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Endogenous bank regulation and supervision: Long term implications 内生性银行监管与监督：长期影响
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2024-01-09 DOI: 10.1016/j.jfs.2024.101216
Oğuz Kaan Karakoyun , Mustafa U. Karakaplan , Bilin Neyaptı
{"title":"Endogenous bank regulation and supervision: Long term implications","authors":"Oğuz Kaan Karakoyun ,&nbsp;Mustafa U. Karakaplan ,&nbsp;Bilin Neyaptı","doi":"10.1016/j.jfs.2024.101216","DOIUrl":"10.1016/j.jfs.2024.101216","url":null,"abstract":"<div><p>The role of bank regulation and supervision (RS) on financial stability and welfare has been subject to ongoing research, especially since the Great Recession<span>. RS is expected to help eliminate the adverse selection and moral hazard problems that are abundant in financial transactions. In this paper, we present a general equilibrium model that is augmented by either a bank regulatory and supervisory agent who chooses the level of RS by maximizing bank profits, or by a macroprudential agent who minimizes non-performing loans (NPL). We compare the long-term outcomes of these scenarios and show that minimizing NPL is feasible for a larger and economically more viable range of parameter values than the alternatives. Moreover, for a comparable set of parameter combinations, the optimal choice of RS that minimizes NPL leads to both higher levels of steady state income and lower interest spreads as compared to RS that maximizes bank profits.</span></p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139408740","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
Auditor certification and long-run performance of IPO stocks 审计师认证与 IPO 股票的长期表现
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-29 DOI: 10.1016/j.jfs.2023.101214
Sudip Datta , Mark Gruskin , Mai Iskandar-Datta
{"title":"Auditor certification and long-run performance of IPO stocks","authors":"Sudip Datta ,&nbsp;Mark Gruskin ,&nbsp;Mai Iskandar-Datta","doi":"10.1016/j.jfs.2023.101214","DOIUrl":"10.1016/j.jfs.2023.101214","url":null,"abstract":"<div><p>This study establishes a significant positive relation between high quality auditors and long-run post-IPO equity performance. IPOs associated with high-ranked auditors benefit from superior information quality irrespective of underwriter rank, manifesting in significantly better post-IPO equity performance. The auditor certification effect is robust and persists longer than the underwriter certification effect. IPOs, regardless of the underwriter rank, benefit significantly from the auditor reputation effect. Further, the auditor certification effect is more pronounced: (a) when underwriter certification is weak (‘substitution effect’), and (b) in the presence of greater information asymmetry. VC backed IPOs perform significantly better; however, VC reputation has no effect, after controlling for auditor rank and underwriter certification. Our conclusions are reinforced by a battery of robustness checks, including the use of alternative methodologies to address endogeneity, audit quality proxies, performance metrics, model specifications, and validity tests.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139064791","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
Mispricing of debt expansion in the eurozone sovereign credit market 欧元区主权信贷市场对债务扩张的错误定价
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-26 DOI: 10.1016/j.jfs.2023.101215
Somayyeh Lotfi , Andreas Milidonis , Stavros A. Zenios
{"title":"Mispricing of debt expansion in the eurozone sovereign credit market","authors":"Somayyeh Lotfi ,&nbsp;Andreas Milidonis ,&nbsp;Stavros A. Zenios","doi":"10.1016/j.jfs.2023.101215","DOIUrl":"10.1016/j.jfs.2023.101215","url":null,"abstract":"<div><p>We find evidence consistent with risk mispricing in the eurozone sovereign credit market for crisis and non-crisis countries alike, using a novel variable of sovereign debt expansion (DE) that we construct. DE predicts increased default probability, but panel regressions from 2002 to 2017 show a negative association with risk premia, even when controlling for risk appetite and the known determinants of sovereign risk premia. As expected, the negative association was only briefly interrupted by the 2010 Deauville Summit, but it resumed by the onset of the 2011 eurozone crisis. The introduction of quantitative easing in 2015 mutes the negative association, raising the concern of what will happen once quantitative easing ends. Our finding is robust to several model specifications.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139052795","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 opacity, systemic risk and financial stability 银行的不透明性、系统性风险和金融稳定性
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-21 DOI: 10.1016/j.jfs.2023.101211
Michael Mies
{"title":"Bank opacity, systemic risk and financial stability","authors":"Michael Mies","doi":"10.1016/j.jfs.2023.101211","DOIUrl":"10.1016/j.jfs.2023.101211","url":null,"abstract":"<div><p>This paper examines the impact of bank opacity on European financial stability. Based on a panel dataset of listed European banks covering the period 2002–2018, I find that bank opacity has a significant influence on the institution-specific contribution to the ∆Conditional Value at Risk and Marginal Expected Shortfall. The enforcement mechanism and the policies introduced by accounting standard setters and regulators for the risk disclosure of banks have a positive impact on the reduction of systemic risk. Both the risk reporting in accordance with IFRS 7 and the measures introduced by the Basel Committee in the form of the Basel Pillar 3 regulation led to an increase in transparency and thus an improvement in financial market stability. As an independent enforcement mechanism, the country-specific strength of the external auditing profession plays a significant role in fostering stability. The results are robust, by using both alternative opacity measures and instrumental-variable estimations (2SLS) to control for potential endogeneity.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138826030","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-change regulations: Bank lending and real effects 气候变化法规：银行贷款和实际影响
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-21 DOI: 10.1016/j.jfs.2023.101212
Faruk Miguel, Alvaro Pedraza, Claudia Ruiz-Ortega
{"title":"Climate-change regulations: Bank lending and real effects","authors":"Faruk Miguel,&nbsp;Alvaro Pedraza,&nbsp;Claudia Ruiz-Ortega","doi":"10.1016/j.jfs.2023.101212","DOIUrl":"10.1016/j.jfs.2023.101212","url":null,"abstract":"<div><p>We analyze how capital requirements from environmental risk exposure affect bank lending to the corporate sector, and how these effects transmit to real economic activity and to greenhouse gas emissions. To do so, we exploit the introduction of a policy in Brazil that required banks to incorporate environmental risks in their capital assessments. Using comprehensive credit data, we find that the policy induces large banks to reallocate their lending away from exposed sectors. The credit contraction has no substantial impact on the real activity and greenhouse gas emissions of these sectors, as smaller banks expand their lending afterwards. However, the policy triggers a moderate labor reallocation from small firms (i.e., those with higher costs of switching lenders) and into large firms within environmentally exposed sectors.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138826134","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
What broke the pearl of the Indian ocean? The causes of the Sri Lankan economic crisis and its policy implications 是什么毁了印度洋上的明珠？斯里兰卡经济危机的原因及其政策影响
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-16 DOI: 10.1016/j.jfs.2023.101213
Lalith P. Samarakoon
{"title":"What broke the pearl of the Indian ocean? The causes of the Sri Lankan economic crisis and its policy implications","authors":"Lalith P. Samarakoon","doi":"10.1016/j.jfs.2023.101213","DOIUrl":"10.1016/j.jfs.2023.101213","url":null,"abstract":"<div><p>Sri Lanka unilaterally defaulted on its external debt in April 2022, exposing its long-standing economic and financial vulnerabilities and igniting a series of inter-related multiple economic crises—fiscal, debt, currency, inflation, and balance of payments—as well as a vast socio-political upheaval. This paper analyses the economic crisis and its various dimensions to understand the sources of the crisis and draw policy implications. The role of fiscal balances and public debt in the crisis, along with debt sustainability, international sovereign bonds, liquidity crisis, and currency collapse, are analyzed. The root cause of Sri Lanka’s economic crisis was running persistent and large fiscal deficits, which were increasingly financed by unsustainable public debt, particularly foreign commercial borrowings. A substantial reduction and reprofiling of debt through restructuring of both domestic and foreign debt to ensure debt sustainability, meaningful fiscal policy reforms anchored by revenue increases and expenditure rationalization to reduce fiscal deficits, and deep growth-enhancing structural reforms are necessary for medium-term rescue and recovery and long-term growth and stability of Sri Lanka. The findings provide important policy lessons for other emerging markets and middle-income economies.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679947","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
A thousand words tell more than just numbers: Financial crises and historical headlines 千言万语比数字更能说明问题：金融危机与历史头条
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-16 DOI: 10.1016/j.jfs.2023.101209
Kim Ristolainen , Tomi Roukka , Henri Nyberg
{"title":"A thousand words tell more than just numbers: Financial crises and historical headlines","authors":"Kim Ristolainen ,&nbsp;Tomi Roukka ,&nbsp;Henri Nyberg","doi":"10.1016/j.jfs.2023.101209","DOIUrl":"10.1016/j.jfs.2023.101209","url":null,"abstract":"<div><p>We show that financial crises are preceded by changes in specific types of narrative information contained in newspaper article titles. Our novel international dataset and the resulting empirical evidence are gathered by integrating information from a large panel of economic news articles in global newspapers between the years 1870 and 2016 with conventional macroeconomic and financial indicators. We find that the predictive information of newspaper article titles that signals coming crisis episodes is substantial over and above the macroeconomic and financial indicators. Feature contribution analysis and crisis case studies reveal that the new indicators capture more detailed, but still generalizable information on the buildup of crises.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1572308923001092/pdfft?md5=ef123cac8042247467ab990e69819947&pid=1-s2.0-S1572308923001092-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138680013","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
Bubble occurrence and landing 气泡发生和着陆
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-15 DOI: 10.1016/j.jfs.2023.101210
Junmin Wan
{"title":"Bubble occurrence and landing","authors":"Junmin Wan","doi":"10.1016/j.jfs.2023.101210","DOIUrl":"10.1016/j.jfs.2023.101210","url":null,"abstract":"<div><p>First, a rational bubble with a stochastic crash is modelled under conditions of timelessness (or strictly a zero interest rate) and an infinite number of investors. The necessary and sufficient conditions for this bubble are a strictly positive bubble premium and a sufficient number of investors. Second, it is shown that a rational bubble occurs under a strictly negative interest rate. Finally, whether bubbles can be prevented or landed is discussed.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679987","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 green loans less risky? Micro-evidence from a European Emerging Economy 绿色贷款风险更低吗？欧洲新兴经济体的微观证据
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-09 DOI: 10.1016/j.jfs.2023.101208
Florian Neagu , Luminița Tatarici , Florin Dragu , Amalia Stamate
{"title":"Are green loans less risky? Micro-evidence from a European Emerging Economy","authors":"Florian Neagu ,&nbsp;Luminița Tatarici ,&nbsp;Florin Dragu ,&nbsp;Amalia Stamate","doi":"10.1016/j.jfs.2023.101208","DOIUrl":"10.1016/j.jfs.2023.101208","url":null,"abstract":"<div><p>The role played by the banking sector in supporting the green transition has been limited but is expected to increase substantially. We investigate whether the green loans granted by Romanian financial institutions during the period from 2010 to 2020 bear less credit risk compared with other loans in their portfolio. In this respect, we use a novel micro database with information on all green loans granted by a representative share of Romanian financial institutions, combined with debtors’ financial statements. We use different approaches to control for the small share of green loans and find that firms with a sounder financial profile are more likely to access green loans. Using a matched sample of non-green loans, we are able to disentangle the factors that contribute to the increase in credit risk, but we do not observe a significant risk reduction in the case of green loans.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138565861","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
How does the repo market behave under stress? Evidence from the COVID-19 crisis 回购市场在压力下的表现如何？来自 COVID-19 危机的证据
IF 5.4 2区 经济学
Journal of Financial Stability Pub Date : 2023-12-07 DOI: 10.1016/j.jfs.2023.101193
Anne-Caroline Hüser , Caterina Lepore , Luitgard Anna Maria Veraart
{"title":"How does the repo market behave under stress? Evidence from the COVID-19 crisis","authors":"Anne-Caroline Hüser ,&nbsp;Caterina Lepore ,&nbsp;Luitgard Anna Maria Veraart","doi":"10.1016/j.jfs.2023.101193","DOIUrl":"10.1016/j.jfs.2023.101193","url":null,"abstract":"<div><p>We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 crisis. We find that during this crisis the repo network becomes more connected, with most institutions relying on previously used counterparties. There are however important changes in the repo volumes and spreads during the stress relative to normal times. There is a significant increase in volumes traded with the central counterparties (CCPs) sector. At the same time non-banks, except hedge funds, decrease borrowing and face higher spreads in the bilateral segment. Overall, this evidence reflects a preference for dealers and banks to transact in the centrally cleared rather than the bilateral segment. Our results can inform the policy debate around the behaviour of banks and non-banks in recent liquidity stress and on widening participation in CCPs by non-banks.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138545667","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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