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141849158","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
What charge-off rates are predictable by macroeconomic latent factors? 宏观经济的潜在因素可以预测哪些扣款率？
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-24 DOI: 10.1016/j.jfs.2024.101301
Hyeongwoo Kim , Jisoo Son
{"title":"What charge-off rates are predictable by macroeconomic latent factors?","authors":"Hyeongwoo Kim ,&nbsp;Jisoo Son","doi":"10.1016/j.jfs.2024.101301","DOIUrl":"10.1016/j.jfs.2024.101301","url":null,"abstract":"<div><p>Charge-offs provide critical insights into the risk level of loan portfolios within the banking system, signaling potential systemic risks that could lead to deep recessions. Utilizing consolidated financial statements, we have compiled the net charge-off rate (COR) data from the 10 largest U.S. bank holding companies (BHCs) for disaggregated loans, including business loans, real estate loans, and consumer loans, as well as the average COR for each loan category among these top 10 banks. We propose factor-augmented forecasting models for CORs that incorporate latent common factor estimates, including targeted factors, via an array of data dimensionality reduction methods for a large panel of macroeconomic predictors. Our models have demonstrated superior performance compared with benchmark forecasting models, particularly well for business loan and real estate loan CORs, while predicting consumer loan CORs remains challenging especially at short horizons. Notably, real activity factors improve the out-of-sample predictability over the benchmarks for business loan CORs even when financial sector factors are excluded.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"74 ","pages":"Article 101301"},"PeriodicalIF":6.1,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843122","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
Leadership vacuum and corporate investment 领导真空和企业投资
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-22 DOI: 10.1016/j.jfs.2024.101302
Maoyong Cheng , Yu Meng , Justin Jin , S.M. Khalid Nainar
{"title":"Leadership vacuum and corporate investment","authors":"Maoyong Cheng ,&nbsp;Yu Meng ,&nbsp;Justin Jin ,&nbsp;S.M. Khalid Nainar","doi":"10.1016/j.jfs.2024.101302","DOIUrl":"10.1016/j.jfs.2024.101302","url":null,"abstract":"<div><p>The vacuum caused by the absence of a political leader has a major economic impact. We manually collect data on the absence of a political leader in 247 Chinese cities between 2009 and 2019 and find that firms reduce their investment by an average of 2.326 % for each month that a political office remains vacant. This result holds even after subjecting the data to a series of endogeneity tests, robustness tests, and alternative explanations. We also demonstrate that the absence of a political leader reduces corporate investment through increased uncertainty of economic policy, reduced governmental efficiency, and disrupted political connections. Finally, our results show that this kind of absence has a more pronounced impact on younger firms, firms located in provinces with slower marketization, firms located in provinces with weak media development, non-state-owned enterprises, and firms located in regions under significant promotional pressure.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"74 ","pages":"Article 101302"},"PeriodicalIF":6.1,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000871/pdfft?md5=e51e7d38f4970538ac1ef84ebcfd2cc5&pid=1-s2.0-S1572308924000871-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850867","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 loan loss provisions in income inequality: Evidence from a sample of banking institutions 贷款损失准备金在收入不平等中的作用：来自银行机构样本的证据
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-17 DOI: 10.1016/j.jfs.2024.101299
Nicholas Apergis
{"title":"The role of loan loss provisions in income inequality: Evidence from a sample of banking institutions","authors":"Nicholas Apergis","doi":"10.1016/j.jfs.2024.101299","DOIUrl":"10.1016/j.jfs.2024.101299","url":null,"abstract":"<div><p>This study explores the empirical link between income inequality and banks’ Loan Loss Provisions (LLPs) through a sample of banking institutions from 132 countries, applying a panel regression methodology. The evidence reveals that higher LLPs have a positive impact on income inequality, and the findings remain valid across various model specifications and income inequality measures. The results also hold against various robustness tests, such as different bank sizes, developed vs. emerging countries, the impact of the 2008 global financial crisis, and the controlling for risk. The implications are relevant for stakeholders, including regulators that endeavor to protect banking systems against expected and unexpected losses via LLPs. Specifically, since credit decisions have substantial effects on income inequality, regulators should mitigate the accumulation of LLPs, allowing more funds to be available for other banking system activities and functions.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101299"},"PeriodicalIF":6.1,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141637322","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 requirements and risk-taking: Evidence from basel III 银行资本要求与风险承担：巴塞尔协议 III 的证据
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-14 DOI: 10.1016/j.jfs.2024.101292
Rebeca Anguren , Gabriel Jiménez , José-Luis Peydró
{"title":"Bank capital requirements and risk-taking: Evidence from basel III","authors":"Rebeca Anguren ,&nbsp;Gabriel Jiménez ,&nbsp;José-Luis Peydró","doi":"10.1016/j.jfs.2024.101292","DOIUrl":"10.1016/j.jfs.2024.101292","url":null,"abstract":"<div><p>We study the effects of both tighter and looser bank capital requirements on bank risk-taking. We exploit credit register data matched with firm and bank level data in conjunction with changes in capital requirements stemming from Basel III, including the introduction of a SME supporting bank capital factor in the European Union. We find that tighter capital requirements reduce the supply of bank credit to firms, while looser capital requirements mitigate the credit supply effects of increasing capital. Importantly, at the loan level (credit supply), banks more affected by capital requirements change less the supply of credit to riskier than to safer firms, and these asymmetric effects occur for both the tightening and the loosening of bank capital requirements. Finally, these effects are also important at the firm-level for total credit availability and for firm survival. Interestingly, our results suggest that those banks most impacted by the tighter Basel III capital requirements prioritize credit among ex-ante riskier firms to avoid their closure, consistent with loan evergreening.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"74 ","pages":"Article 101292"},"PeriodicalIF":6.1,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141691943","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
Open-economy macroeconomics with financial frictions: A simple model with flexible exchange rates 具有金融摩擦的开放经济宏观经济学：具有灵活汇率的简单模型
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-08 DOI: 10.1016/j.jfs.2024.101293
Pierre-Richard Agénor
{"title":"Open-economy macroeconomics with financial frictions: A simple model with flexible exchange rates","authors":"Pierre-Richard Agénor","doi":"10.1016/j.jfs.2024.101293","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101293","url":null,"abstract":"<div><p>A simple macroeconomic model with banking, financial frictions, and flexible exchange rates is used to study the performance of fiscal, monetary and macroprudential policy combinations in response to domestic and external shocks. After characterizing the transmission process of each instrument, a diagrammatic analysis of how these policies should be used, either individually or jointly, to promote economic and financial stability, is provided. The analysis shows that whether a policy should be assigned to internal or external balance, and whether it should be contractionary or expansionary, depends not only on the nature of the shocks impinging on the economy but also on the range of tools available to policymakers and the strength of financial frictions. In particular, in response to an external financial shock, monetary policy should be assigned to external balance, and fiscal policy or macroprudential regulation to internal balance. These two policies are substitutes when used in combination with monetary policy.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101293"},"PeriodicalIF":6.1,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308924000780/pdfft?md5=d00c91ae24b7216cce9e04a1886cd532&pid=1-s2.0-S1572308924000780-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141604955","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
Corporate disclosure behavior during financial crises: Evidence from Korea 金融危机期间的企业信息披露行为：韩国的证据
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-06 DOI: 10.1016/j.jfs.2024.101298
Yeonghyeon Kim , Junyong Lee , Kyounghun Lee , Frederick Dongchuhl Oh
{"title":"Corporate disclosure behavior during financial crises: Evidence from Korea","authors":"Yeonghyeon Kim ,&nbsp;Junyong Lee ,&nbsp;Kyounghun Lee ,&nbsp;Frederick Dongchuhl Oh","doi":"10.1016/j.jfs.2024.101298","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101298","url":null,"abstract":"<div><p>We examine corporate disclosure patterns according to changes in firm states during financial crises in Korea. Using panel data on Korean listed firms from 1995 to 2019, we first confirm that they transparently (opaquely) disclose information when the change in return on assets is positive (negative) during crises. Moreover, we check that these disclosure patterns increase debt financing but are ineffective for equity financing. Finally, for chaebols with internal capital markets, we find that internal capital receivers provide transparent (opaque) disclosure of negative (positive) changes in their states. By contrast, providers show the opposite patterns. (JEL G01, G30, M40)</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101298"},"PeriodicalIF":6.1,"publicationDate":"2024-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141596021","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
Societal trust and corporate bankruptcy 社会信任与公司破产
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-07-03 DOI: 10.1016/j.jfs.2024.101296
Anand Jha , Renee Oyotode-Adebile , Zubair Ali Raja
{"title":"Societal trust and corporate bankruptcy","authors":"Anand Jha ,&nbsp;Renee Oyotode-Adebile ,&nbsp;Zubair Ali Raja","doi":"10.1016/j.jfs.2024.101296","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101296","url":null,"abstract":"<div><p>We find that societal trust—the extent to which residents of a country trust others—is associated with a more efficient bankruptcy process. Bankruptcy resolutions are faster, efficient outcomes are more likely, and the value lost during the bankruptcy process is lower in countries with higher societal trust. This effect of societal trust on the efficiency of the bankruptcy process is more pronounced in countries with low-income per capita, and in corrupt countries. Our results are derived from the analysis of survey data concerning the outcomes of a hypothetical firm's bankruptcy in 99 countries from 2004 to 2020, a dataset also utilized by Djankov et al. (2008).</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101296"},"PeriodicalIF":6.1,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141604953","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
When banks become pure creditors: The effects of declining shareholding by Japanese banks on bank lending and firms’ risk-taking 当银行成为纯粹的债权人时：日本银行持股比例下降对银行贷款和企业风险承担的影响
IF 6.1 2区 经济学
Journal of Financial Stability Pub Date : 2024-06-29 DOI: 10.1016/j.jfs.2024.101294
Arito Ono , Katsushi Suzuki , Iichiro Uesugi
{"title":"When banks become pure creditors: The effects of declining shareholding by Japanese banks on bank lending and firms’ risk-taking","authors":"Arito Ono ,&nbsp;Katsushi Suzuki ,&nbsp;Iichiro Uesugi","doi":"10.1016/j.jfs.2024.101294","DOIUrl":"https://doi.org/10.1016/j.jfs.2024.101294","url":null,"abstract":"<div><p>This study empirically examines the impact of an exogenous decrease in banks’ shareholding on bank loans and firms’ risk-taking, utilizing a regulatory change in Japan relating to banks’ shareholding as an instrument. We find that an exogenous reduction in a bank’s shareholding decreased the bank’s share of loans in the client firm’s total loans, while it increased the volatility of a firm’s return on assets. The reduction in a bank’s shareholding did not affect firm risk as perceived by equity investors or its borrowing terms. These findings are consistent with the prediction that banks hold equity claims over client firms to gain a competitive advantage, and are weakly compatible with the prediction that banks’ shareholding mitigates shareholder–creditor conflict.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"73 ","pages":"Article 101294"},"PeriodicalIF":6.1,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141604954","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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