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Currency Mismatch in the Banking Sector in Latin America and the Caribbean 拉丁美洲和加勒比地区银行业的货币错配
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2017-04-01 DOI: 10.36095/BANXICO/DI.2017.05
Martin Tobal
{"title":"Currency Mismatch in the Banking Sector in Latin America and the Caribbean","authors":"Martin Tobal","doi":"10.36095/BANXICO/DI.2017.05","DOIUrl":"https://doi.org/10.36095/BANXICO/DI.2017.05","url":null,"abstract":"Existing literature uses data based on the residence principle to proxy for currency mismatch. Nonetheless, these data are frequently not disaggregated by currency and cannot identify mismatches in the domestic market. This paper circumvents these issues by constructing a new data set on foreign currency assets and liabilities in the banking sector in Latin America and the Caribbean. The new data reveal a reduction in long foreign currency positions, with several countries taking short positions after 2006. Moreover, employing a methodology that accounts for time-varying unobservable characteristics, this reduction is shown to be partially explained by the implementation of prudential policies.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86712852","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 11
Liquidity Risk in Banking : Is there Herding? 银行业流动性风险:是否存在羊群效应?
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2017-02-01 DOI: 10.2139/SSRN.2163547
Diana Bonfim, Moshe Kim
{"title":"Liquidity Risk in Banking : Is there Herding?","authors":"Diana Bonfim, Moshe Kim","doi":"10.2139/SSRN.2163547","DOIUrl":"https://doi.org/10.2139/SSRN.2163547","url":null,"abstract":"Banks individually optimize their liquidity risk management, often neglecting the externalities generated by their choices on the overall risk of the financial system. This is the main argument to support the regulation of liquidity risk. However, there may be incentives, related for instance to the role of the lender of last resort, for banks to optimize their choices not strictly at the individual level, but engaging instead in collective risk taking strategies, which may intensify systemic risk. In this paper we look for evidence of such herding behaviors, with an emphasis on the period preceding the global financial crisis. Herding is significant only among the largest banks, after adequately controlling for relevant endogeneity problems associated with the estimation of peer effects. This result suggests that the regulation of systemically important financial institutions may play an important role in mitigating this specific component of liquidity risk.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73558377","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 10
Aggregation Level in Stress-Testing Models 压力测试模型中的聚合水平
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2015-09-01 DOI: 10.24148/wp2015-14
G. Hale, John Krainer, Erin McCarthy
{"title":"Aggregation Level in Stress-Testing Models","authors":"G. Hale, John Krainer, Erin McCarthy","doi":"10.24148/wp2015-14","DOIUrl":"https://doi.org/10.24148/wp2015-14","url":null,"abstract":"We explore the question of optimal aggregation level for stress testing models when the stress test is specified in terms of aggregate macroeconomic variables, but the underlying performance data are available at a loan level. Using standard model performance measures, we ask whether it is better to formulate models at a disaggregated level (“bottom up”) and then aggregate the predictions in order to obtain portfolio loss values or is it better to work directly with aggregated models (“top down”) for portfolio loss forecasts. We study this question for a large portfolio of home equity lines of credit. We conduct model comparisons of loan-level default probability models, county-level models, aggregate portfolio-level models, and hybrid approaches based on portfolio segments such as debt-to-income (DTI) ratios, loan-to-value (LTV) ratios, and FICO risk scores. For each of these aggregation levels we choose the model that fits the data best in terms of in-sample and out-of-sample performance. We then compare winning models across all approaches. We document two main results. First, all the models considered here are capable of fitting our data when given the benefit of using the whole sample period for estimation. Second, in out-of-sample exercises, loan-level models have large forecast errors and underpredict default probability. Average out-of-sample performance is best for portfolio and county-level models. However, for portfolio level, small perturbations in model specification may result in large forecast errors, while county-level models tend to be very robust. We conclude that aggregation level is an important factor to be considered in the stress-testing model design.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2015-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90111684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 11
Bond vigilantes and inflation 债券义务警员和通货膨胀
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2015-08-01 DOI: 10.24148/WP2015-09
A. Rose, M. Spiegel
{"title":"Bond vigilantes and inflation","authors":"A. Rose, M. Spiegel","doi":"10.24148/WP2015-09","DOIUrl":"https://doi.org/10.24148/WP2015-09","url":null,"abstract":"This paper explores the relationship between inflation and the existence of a local, nominal, publicly traded, longmaturity, domestic currency bond market. Domestic bond markets have an unclear effect on inflation; they present issuing governments with the opportunity to inflate away their debt obligations, but they also expose bondholders to capital losses through inflation, creating a potential anti-inflationary force. We ask whether the latter effect is apparent empirically. We use a panel of data, examining inflation before and after the introduction of a domestic bond market. Inflationtargeting countries with a bond market experience inflation at least 3 to 4 percentage points lower than those without one. This effect is economically and statistically significant; it is also insensitive to a variety of estimation strategies. In particular, we use a wide variety of political and fiscal instrumental variables to account for the potential endogeneity of domestic bond issuance. Moreover, we do not find a similar effect for indexed or foreign currency bonds.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2015-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81109997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 4
Financial Intermediation in a Global Environment 全球环境下的金融中介
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2015-03-01 DOI: 10.36095/BANXICO/DI.2015.05
Victoria Nuguer
{"title":"Financial Intermediation in a Global Environment","authors":"Victoria Nuguer","doi":"10.36095/BANXICO/DI.2015.05","DOIUrl":"https://doi.org/10.36095/BANXICO/DI.2015.05","url":null,"abstract":"I develop a two-country DSGE model with global banks (financial intermediaries in one country lend to banks in the other country). Banks are financially constrained on how much they can borrow from households. The main goal is to obtain a framework that captures the international transmission of a financial crisis through the balance sheet of the global banks, as well as to explain the insurance mechanism of the international asset market. A negative shock to the value of the capital in one country generates a global financial crisis through the international interbank market. In this model, unconventional credit policies help to mitigate the effects of a financial disruption. The policies are carried out by the policy maker of the country directly hit by the shock. Consumers of that country are better off with policy than without it, while consumers from the other country are worse off.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89834206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 29
Systemic Risk and the Solvency-Liquidity Nexus of Banks 系统性风险与银行偿付能力-流动性关系
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2015-03-01 DOI: 10.2139/SSRN.2346606
Diane Pierret
{"title":"Systemic Risk and the Solvency-Liquidity Nexus of Banks","authors":"Diane Pierret","doi":"10.2139/SSRN.2346606","DOIUrl":"https://doi.org/10.2139/SSRN.2346606","url":null,"abstract":"This paper highlights the empirical interaction between solvency and liquidity risks of banks that make them particularly vulnerable to an aggregate crisis. I find that banks lose their access to short-term funding when markets expect they will be insolvent in a crisis. Conversely, the expected amount of capital a bank should raise to remain solvent in a crisis (its capital shortfall) increases when the bank holds more short-term debt (has a larger exposure to funding liquidity risk). This solvency-liquidity nexus is found to be strong under many robustness checks and to contain useful information for forecasting the short-term balance sheet of banks. The results suggest that the solvency-liquidity interaction should be accounted for when designing liquidity and capital requirements, in contrast to Basel III regulation where solvency and liquidity risks are treated separately.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80947950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 68
The Federal Reserve's Balance Sheet and Earnings: A Primer and Projections 美联储的资产负债表和收益:入门和预测
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2015-01-01 DOI: 10.17016/feds.2012.56
Seth B. Carpenter, J. Ihrig, Elizabeth C. Klee, Daniel Quinn, A. Boote
{"title":"The Federal Reserve's Balance Sheet and Earnings: A Primer and Projections","authors":"Seth B. Carpenter, J. Ihrig, Elizabeth C. Klee, Daniel Quinn, A. Boote","doi":"10.17016/feds.2012.56","DOIUrl":"https://doi.org/10.17016/feds.2012.56","url":null,"abstract":"Over the past few years, the Federal Reserve’s use of unconventional monetary policy tools has received a vast amount of public attention, from discussing how these asset purchases have put downward pressure on longer-term interest rates and thus supported economic activity to evaluating the implications for Federal Reserve remittances to the Treasury and the effect on monetary and fiscal policy. As the economic recovery has gained some momentum of late, the focus has turned to issues associated with the normalization of monetary policy. In this paper, we begin by providing a primer for the Federal Reserve’s balance sheet and income statement. With that foundation in place, we then consider a variety of scenarios consistent with statements by Federal Reserve officials about how the FOMC will normalize policy, including whether to sell mortgage-backed securities, whether to change the composition of Federal Reserve liabilities, and the timing of lifting the federal funds rate off from the zero lower bound. In each of these scenarios, we discuss the implications of these normalization policies on the size and composition of Federal Reserve asset and liability holdings and on remittances of earnings to the Treasury, which capture the interest rate risk of these normalization policies. We show that under a baseline normalization strategy described by policymakers, the balance sheet should slowly return to a more normal composition and size, while remittances should remain sizable. With some alternative normalization plans, especially if faced with high interest costs, remittances could drop to zero for some time.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80202135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 80
Capital Regulation in a Macroeconomic Model with Three Layers of Default 具有三层违约的宏观经济模型中的资本监管
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2014-12-01 DOI: 10.2139/SSRN.2544607
Laurent Clerc, A. Derviz, Caterina Mendicino, Caterina Mendicino, Stéphane Moyen, Kalin Nikolov, Livio Stracca, Javier Suarez, Javier Suarez, Alexandros P. Vardoulakis
{"title":"Capital Regulation in a Macroeconomic Model with Three Layers of Default","authors":"Laurent Clerc, A. Derviz, Caterina Mendicino, Caterina Mendicino, Stéphane Moyen, Kalin Nikolov, Livio Stracca, Javier Suarez, Javier Suarez, Alexandros P. Vardoulakis","doi":"10.2139/SSRN.2544607","DOIUrl":"https://doi.org/10.2139/SSRN.2544607","url":null,"abstract":"We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This “3D model” shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80826909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 73
Heterogeneous Bank Lending Responses to Monetary Policy: New Evidence from a Real-time Identifiation 异质性银行贷款对货币政策的反应:来自实时识别的新证据
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2014-01-01 DOI: 10.24149/WP1404
John C. Bluedorn, C. Bowdler, Christoffer Koch
{"title":"Heterogeneous Bank Lending Responses to Monetary Policy: New Evidence from a Real-time Identifiation","authors":"John C. Bluedorn, C. Bowdler, Christoffer Koch","doi":"10.24149/WP1404","DOIUrl":"https://doi.org/10.24149/WP1404","url":null,"abstract":"Heterogeneity in bank responses to monetary policy is consistent with an aggregate lending channel. However, estimates of bank responses are typically obtained using realized federal funds rate changes, which are endogenous to expected, macroeconomic fundamentals. As such, estimated heterogeneity can arise from expected fundamentals. Using an exogenous policy measure identified from narratives on FOMC intentions and real-time forecasts, we find greater heterogeneity in responses. There is a much stronger monetary policy transmission to smaller banks. The shielding of lending amongst holding companies is larger using the exogenous measure. Unlike previous research, we find that holdings of securities amplify exogenous policy transmission, while equity capital negates it. The results highlight the importance of controlling for policy endogeneity in future studies of bank lending behavior.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73524758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
An evaluation of the generalisability and applicability of the PhysioNet electrocardiogram (ECG) repository as test cases for ECG-based biometrics 对PhysioNet心电图(ECG)存储库作为基于ECG的生物识别测试用例的通用性和适用性的评估
IF 1.3 3区 经济学
International Journal of Central Banking Pub Date : 2012-04-13 DOI: 10.1504/IJCB.2012.046515
M. Tantawi, K. Revett, M. Tolba, A. Salem
{"title":"An evaluation of the generalisability and applicability of the PhysioNet electrocardiogram (ECG) repository as test cases for ECG-based biometrics","authors":"M. Tantawi, K. Revett, M. Tolba, A. Salem","doi":"10.1504/IJCB.2012.046515","DOIUrl":"https://doi.org/10.1504/IJCB.2012.046515","url":null,"abstract":"The PhysioNet is a very popular internet-based ECG repository which provides open access to a variety of ECG datasets. The data is collected from subjects within a medical framework, with the intention of acquiring clinically relevant information from patients. Because of the convenience afforded by the internet, literally thousands of ECG records can be downloaded and used for non-medical purposes, such as biometrics. The purpose of this study was to evaluate the applicability and/or suitability of the PhysioNet ECG data for deployment within biometrics. The needs and mindset of a clinician may be quite different from that of a security engineer. This paper therefore attempts to provide a preliminary examination of the PhysioNet ECG data repository along these dimensions, emphasising the need to create methodologies in the context of biometrics that not only take these considerations into account, but integrates them into the biometric methodology.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2012-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80254070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 15
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