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Author : Prakit Narongtanupon
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.:/5 (481 download)
Download or read book Three Essays on Commercial Banks and Financial Distress written by Prakit Narongtanupon and published by . This book was released on 2000 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Angela De Martiis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (116 download)
Download or read book Three Essays on the Financial Distress of Firms and Banks written by Angela De Martiis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pallavi Choudhuri
Publisher :
ISBN 13 : 9781321173857
Total Pages : 161 pages
Book Rating : 4.1/5 (738 download)
Download or read book Essays on the Banking Industry and the U.S. Economy written by Pallavi Choudhuri and published by . This book was released on 2014 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on the banking industry. The first essay examines the role of securitization and its impact on cost efficiency, and investigates whether banks that securitized their assets to manage their liquidity needs achieved greater cost efficiency in the short run, and whether there was any incentive towards taking on excessive credit risk in the process. The analysis is carried out for commercial banks that securitized their assets during the period leading up to the 2007-2009 financial crisis. The results suggest that for banks that are exposed to higher risk from unused loan commitments, increased cost efficiency is associated with an increase in banks' ability to securitize loans, prompted by higher loan portfolio liquidity. In addition, improved cost efficiency is associated with higher credit risk exposure from asset securitization for very large banks, providing distorted economic incentive to increase asset risk. The banking industry experienced great turmoil during the recent financial crisis, with increases in solvency risk, coupled with liquidity risk that exacerbated under a severe economy-wide liquidity shock. The second essay explores the relationship between liquidity and insolvency in the framework of the FHLB advances program used by commercial banks between 2007 and 2010. While the FHLB system provided an important source of liquidity for its member banks, the results provide evidence that borrowing per asset is positively associated with increases in the Texas ratio, an early warning signal of default risk, raising questions about moral hazard incentives embedded in the system. The third essay explores the role played by banks in promoting technological innovation in the U.S. In particular, I examine whether changes in the banking industry following branch liberalization translated into a higher rate of innovative activity and the channels through which the finance-technology nexus takes place. The results show that while intrastate branch deregulation is negatively associated with technological innovation, the effect is positive after interstate branch deregulation through increased access to capital.
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 : Wesley Blake Marsh
Publisher :
ISBN 13 : 9781339672397
Total Pages : 221 pages
Book Rating : 4.6/5 (723 download)
Download or read book Essays on Post-crisis Commercial Banking written by Wesley Blake Marsh and published by . This book was released on 2016 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation seeks to contribute to the understanding of the effect of regulation on bank behavior. Following the 2007-2009 financial crisis and the subsequent recession, bank regulators proposed a drastic overhaul of the financial system and their regulatory powers. Commercial banks, in particular, were required to hold higher levels of capital and liquidity and were subject to increased oversight of their business activities. Each chapter of this dissertation examines the effects of a particular aspect of these regulatory changes. Chapter 2 finds that U.S.-based capital and liquidity buffers may help to mitigate the effects of shocks originating abroad on U.S. loan markets. It finds that banks more closely tied to their foreign parents exhibit greater reductions in commercial loan exposures than banks with U.S.-based buffers. Chapter 3 examines the effect of regulatory guidance issued just prior to the crisis that targeted commercial real estate lending. Similar guidance has become more commonplace following the financial crisis. The results indicate that while the affected banks reduced lending in the targeted asset class, there were spillovers into other loan categories, suggesting that "macroprudential" regulations targeting specific asset buildups may have unintended consequences. Finally, Chapter 4 examines the effect of including fluctuations in the price of securities in banks' regulatory capital. This study finds that securities price volatility rises during times of interest rate and macroeconomic instability, suggesting that regulators may be prudent to require banks to hold capital against such price variations. Overall, the dissertation contributes to the understanding of the various and wide-ranging regulatory changes that regulators have implemented since the financial crisis. This is achieved by exploiting previously unused historical information, in the form of data or pre-crisis era regulatory actions, which shed light on the outcomes that we may expect from these new regulations.
Author : Lulei Song
Publisher :
ISBN 13 :
Total Pages : 145 pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Macroeconomics and Banking written by Lulei Song and published by . This book was released on 2018 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation covers three loosely connected topics in Macroeconomics and Banking. The first chapter, titled Effect of Failed Bank Mergers During the Crisis on Cost Efficiency, examines the effect of merging with failed banks during the crisis period on the acquiring banks' cost X-efficiency. Between December 31, 2006, and Decem- ber 31, 2010, the number of U.S. commercial banks and savings institutions declined significantly because of failures. The majority of failed banks were acquired by the existing banks. I utilize the Fourier flexible cost function form to estimate the cost X-efficiency, and find out that merging with failed banks does negatively affect the cost X-efficiency of the acquiring bank. Although the local market concentration does not change much after the merger, the decrease in cost X-efficiency may still indicate the increase of market power for acquiring banks. With the evolving technology, the cost of obtaining banking service from distant providers fell a lot compared with 30 or 40 years ago. Local market concentration may no longer be a good measure of market competitiveness, and the FDIC may need to develop other more relevant measures regarding merger regulations. The second chapter, titled Financial Regulation and Stability of the Banking System, builds a dynamic stochastic general equilibrium model which includes both regulated and unregulated banks to study the effect of the capital requirement, which is imposed only on regulated banks, on the stability of the financial system. One of the most distinctive features of the recent financial crisis is the turmoil of the financial market. Financial institutions with high leverage were the first to bear the brunt, and the chain effect caused by their bankruptcy led the economy into a prolonged depression. In order to stabilize the financial market and prevent financial institutions from taking excessive risks, the government imposed capital requirements on the regulated banks. However, a large number of financial institutions, which perform similar functions as regulated banks, are not under government regulation. In this paper, I build a model which includes both regulated banks, referred to as commercial banks, and unregulated banks, referred to as shadow banks, to study and quantify the effects of capital requirements on the stability of the financial system. I find that when the capital requirement is high enough to help commercial banks to survive the bank runs, it does help to alleviate the negative impact of the crisis. However, if the capital requirement is not high enough, increasing capital requirements only causes decreased net output but does not help to stabilize consumption and capital price during the crisis. The third chapter is titled The Effect of Monetary Policy on Asset Price Volatility: Evidence from Time-Varying Parameter Vector Autoregression Approach. The great financial recession in 2007 - 2009 reactivated the discussion of the effect and the focus of monetary policies. Some researchers argue that whether the monetary authority should take action to fight against the asset price bubbles prior to 2007 aside from targeting inflation and GDP gap. However, one important fact that often get ne- glected is that the volatility of the financial market is also closely related to monetary policy shocks, and it has an important impact on economic output and unemployment in the economy. This paper utilizes two empirical methods, constant parameter structural vector auto-regression and time-varying parameter vector auto-regression, to study the relationship between monetary policy and financial market volatility. I find that under these two different methods, the financial market volatility responds differently to the monetary policy shocks.
Author : Demet Cimen-Gulsen
Publisher :
ISBN 13 : 9780438718746
Total Pages : 11 pages
Book Rating : 4.7/5 (187 download)
Download or read book Three Essays on Banking Risks and Inflation Dynamics written by Demet Cimen-Gulsen and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis of 2008, policymakers and researches has stirred a movement of economic researches on the determinants, impacts, and control of the crisis. There has been limited work on the banks' size and risk relationship and the determinants of systemic risk contribution. This dissertation investigates these two sub-areas to help strengthen future financial sector risk and factors behind the deflation in Europe during 2014. This dissertation contains three chapters. First paper titled "Do Big Banks Take on More Risks? Some Evidence on Whether Bank Size and Risk Relationship Matters". I examine the relationship between the bank size-structure and three major banks risks: liquidity risk, credit risk, and market risk. I use pro-forma based data sample of virtually largest fifty US commercial banks during the period 1994--2013. The results show that institutions with higher risk exposure have a larger size, less capital, and greater reliance on purchased funds. Banks related to significantly reduced bank risks are characterized by a smaller asset size and strong depository funding. Overall, the banking system has not finished the post-crisis consolidation. These results provide new insights into the understanding of bank risks and serve as an underpinning for recent regulatory efforts aimed at strengthening banks (joint) risk management of liquidity, credit, and market risks. In the second paper, titled "Network Topology and Systemic Risk Contribution: An Empirical Evaluation", I ask how the network topology of financial institutions affects their systemic risk contribution. I deploy DCC-GARCH model to construct network topology and SRISK and LRMES to measure systemic risk contributions. I classify financial firms into receivers, drivers, and key players. Moreover, I analyze network impact on systemic risk contribution based on their industry groups: Depositories, Insurance, Broker-Dealers, and Others. In the final paper, titled "Identifying Second Round Effects: Food and Energy Prices and Core Inflation Dynamics" joint with Weicheng Lian, we seek to explore the factors behind low inflation rates during 2014. We consider the role of unprocessed food and energy prices on core inflation using a panel Vector Autoregressive Regression estimated among 29 European economies between 1999 and 2014, we find evidence consistent with second-round effects: (i) unprocessed food and energy price shocks both have weaker and less persistent impact on core inflation in countries with more anchored inflation expectation, (ii) after we shut down changes in inflation expectations, both unprocessed food, and energy price shocks have weaker and less persistent impact on core inflation, and in this case, result (i) disappears i.e., the impacts become almost the same between countries with more anchored and those with less anchored inflation expectations.
Author : Russell H. Rollow
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.4/5 (268 download)
Download or read book Three Essays on Macro-finance, Banking, and Monetary Policy written by Russell H. Rollow and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my first chapter, I study how the dollar funding fragility of non-US banks amplifies cyclical patterns in their appetite for credit risk. Global banks outside of the United States finance a significant portion of their dollar-denominated lending with uninsured wholesale dollar funding, the price of which rises with the perceived riskiness of the bank. Using data from the syndicated lending market, I examine the risk appetite of non-US global banks when a broad appreciation of the US dollar expands portfolio tail risk and activates value-at-risk constraints. By orthogonalizing errors in professional forecasts of the broad dollar index to other macroeconomic indicators, I show that following such a dollar appreciation, global banks with a heavy dependence on wholesale dollar funding contract cross-border dollar lending to firms with high credit risk, as measured with loan-specific spreads and borrower-specific characteristics. Based on this evidence, I argue that instability in non-US bank funding structures amplifies cyclical patterns in their appetite for credit risk.In my second chapter, I explore how traditional modeling techniques can be applied to produce density forecasts of interest rates. As spikes in economic uncertainty have grown in prevalence, the projection of financial data has become a more arduous task, which has sharpened the focus of investors and policymakers on forecast risk. By integrating a dynamic factor model into a Bayesian framework, I develop a density forecasting model that projects the predictive density of interest rates. Unlike point forecasts, density forecasts produce probability estimates for the full distribution of potential future outcomes of interest rates, as opposed to solely their central tendency. To assess the viability of my forecasting model, I conduct a robust out-of-sample evaluation of the model's performance, finding the model significantly outperforms a competing benchmark autoregressive model, especially when economic uncertainty is high. By examining density forecasts of Treasury yields during the COVID-19 pandemic and the term spread prior to the financial crisis of 2008, I demonstrate the value of the dynamic factor model in expanding the information set available to forward-looking investors and policymakers.In my third chapter, I analyze the impact of the Federal Reserve's adoption of a floor system of monetary policy implementation on the transmission mechanism of changes in the policy rate to US bank balance sheets. Since 2008, in part due to easy monetary policy, United States interest rates have remained at historically low levels. Using US commercial bank call report data, I examine the response of bank profitability and investment to a rise in the rate of interest on reserve balances (IORB). Specifically analyzing the 2015-18 Federal Reserve monetary tightening cycle, I show that, following a rise in the IORB, holding more reserves buffers bank NII growth and asset growth against the adverse effects of a rise in the IORB. Taken together, these results imply that a rise in the policy rate raise profitability for banks with substantial reserve holdings and, when capital constraints bind, expand investment capacity.
Author : Jean Armand Gnagne
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (113 download)
Download or read book Three Essays on Financial Stability written by Jean Armand Gnagne and published by . This book was released on 2018 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary focus of this thesis is on financial stability. More specifically, we investigate different issues related to the monitoring and forecasting of important underlying systemic financial vulnerabilities. We develop various econometric models aimed at providing a better assessment and early insights about the build-up of financial imbalances. Throughout this work, we consider complementary measures of financial (in)stability endowing hence the regulatory authorities with a deeper toolkit for achieving and maintaining financial stability. In the first Chapter, we apply a logit model to identify important determinants of financial crises. Alongwiththetraditionalexplanatoryvariablessuggestedintheliterature, weconsider a measure of bid-ask spreads in the financial markets of each country as a proxy for the likely effect of a Securities Transaction Tax (STT) on transaction costs. One key contribution of this Chapter is to study the impact that a harmonized, area- wide tax, often referred to as Tobin Tax would have on the stability of financial markets. Our results confirm important findingsuncoveredintheliterature,butalsoindicatethathighertransactioncostsaregenerally associated with a higher risk of crisis. We document the robustness of this key result to possible endogeneity effects and to the 2008−2009 global crisis episode. To the extent that a widely-based STT would increase transaction costs, our results therefore suggest that the establishment of this tax could increase the risk of financial crises. In the second Chapter, we assess the build-up of financial imbalances in a data-rich environment. Concretely, we concentrate on one key dimension of a sound financial system by monitoring and forecasting the monthly aggregate commercial bank failures in the United States. We extract key sectoral predictors from a large set of macro-financial variables and incorporate them in a hurdle negative binomial model to predict the number of monthly commercial bank failures. We find a strong and robust relationship between the housing industry and bank failures. This evidence suggests that housing industry plays a key role in the buildup of vulnerability in the banking sector. Different specifications of our model confirm the robustness of our results. In the third Chapter, we focus on the modeling of non-performing loans (NPLs), one other dimension along with, financial vulnerabilities are scrutinized. We apply different models proposed in the recent literature for fitting and forecasting U.S. banks non-performing loans (NPLs). We compare the performance of these models to those of similar models in which we replace traditional explanatory variables by key sectoral predictors all extracted from the large set of potential U.S. macro-financial variables. We uncover that the latent-componentbased models all outperform the traditional models, suggesting then that practitioners and researchers could consider latent factors in their modeling of NPLs. Moreover, we also confirm that the housing sector greatly impacts the evolution of non-performing loans over time.
Author : Asad Karim Khan Priyo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on Macroeconomics and Finance written by Asad Karim Khan Priyo and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)
Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Author : Sahminan
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on the Dynamics of International Finance in Southeast Asia written by Sahminan and published by . This book was released on 2005 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
ISBN 13 : 1475561008
Total Pages : 66 pages
Book Rating : 4.4/5 (755 download)
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Author : Robert F. Bruner
Publisher : John Wiley & Sons
ISBN 13 : 0470452587
Total Pages : 296 pages
Book Rating : 4.4/5 (74 download)
Download or read book The Panic of 1907 written by Robert F. Bruner and published by John Wiley & Sons. This book was released on 2009-04-27 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Before reading The Panic of 1907, the year 1907 seemed like a long time ago and a different world. The authors, however, bring this story alive in a fast-moving book, and the reader sees how events of that time are very relevant for today's financial world. In spite of all of our advances, including a stronger monetary system and modern tools for managing risk, Bruner and Carr help us understand that we are not immune to a future crisis." —Dwight B. Crane, Baker Foundation Professor, Harvard Business School "Bruner and Carr provide a thorough, masterly, and highly readable account of the 1907 crisis and its management by the great private banker J. P. Morgan. Congress heeded the lessons of 1907, launching the Federal Reserve System in 1913 to prevent banking panics and foster financial stability. We still have financial problems. But because of 1907 and Morgan, a century later we have a respected central bank as well as greater confidence in our money and our banks than our great-grandparents had in theirs." —Richard Sylla, Henry Kaufman Professor of the History of Financial Institutions and Markets, and Professor of Economics, Stern School of Business, New York University "A fascinating portrayal of the events and personalities of the crisis and panic of 1907. Lessons learned and parallels to the present have great relevance. Crises and panics are as much a part of our future as our past." —John Strangfeld, Vice Chairman, Prudential Financial "Who would have thought that a hundred years after the Panic of 1907 so much remained to be written about it? Bruner and Carr break significant new ground because they are willing to do the heavy lifting of combing through massive archival material to identify and weave together important facts. Their book will be of interest not only to banking theorists and financial historians, but also to business school and economics students, for its rare ability to teach so clearly why and how a panic unfolds." —Charles Calomiris, Henry Kaufman Professor of Financial Institutions, Columbia University, Graduate School of Business
Author : Mr.Luc Laeven
Publisher : International Monetary Fund
ISBN 13 : 1451963025
Total Pages : 42 pages
Book Rating : 4.4/5 (519 download)
Download or read book Lessons and Policy Implications from the Global Financial Crisis written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2010-02-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation and architecture, particularly in the treatment of systemically important financial institutions, the assessments of systemic risks and vulnerabilities, and the resolution of financial institutions. The global nature of the financial crisis has made clear that financially integrated markets, while offering many benefits, can also pose significant risks, with large real economic consequences. Deep reforms are therefore needed to the international financial architecture to safeguard the stability of an increasingly financially integrated world.
Download or read book Bank Failure written by and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 642 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2002 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt:
