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Author : Jorge Braulio Guillén
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (767 download)
Download or read book Three Essays on Banks' Relative Efficiency written by Jorge Braulio Guillén and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jorge Guillen
Publisher :
ISBN 13 : 9780549171201
Total Pages : 116 pages
Book Rating : 4.1/5 (712 download)
Download or read book Three Essays on Banks' Relative Efficiency written by Jorge Guillen and published by . This book was released on 2000 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yi-Kai Chen
Publisher :
ISBN 13 :
Total Pages : 410 pages
Book Rating : 4.:/5 (487 download)
Download or read book Three Essays on Bank Efficiency written by Yi-Kai Chen and published by . This book was released on 2001 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rong Ma
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (794 download)
Download or read book Three Essays on International Banking written by Rong Ma and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Without question, global financial integration has accelerated in the last two decades. This acceleration is due, in part, to the opening of developing countries' financial markets to foreign banks, prompting many changes to financial systems in developing countries. This dissertation consists of three essays focusing on the impacts and the determinants of international banks' participation in the financial markets of developing countries. The first essay investigates whether banks with foreign owners are more willing to provide loans in the host country possibly contributing toward greater financial stability for that county. Specifically, I test whether foreign banks' lending behavior is different from domestic banks' behavior. Using a panel dataset with 1,643 commercial banks in 35 Asian and Latin American countries from 2000 to 2008, estimation reveals that foreign banks have not been more generous with respect to extending loans relative to domestic banks. Additionally, when grouping foreign banks by their geographic origins, a home region preference is found. International banks appear more likely to extend loans in markets located in their geographic region relative to markets in other areas of the globe. The second essay questions whether foreign ownership positively impacts bank performance. In addition I seek to understand which host characteristics affect bank performance. Bank-level data for 1600 commercial banks from 2000 through 2008 are used in estimation. Results suggest host countries' characteristics do affect the relative performance of foreign banks. While foreign ownership does not positively impact bank performance, foreign banks tend to outperform domestic banks in countries that are relatively closed and less competitive. Also, foreign banks do perform differently depending on their geographic origin. The third essay examines the impact of host characteristics and economic linkages on foreign bank entry into 30 Asian and Latin American countries. Of particular note is whether international migration from the bank host country to bank origin country influences foreign bank entry due to the networks it promotes. Using panel Tobit estimation, this study finds that international migration from developing to industrialized economies significantly promotes foreign bank presence in developing nations.
Author : Atif Mian
Publisher :
ISBN 13 :
Total Pages : 105 pages
Book Rating : 4.:/5 (225 download)
Download or read book Three Essays in Governance and Banking written by Atif Mian and published by . This book was released on 2001 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) The third essay (joint with Daron Acemoglu and Michael Kremer) presents a theoretical analysis of the relative merits of markets, firms, and governments in environments where high powered incentives have both costs and benefits. Firms obscure information about workers' output, thus flattening incentives, and improving efficiency over markets. However in some cases, most notably under common shocks, firms are unable to commit to such a strategy. Under these circumstances, Governments may be able to commit to much flatter wage schedules, and improve the allocation of resources.
Author : Tirupam Goel
Publisher :
ISBN 13 :
Total Pages : 125 pages
Book Rating : 4.:/5 (954 download)
Download or read book Essays in Banking and Regulation written by Tirupam Goel and published by . This book was released on 2016 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: The broad goal of this dissertation is to further our understanding of the relationship between real and financial sectors of an economy, to identify inefficiencies in financial sector intermediation, and to design financial regulation policies that can address these inefficiencies. The three chapters of this dissertation contribute to specific aspects of the above goal. In the first chapter, I develop a general equilibrium macroeconomic model with a dynamic banking sector in order to characterize optimal size-dependent bank leverage regulation. Bank leverage choices are subject to the risk-return trade-off, and are inefficient due to financial frictions. I show that leverage regulation can generate welfare gains, and that optimal regulation is tighter relative to the benchmark and is bank-size dependent. In particular, optimal regulation is tighter for large banks relative to small banks, and it leads to the following welfare generating effects. First, as small banks take more leverage, they grow faster conditional on survival, leading to a selection effect. Second, small bank failures are less costly while entrants have higher relative efficiency, leading to a cleansing effect. Third, tighter regulation for large banks reduces their failure rate, which generates welfare since large banks are more efficient and costlier to replace, leading to a stabilization effect. The calibrated model rationalizes various steady state moments of the US banking industry, and points towards qualitatively similar but quantitatively tighter leverage regulation relative to the proposition in Basel III accords. In the second chapter, I study the financial contagion problem when banks in order to hedge against idiosyncratic shocks, engage in two-dimensional as opposed to one-dimensional interactions with other banks. To this end, I develop a double-edge interbank network model where banks engage in debt contract and securitization transactions with other banks. I show that the standard intuition of financial contagion does not translate from the one-dimensional case to the two-dimensional case i.e. financial contagion can either weaken or worsen depending on the network and parameter configuration. In particular, I derive parametrization for the case where financial contagion worsens. In the third chapter, we investigate whether countercyclical capital-ratio regulation (CCR) should be implemented strictly as a rule, or whether regulators should have discretion with respect to the timing and magnitude of changes in capital-ratio requirement. Using a simple model we prove the proposition that under information asymmetry, discretionary CCR leads to an increase in policy uncertainty relative to rule-based CCR. We prove a similar proposition for a general finite-horizon economy. Finally, we document that since discretionary CCR enables the regulator to respond to unexpected shocks, a benevolent regulator faces the welfare trade-off while choosing between rule-based and discretionary CCR.
Author : Jeremy Crimmel
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Banking Concentration written by Jeremy Crimmel and published by . This book was released on 2016 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks warrant special attention because of the key role they play in providing liquidity to the market, transforming assets, managing risks, and monitoring borrowers. Over the past few decades, the US banking system consolidated considerably which resulted in a more concentrated system where the majority of assets are controlled by a few excessively large institutions. This dissertation examines concentration of the US banking sector and its relationship with the real economy, idiosyncratic bank stability, and financial market volatility. Chapter 1 investigates the association between banking concentration and the real economy through the bank failures channel. To this end, we build a system of equations that estimates the association between banking concentration and the real economy by employing quarterly U.S. data from 1984 through 2013. The first equation tests the association between bank concentration and the rate of bank failure using an autoregressive Poisson model which allows for more accurate estimates than linear models. The remaining three equations model respectively, real GDP growth, unemployment, and inflation as functions of the rate of bank failure. Three interesting results are obtained. First, there is a threshold below which increasing concentration causes a reduction in bank failures and above which an increase in failures. Second, as bank failures increase, economic growth slows while unemployment and inflation both increase. Third, our results imply that the U.S. banking system is more than twice as concentrated as the optimal level as determined by the minimum rate of bank failure and is having a detrimental effect on the real economy. Our results suggest that while the Dodd-Frank Act of 2010 introduced legislation aimed in part at restricting the level of banking concentration, additional reductions in concentration may be necessary to strengthen the economy. Chapter 2 investigates the association between banking concentration and idiosyncratic bank stability after the passage of the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994 into legislation. First, we model individual bank stability as a non-linear, as opposed to a linear, function of banking concentration allowing us to determine if rising concentration increases (decreases) bank stability up to a certain point and decreases (increases) it thereafter. Second, we differentiate between large and small banks by introducing an interaction term between concentration and bank size allowing us to determine if size-based differences alter the concentration-stability relationship. Third, we employ a fixed effects instrumental variable model and correct for reverse causality between bank stability and bank concentration. Our findings indicate that large and small banks react very differently to changes in concentration. As concentration exceeds a certain threshold, small banks become less stable, hold less capital, are less profitable, and hold more volatile portfolios. The results are the reverse for large banks. We also find that as concentration increases, large banks increasingly contribute to systemic risk, despite the fact that their idiosyncratic risk is reduced. Chapter 3 investigates the association between financial market volatility and banking concentration. Research on this relationship has been sparse and remains ambiguous. A main difficulty with achieving this task is the low frequency (quarterly) nature of the concentration data relative to the high frequency (daily) volatility data. To overcome this problem, we employ a GARCH-MIDAS volatility model which allows us to test the relationship between data with dissimilar frequencies. We consider the sample period 1986:1 to 2013:4. Our results indicate that higher levels of banking concentration are positively associated with higher volatility in the US stock, options, and corporate bond markets and negatively associated with the US government bond volatility. These finding fill a major void in the literature and have implications for regulators and policy makers.
Author : Haitao Xiang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (112 download)
Download or read book Three Essays on Monetary Economics written by Haitao Xiang and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis consists of three studies on money, banking and monetary policy with modern monetary economic theory based on explicit micro-foundations. As an introduction to the approach adopted by micro-founded monetary theory, the introductory chapter demonstrates the roles of money and capital in a quasi-linear environment with explicit informational frictions. When capital serves as the only record-keeping device, there could be two possible stationary equilibria: one is first-best and the other is not. In a suboptimal equilibrium, consumers are constrained by their capital rental income. Introducing fiat money, a better record-keeping technology with higher rate of return, can improve welfare by relaxing the liquidity constraint. Chapter 2 studies the role of banking in financing investment. It is revealed that banking can mitigate underinvestment, raise capital-labour ratio, and improve welfare; and this effect is greatest under moderate inflation. In Chapter 3, I introduce a record-keeping cost related to bank borrowing, and study the effects of such a banking cost on economic allocations and welfare, as well as its monetary policy implications. Main findings are: Costly banking emerges endogenously only with relatively high inflation and/or relatively low banking cost; the existence of costly banking may improve or reduce welfare relative to the case without banking; with higher inflation rate or banking cost, more people would choose not to deal with banks, which means larger welfare loss; inflation is less harmful with banking than without banking. In Chapter 4, I investigate the trade-off between distribution effect and production effect of monetary policy with presence of idiosyncratic liquidity shocks. When liquidity shocks are observable, a type-contingent money transfer policy can desirably redistribute purchasing power among consumers. When the shocks are unobservable, an illiquid bond policy restores credit transactions on money through bond-money exchanges. Both policies have positive distribution effect, but the resulting inflation hampers production efficiency. I derive a sufficient condition under which the overall welfare can be improved by an inflationary monetary policy: if consumers are relative-risk-averse enough, the trade-off between distribution efficiency gain and production efficiency loss would result in net welfare enhancement.
Author : Junghee Park
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.3/5 ( download)
Download or read book Three Essays on Bank Passivity and Bargaining written by Junghee Park and published by . This book was released on 2004 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emilia Bonaccorsi di Patti
Publisher :
ISBN 13 :
Total Pages : 326 pages
Book Rating : 4.:/5 (469 download)
Download or read book Three Essays in the Economics of Banks written by Emilia Bonaccorsi di Patti and published by . This book was released on 2000 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Liang Ma
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Three Essays in Monetary and Financial Economics written by Liang Ma and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in the field of monetary and financial economics. Specifically, we use high-frequency financial data to study monetary policies with a focus on the information effect, namely, that some of the interest rate movements around central bank announcements are not policy-driven, but are results of the market becoming aware of the central bank's view about future economic prospects. Understanding the role played by the information effect will help us apprehend monetary policy implications in both normal times and extraordinary situations. Chapter 1 evaluates the impact of unconventional monetary policy in the newly developed instrumental variable structural Vector Autoregression (VAR) framework. In the current low interest rate environment, central banks must resort to using unconventional monetary policies, such as forward guidance and quantitative easing, to flight recessions. To empirically evaluate the effectiveness of these unconventional policies, we need to rely on the clean policy shock. A prominent concern is that the often used high-frequency interest rate surprises not only reflect unexpected policy changes, but also contain the information effect. We contribute to the literature by using a heteroskedasticity identification approach, taking advantage of changes in the relative dominance of economic shocks around different macroeconomic announcements. Analysis based on clean policy shocks suggests that the unconventional policies successfully aided the recovery in the U.S. More importantly, we show that the information effect, while it may introduce bias, is rather modest when it comes to estimating the real impact of unconventional monetary policies. Chapter 2 studies the stock return pattern after the U.S. Federal Open Market Committee (FOMC) announcement. This research is motivated by recent literature that documents stock returns drifts, both before and after FOMC announcements, according to policy rate surprises. Indeed, research has shown that the information contained in the central bank announcement is multifaceted: its current monetary policy stances (monetary policy news) and news about future economic prospects (non-monetary policy news). Our contribution is to combine these two strands of literature. To the best of our knowledge, no study has looked at stock market reactions to the non-monetary news stemming from policy announcements. We identify both good and bad news events using a combination of sign restriction with high-frequency financial prices. The novel finding is that following bad FOMC announcements, that is the market interpreted the Fed announcements as revealing negative information about the economy, we observe significant positive stock returns in a 20-day period. We call this the ``post-FOMC drift.'' Further analysis suggests that the drift is likely caused by relatively heightened risks associated with bad announcements, although the drift is consistent with market overreactions as well. Moreover, the post FOMC drift is a market-wide phenomenon and can be exploited in an easy-to-implement trading strategy with a historical record of earning 40\% of the annual equity premium. In Chapter 3, we explore the channels through which the FOMC announcements affect the financial market. While much of the existing literature measures the surprise components with only changes in policy rates (surrounding the announcement), we contribute to the existing literature by taking a broader view through examining unexpected changes in longer-term yields, corporate credit spreads, and inflation expectations (a proxy for growth prospects), using high-frequency financial data. Through a regression analysis, our findings show that these additional surprises provide orthogonal information and sharply increase the goodness of fit in explaining stock returns around FOMC announcements, with the inclusion of inflation expectations having the biggest contribution. The important role of inflation expectation suggests that the current literature, which uses stock prices together with nominal rates to disentangle the information contents of central bank announcements, may be too limited in the scope of information it uses.
Author : Iva Cecchin
Publisher :
ISBN 13 :
Total Pages : 123 pages
Book Rating : 4.:/5 (762 download)
Download or read book Three Essays on Banks' Pricing Behavior written by Iva Cecchin and published by . This book was released on 2011 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Shubik
Publisher : MIT Press
ISBN 13 : 9780262693110
Total Pages : 472 pages
Book Rating : 4.6/5 (931 download)
Download or read book The Theory of Money and Financial Institutions written by Martin Shubik and published by MIT Press. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.
Author : Heegab Choi
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Macroeconomic Theory written by Heegab Choi and published by . This book was released on 1994 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 398 pages
Book Rating : 4.:/5 (318 download)
Download or read book Journal of Economic Literature written by and published by . This book was released on 2007 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Hu
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (319 download)
Download or read book Three Essays on Bank Risks written by Jian Hu and published by . This book was released on 1999 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rita Biswas
Publisher : Emerald Group Publishing
ISBN 13 : 1789733898
Total Pages : 168 pages
Book Rating : 4.7/5 (897 download)
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
