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Author : Olga Briukhova
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (142 download)
Download or read book Three Essays on the Consequences of Financial Stability Regulation written by Olga Briukhova and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (913 download)
Download or read book Three Essays on Micro- and Macroprudential Regulation and the Effects on Bank Conduct and the Real Economy written by and published by . This book was released on 2014 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Piotr Jan Danisewicz
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (913 download)
Download or read book Three Essays on Micro- and Macroprudential Regulation and the Effects on Bank Conduct and the Real Economy written by Piotr Jan Danisewicz and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shasta Shakya
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book Essays on Stability and Regulation of the Banking System written by Shasta Shakya and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters each of which explores different topics in the area of banking. In the first chapter, I ask how a banks connectedness affects its financial stability and what mechanisms amplify or mitigate this effect. I consider connectedness arising due to linkages that are formed between banks when they are exposed to common housing markets, and investigate whether such connectedness explains stability around the 2007 housing crash. I show that linkages facilitate contagion of risk, and that high leverage and securitization activity of other banks amplify contagion while high liquidity ratio of other banks minimizes contagion. Finally, I provide policy implications by suggesting minimum levels of capital and liquidity ratios that could contain contagion.In the second chapter, I study the impact of a newly introduced liquidity requirement in the banking sector the Liquidity Coverage Ratio (LCR) rule on loan contract terms. This chapter employs a differences-in-differences testing method, and exploits the setting of multiple events arising from the timing of the implementation of the rule to identify the effect of LCR. I do not find evidence of high costs to lenders due to this rule, because loan pricing terms do not change in an average loan post LCR. However, banks limit their risk exposure by increasing collateral requirements. For banks that are ex-ante expected to find the rule less costly, I find evidence of cost savings because they offer lower spreads. Further results suggest that while banks provided extra benefits to relationship borrowers in the form of lower spreads pre LCR, this is no longer true post LCR, and they reduce risk exposure to borrowers with weaker relationship strength by increasing collateral requirements.In the third chapter, I study the relationship between liquidity created by a bank and its overall financial stability. I contrast results during the period of 2007 financial crisis with those during normal times. While I find that overall liquidity creation is a risky activity during both times, breaking it into different components (on- vs. off-balance sheet, asset side vs. liability side) reveals nuances on the driving forces behind this relationship. While asset side liquidity creation decreases stability during both times, results show that the effects of other components depend on overall market conditions. During the crisis period, off-balance sheet liquidity creation hurts stability, while it has no apparent benefit during normal times. Liability side liquidity creation improves stability during crisis, however there is evidence of costs of such activity during normal times. Further results show that liquid holdings and core deposits can mitigate the costs of liquidity creation during crisis without significantly hurting benefits during normal times.
Author : Alejandro Buesa Olavarrieta
Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (129 download)
Download or read book Three Essays on Macroprudential Policy written by Alejandro Buesa Olavarrieta and published by . This book was released on 2021 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This doctoral thesis gathers three studies on different aspects of macroprudential policy and financial stability. The research questions featured in each of its parts are to be seen as complementary: one chapter concentrates on mortgage credit markets, another one explores the business decisions of banking institutions, while the remaining one considers the potential international implications of borrower-based measures.The first paper introduces a simplified picture of the mortgage credit market and itsbehaviour under regulatory constraints related to borrower-based macroprudential policies. More precisely, the chapter presents an assessment of the effects of loan-to-value (LTV) ratiocaps for housing mortgages using an agent-based model. Sellers, buyers and banks interact within a computational framework that enables the application of LTV caps to a one-stephousing market. The initial exercise, which relies upon simulated distributions of buyers and sellers, is followed by a more realistic setup calibrated through actual European data from the Household Finance and Consumption Survey. In both cases, the application of an LTV cap results in a modified distribution of buyers along property values, bidding prices and properties sold, depending on the shape of the probability distributions of the LTV ratio, wealth and debt-to- income ratios considered. The results are of similar magnitude to other studies in the literature embodying other analytical approaches and suggest that this methodology can potentially be used to gauge the impact of common macroprudential measures...
Author : Maria Alejandra Amado Garfias
Publisher :
ISBN 13 :
Total Pages : 127 pages
Book Rating : 4.:/5 (129 download)
Download or read book Essays on Financial Regulation, Stability and Inequality written by Maria Alejandra Amado Garfias and published by . This book was released on 2021 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence has shown that regulatory policies aimed at achieving financial stability disproportionally affect firms facing tighter borrowing constraints. However, little is known about the consequences of these policies in dollarized economies, where cheaper dollar financing plays a crucial role in relaxing small firms' borrowing constraints. Furthermore, the impact of these policies on income distribution has remained unexplored in the literature. In Chapter 1, I propose a theoretical mechanism to understand the effects of a tax on foreign currency financial intermediation. I analyze the equilibrium of a credit market game in which currency mismatch acts as a means for relaxing small firms' borrowing constraints. I show that a tax on dollar lending negatively affects the total debt of constrained (small) firms, while it only has compositional effects on total debt of unconstrained (large) firms. In Chapter 2, I study the implementation of a macroprudential FX tax by the Central Bank of Peru. I build a novel dataset that combines confidential data on the universe of loans granted by Peruvian banks to nontradable firms and a confidential dataset on the universe of all formally registered firms. Exploiting the heterogeneity in the strictness of the tax among banks, I provide causal evidence of the heterogeneous effects of this tax on firms of different sizes. I find that a 10% increase in bank exposure to the tax significantly increases disparities in the growth of total loans between small and large firms by 1.5 percentage points. When accounting for firms switching to soles financing from different banks, the effect on large firms financing is only compositional. Chapter 3 explores the links between macroprudential policies and labor income inequality. I develop a survey of two strands of the literature that have remained disconnected thus far: First, the literature that explores the heterogeneous effects of banking regulation and capital controls on firms of different sizes. And second, the literature that studies the drivers of the firm size wage puzzle, and the implications of firm demography on income inequality. I conjecture that, by disproportionally hurting small firms' financing and growth possibilities, macroprudential policies can contribute to increase labor income inequality.
Author : John Vourdas
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (18 download)
Download or read book Essays on Financial Stability written by John Vourdas and published by . This book was released on 2017 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of two essays concerning how banking regulations may promote financial stability. The first chapter investigates the competition-concentration-stability nexus from a novel perspective, by considering how concentration and, inter alia competition, affect the likelihood of an individual bank failing, and the likelihood of the bank failure spreading contagiously to the rest of the banking system. Competition is shown to reduce individual bank and systemic stability by reducing banks' profit buffers to absorb liquidity shocks. The impact of concentration on stability is more nuanced however, as increased concentration increases banks' profit buffers but also increases the concentration risk in the interbank market, widening the channel of contagion by which a liquidity shock can spread throughout the network. The second chapter concerns optimal ex-ante prudential regulation and ex-post resolution policy of globally systemically important banks. It characterises the conditions under which weakly capitalised, limitedly liable banks have incentives to ’gamble for resurrection’ by investing in risky asset portfolios, in the knowledge that the downside risk is shifted onto the deposit insurance fund. In this context it is shown that a bank resolution by ‘bailing in’ unsecured debt holders can restore the incentive for banks to act prudently, and that the bail-in should occur above the point of insolvency to ensure the bank has sufficient skin in the game. The interplay of three ex-ante prudential regulatory instruments is analysed: the minimum capital and total loss absorbing capacity requirements and the minimum capital buffer. The minimum capital and TLAC requirements are set to ensure that the bank has sufficient skin in the game to invest prudently and tradeoff the ex-post costs of bailing in unsecured debt holders, the cost of bailing out depositors and the cost of equity issuance, and minimum equity buffer is set to ensure an appropriate trigger for resolution.
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 : Matthieu Segol
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (123 download)
Download or read book Three Essays in Financial Economics written by Matthieu Segol and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three chapters of this PhD investigate the effects of financial constraints in several contexts. In the first chapter, we analyze the impact of new regulatory constraints on US banks' interest rate derivative portfolios. In particular, we evaluate the effect of the central clearing requirement for interest rate derivatives, which can represent a significant cost for end-users. Our results show that a significant number of banks rebalanced their derivative portfolio after the implementation of the reform, precisely in order to limit the use of central clearing. This type of behaviour indicates that the new regulatory landscape does not provide a cost incentive to move towards central clearing for all end-users subject to the reform. The second chapter evaluates the impact of inadequate bank loan terms on firms' intangible investment in Europe. This analysis is carried out using new survey data which provide information on firms' investment in several categories of intangible assets. In addition, surveyed firms are asked to indicate their satisfaction regarding several terms of their loan contract, allowing us to cover a large scope of possible financial constraints. Our results show that a satisfying loan amount is the main determinant of firms' probability to invest in intangibles. On the other hand, dissatisfaction with the loan rate, maturity and/or collateral requirements have a negative impact on firms' ability to invest in several intangibles simultaneously, preventing them to benefit from the complementarity of these assets. In the last chapter, I build a theoretical model designed to study the impact of collateral constraints on asset price stability in a market where investors have different degrees of ambiguity aversion. Collateral constraints and ambiguity aversion are financial markets' features which have been particularly studied during the 2007-2009 financial crisis given their possible role in the amplification of the initial shock. An important outcome of our specification is that expectations of ambiguity-averse agents regarding future growth are endogenous and, consequently, can be impacted by binding collateral constraints. Our simulations show that binding constraints can lead to reduced asset price volatility in this framework, suggesting a possible stabilizing effect of tighter financial regulations when a fraction of market participants are concerned about ambiguity.
Author : Andrew Crockett
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (321 download)
Download or read book The Theory and Practice of Financial Stability written by Andrew Crockett and published by . This book was released on 1997 with total page 62 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 : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1498324029
Total Pages : 109 pages
Book Rating : 4.4/5 (983 download)
Download or read book Global Financial Stability Report, October 2019 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-10-16 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1513569678
Total Pages : 92 pages
Book Rating : 4.5/5 (135 download)
Download or read book Global Financial Stability Report, April 2021 written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-04-06 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extraordinary policy measures have eased financial conditions and supported the economy, helping to contain financial stability risks. Chapter 1 warns that there is a pressing need to act to avoid a legacy of vulnerabilities while avoiding a broad tightening of financial conditions. Actions taken during the pandemic may have unintended consequences such as stretched valuations and rising financial vulnerabilities. The recovery is also expected to be asynchronous and divergent between advanced and emerging market economies. Given large external financing needs, several emerging markets face challenges, especially if a persistent rise in US rates brings about a repricing of risk and tighter financial conditions. The corporate sector in many countries is emerging from the pandemic overindebted, with notable differences depending on firm size and sector. Concerns about the credit quality of hard-hit borrowers and profitability are likely to weigh on the risk appetite of banks. Chapter 2 studies leverage in the nonfinancial private sector before and during the COVID-19 crisis, pointing out that policymakers face a trade-off between boosting growth in the short term by facilitating an easing of financial conditions and containing future downside risks. This trade-off may be amplified by the existing high and rapidly building leverage, increasing downside risks to future growth. The appropriate timing for deployment of macroprudential tools should be country-specific, depending on the pace of recovery, vulnerabilities, and policy tools available. Chapter 3 turns to the impact of the COVID-19 crisis on the commercial real estate sector. While there is little evidence of large price misalignments at the onset of the pandemic, signs of overvaluation have now emerged in some economies. Misalignments in commercial real estate prices, especially if they interact with other vulnerabilities, increase downside risks to future growth due to the possibility of sharp price corrections.
Author : Markus Konrad Brunnermeier
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book The fundamental principles of financial regulation written by Markus Konrad Brunnermeier and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Ayhan Kose
Publisher : World Bank Publications
ISBN 13 : 1464815453
Total Pages : 403 pages
Book Rating : 4.4/5 (648 download)
Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.
Author : Moritz Schularick
Publisher : University of Chicago Press
ISBN 13 : 022681694X
Total Pages : 318 pages
Book Rating : 4.2/5 (268 download)
Download or read book Leveraged written by Moritz Schularick and published by University of Chicago Press. This book was released on 2022-12-13 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative guide to the new economics of our crisis-filled century. Published in collaboration with the Institute for New Economic Thinking. The 2008 financial crisis was a seismic event that laid bare how financial institutions’ instabilities can have devastating effects on societies and economies. COVID-19 brought similar financial devastation at the beginning of 2020 and once more massive interventions by central banks were needed to heed off the collapse of the financial system. All of which begs the question: why is our financial system so fragile and vulnerable that it needs government support so often? For a generation of economists who have risen to prominence since 2008, these events have defined not only how they view financial instability, but financial markets more broadly. Leveraged brings together these voices to take stock of what we have learned about the costs and causes of financial fragility and to offer a new canonical framework for understanding it. Their message: the origins of financial instability in modern economies run deeper than the technical debates around banking regulation, countercyclical capital buffers, or living wills for financial institutions. Leveraged offers a fundamentally new picture of how financial institutions and societies coexist, for better or worse. The essays here mark a new starting point for research in financial economics. As we muddle through the effects of a second financial crisis in this young century, Leveraged provides a road map and a research agenda for the future.
