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Journal of Financial Intermediation最新文献

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Consumption response to temporary price shock: Evidence from Singapore's annual sale event 消费对暂时价格冲击的反应:来自新加坡年度销售活动的证据
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100966
Sumit Agarwal , Kang Mo Koo , Wenlan Qian
{"title":"Consumption response to temporary price shock: Evidence from Singapore's annual sale event","authors":"Sumit Agarwal ,&nbsp;Kang Mo Koo ,&nbsp;Wenlan Qian","doi":"10.1016/j.jfi.2022.100966","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100966","url":null,"abstract":"<div><p>Exploiting debit card and credit card transactions of a large, representative sample of consumers from a leading bank in Singapore, we examine the consumption response to an anticipated, transitory price shock generated by the nation-wide annual sale event. Consumers significantly increase their spending during the sale event. More importantly, we find inter-temporal substitution where consumers spend less immediately before the event, and cross-categorical substitution behavior where consumers decrease spending in items unaffected by the sale event. However, consumers exhibit little substitution behavior when they use credit cards or when they are liquidity constrained, highlighting the importance of heterogeneity in assessing the aggregate impact of such stimulus programs.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100966"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860014","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Villains or scapegoats? The role of subprime borrowers in driving the U.S. housing boom 恶棍还是替罪羊?次级借款人在推动美国房地产繁荣中的作用
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2021.100906
James N. Conklin , W. Scott Frame , Kristopher Gerardi , Haoyang Liu
{"title":"Villains or scapegoats? The role of subprime borrowers in driving the U.S. housing boom","authors":"James N. Conklin ,&nbsp;W. Scott Frame ,&nbsp;Kristopher Gerardi ,&nbsp;Haoyang Liu","doi":"10.1016/j.jfi.2021.100906","DOIUrl":"https://doi.org/10.1016/j.jfi.2021.100906","url":null,"abstract":"<div><p><span>An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002-2006 U.S. </span>house price<span> boom. By contrast, this paper documents a robust, negative correlation between the growth in the share of purchase mortgages to subprime borrowers and house price appreciation at the county-level during this time. Using two different instrumental variables approaches, we also establish causal evidence that house price appreciation lowered the share of purchase loans to subprime borrowers. Further analysis using micro-level credit bureau data shows that higher house price appreciation reduced the transition rate into first-time homeownership for subprime individuals. Finally, the paper documents that subprime borrowers did not play a significant role in the increased speculative activity and underwriting fraud that the literature has linked directly to the housing boom. Taken together, these results are more consistent with subprime borrowers being priced out of housing boom markets rather than inflating prices in those markets.</span></p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100906"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfi.2021.100906","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 lies beneath—Negative interest rates and bank lending 下面是什么?负利率和银行贷款
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100969
Tan Schelling, Pascal Towbin
{"title":"What lies beneath—Negative interest rates and bank lending","authors":"Tan Schelling,&nbsp;Pascal Towbin","doi":"10.1016/j.jfi.2022.100969","DOIUrl":"10.1016/j.jfi.2022.100969","url":null,"abstract":"<div><p>We study the transmission of negative interest rates to bank lending around an unexpected policy rate cut into deep negative territory by the Swiss National Bank (−0.75%). We exploit a rich data set on transaction-level corporate loans matched with bank balance sheet data. We find that banks more affected by negative interest rates offer looser lending terms and lend more than other banks. This result is consistent with the risk-taking channel, where a lower policy rate spurs bank risk-taking to maintain profits. The result implies that, even in such deep negative territory, the reversal rate has not yet been hit.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100969"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46886749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 6
Countercyclical prudential buffers and bank risk-taking 逆周期审慎缓冲和银行冒险
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100961
Manuel Illueca , Lars Norden , Joseph Pacelli , Gregory F. Udell
{"title":"Countercyclical prudential buffers and bank risk-taking","authors":"Manuel Illueca ,&nbsp;Lars Norden ,&nbsp;Joseph Pacelli ,&nbsp;Gregory F. Udell","doi":"10.1016/j.jfi.2022.100961","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100961","url":null,"abstract":"<div><p>We investigate the effects of countercyclical prudential buffers on bank risk-taking. We exploit the introduction of dynamic loan loss provisioning in Spain, mandating that banks use historical average loss rates in their estimation of loan loss provisions. We find that dynamic loan loss provisioning is associated with reductions in timely loan loss provisioning. Banks that previously recognized loan losses in a timely fashion exhibit the greatest reductions in timeliness and consequently extend loans to riskier borrowers with lower accounting quality. Our results have policy implications for the debate on the use of financial reporting requirements in mitigating capital pro-cyclicality.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100961"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860015","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Bailing out conflicted sovereigns 拯救冲突的主权？
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100979
Charles W. Calomiris , Theofanis Tsoulouhas
{"title":"Bailing out conflicted sovereigns","authors":"Charles W. Calomiris ,&nbsp;Theofanis Tsoulouhas","doi":"10.1016/j.jfi.2022.100979","DOIUrl":"10.1016/j.jfi.2022.100979","url":null,"abstract":"<div><p>How should sovereign bailouts take account of the effects bailouts have on policy reforms? Conflicted recipient governments complicate bailout choices because some reforms that spur growth reduce rents that benefit government decision makers. Our model takes account of whether bailout generosity and policy reforms are strategic substitutes, strategic complements or both, and each case implies a different optimal bailout contract, which generally cannot achieve First Best. Conditional forgiveness of some loan payments when economic outcomes are sufficiently favorable can achieve outcomes closer to First Best, and this is so for a small ex ante amount of the bailout subsidy.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100979"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45528847","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Explicit deposit insurance design: International effects on bank lending during the global financial crisis✰ 明确存款保险设计:全球金融危机期间银行贷款的国际效应
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100958
Iftekhar Hasan , Liuling Liu , Anthony Saunders , Gaiyan Zhang
{"title":"Explicit deposit insurance design: International effects on bank lending during the global financial crisis✰","authors":"Iftekhar Hasan ,&nbsp;Liuling Liu ,&nbsp;Anthony Saunders ,&nbsp;Gaiyan Zhang","doi":"10.1016/j.jfi.2022.100958","DOIUrl":"10.1016/j.jfi.2022.100958","url":null,"abstract":"<div><p>Studies find that during the 2007–2009 global financial crisis, loan spreads rose and corporate lending tightened, especially for foreign borrowers (a flight-home effect). We find that banks in countries with explicit deposit insurance (DI) made smaller reductions in total lending and foreign lending, experienced smaller increases in loan spreads, and had quicker post-crisis recoveries. These effects are more pronounced for banks heavily relying on deposit funding. Evidence also reveals that more generous or credible DI design is associated with a stronger stabilization effect on bank lending during the crisis, confirmed by the difference-in-differences analysis based on expansion of DI coverage during the crisis. The stabilization effect is robust to the use of country-specific crisis measures and control of temporary government guarantees.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"51 ","pages":"Article 100958"},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49203032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 7
The Costs and Benefits of Performance Fees in Mutual Funds 共同基金绩效费的成本与收益
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-04-01 DOI: 10.1016/j.jfi.2022.100959
Henri Servaes , Kari Sigurdsson
{"title":"The Costs and Benefits of Performance Fees in Mutual Funds","authors":"Henri Servaes ,&nbsp;Kari Sigurdsson","doi":"10.1016/j.jfi.2022.100959","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100959","url":null,"abstract":"<div><p>Funds with performance fees have annual net risk-adjusted returns of 0.50% below other funds, a result mostly due to funds without a stochastic benchmark against which performance is measured and funds with a benchmark that is easy to beat. For other funds, there is no evidence of underperformance. Performance fee funds charge total expenses, including the performance fee, that are substantially higher than those of other funds. Investors are more likely to punish poor performance in funds with performance fees than in other funds. Our results indicate that even when fees are less regulated, investors can generally be relied upon to make the right choices, but that there are a subset of funds where performance fees are employed to extract additional fees from investors.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"50 ","pages":"Article 100959"},"PeriodicalIF":5.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042957322000122/pdfft?md5=23ad3214aea53945cb8f613818e3fe81&pid=1-s2.0-S1042957322000122-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71775604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives 欧元区危机中银行对主权CDS的使用:对冲和风险激励
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-04-01 DOI: 10.1016/j.jfi.2022.100964
Viral V. Acharya , Yalin Gündüz , Timothy C. Johnson
{"title":"Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives","authors":"Viral V. Acharya ,&nbsp;Yalin Gündüz ,&nbsp;Timothy C. Johnson","doi":"10.1016/j.jfi.2022.100964","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100964","url":null,"abstract":"<div><p><span>Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008–2013. Banks used the sovereign CDS market to </span><em>extend</em>, rather than hedge, their long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection aggressively at the onset of the crisis, but started covering their positions at its height while simultaneously shifting their assets towards sovereign bonds and loans. Our findings underscore the importance of accounting for derivatives exposure in building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"50 ","pages":"Article 100964"},"PeriodicalIF":5.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71775606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Venture Capital Coordination in Syndicates, Corporate Monitoring, and Firm Performance 辛迪加的风险资本协调、公司监控和企业绩效
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-04-01 DOI: 10.1016/j.jfi.2022.100948
Jun-Koo Kang , Yingxiang Li , Seungjoon Oh
{"title":"Venture Capital Coordination in Syndicates, Corporate Monitoring, and Firm Performance","authors":"Jun-Koo Kang ,&nbsp;Yingxiang Li ,&nbsp;Seungjoon Oh","doi":"10.1016/j.jfi.2022.100948","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100948","url":null,"abstract":"<div><p>This paper examines how the coordination of venture capital (VC) investors in their syndicates, as measured by their geographic concentration, affects firm performance and ex ante contractual terms. Using the introduction of new airline routes between the locations of VC investors as a shock to their coordination costs, we find that firms with geographically concentrated VC investors are more likely to exit successfully than other firms. Geographically proximate VC investors are also more likely to form syndicates in follow-up rounds and to use less intensive staged financing and fewer convertible securities.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"50 ","pages":"Article 100948"},"PeriodicalIF":5.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71775601","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 company you keep: Investment adviser clientele and mutual fund performance✰ 投资顾问客户和共同基金业绩
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-04-01 DOI: 10.1016/j.jfi.2021.100947
William Beggs
{"title":"The company you keep: Investment adviser clientele and mutual fund performance✰","authors":"William Beggs","doi":"10.1016/j.jfi.2021.100947","DOIUrl":"https://doi.org/10.1016/j.jfi.2021.100947","url":null,"abstract":"<div><p>This study examines how the composition of an investment adviser's client base (identified via Form ADV filings) relates to the performance of its mutual funds. Investment advisers catering to institutional clients realize statistically and economically superior risk-adjusted mutual fund performance relative to retail-oriented advisers. Subsequent tests identify the channel(s) responsible for the relationship. The evidence is consistent with both a governance mechanism (i.e., Evans and Fahlenbrach 2012) as well as inefficiencies stemming from the costly search mechanism of Gârleanu and Pedersen's (2018) model for asset management. The results suggest that institutional clients can identify better performing investment managers, particularly in market segments where retail mutual fund investors face higher search costs.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"50 ","pages":"Article 100947"},"PeriodicalIF":5.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71775603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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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