New Economics Papers
on Banking
Issue of 2014‒05‒24
23 papers chosen by
Christian Calmès, Université du Québec en Outaouais

  1. Has the Financial Crisis Permanently Changed the Practice of Monetary Policy? Has It Changed the Theory of Monetary Policy? By Benjamin M. Friedman
  2. Dealer financial conditions and lender-of-last resort facilities By Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; Sarkar, Asani
  3. Changes in Bank Leverage: Evidence from US Bank Holding Companies By Martin D O’Brien; Karl Whelan
  4. The evolution of u.s. Community banks and its impact on small business lending By Jagtiani, Julapa; Kotliar, Ian; Maingi, Ramain Quinn
  5. Why Do We Need a Banking Union? By Suvanto, Antti; Virolainen, Kimmo
  6. Electoral cycles in savings bank lending By Englmaier, Florian; Stowasser, Till
  7. Macroprudential Consolidation Policy in Interbank Networks By Edoardo Gaffeo; Massimo Molinari
  8. A Model of Monetary Policy and Risk Premia By Itamar Drechsler; Alexi Savov; Philipp Schnabl
  9. Efficiency in the Vietnamese banking system: A DEA double bootstrap approach By Matousek, Roman; Nguyen, Thao Ngoc; Stewart, Chris
  10. Improving the rating system for remote monitoring of commercial banks in Bulgaria (PERLA) By Bojinov, Bojidar
  11. Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution By Ha-Thu Nguyen
  12. Does the Size and Composition of the Board of Directors of Shinkin Banks Affect their Risk Taking and Efficiency? By Tsutomu Chano; Yoshiro Tsutsui
  13. Differentiated Use of Small Business Credit Scoring by Relationship Lenders and Transactional Lenders: Evidence from Firm–Bank Matched Data in Japan By Arito Ono; Ryo Hasumi; Hideaki Hirata
  14. Financial stability indicators and public debt developments By Athanasios O. Tagkalakis
  15. Small Business Credit Scoring and Its Pitfalls: Evidence from Japan By Ryo Hasumi; Hideaki Hirata
  16. The housing market: the impact of macroprudential measures in France By Labonne, Claire; Lecat, Rémy; Avouyi‑Dovi, Sanvi
  17. Bank Linkages and International Trade By Galina Hale; Christopher Candelaria; Julián Caballero; Sergey Borisov
  18. Financial liberalization, disaggregated capital flows and banking crisis: Evidence from developing countries By BOUKEF JLASSI, NABILA; HAMDI, HELMI
  19. House prices, credit and the effect of monetary policy in Norway: Evidence from Structural VAR Models By Ørjan Robstad
  20. Purchase of SME-related ABS by the Bank of Japan: Monetary Policy and SME Financing in Japan By Hideaki Hirata; Tokiko Shimizu
  21. Are All U.S. Credit Unions Alike? A Generalized Model of Heterogeneous Technologies with Endogenous Switching and Correlated Effects By Malikov, Emir; Restrepo-Tobon, Diego A; Kumbhakar, Subal C.
  22. Competition in the banking sector and economic growth: panel-based international evidence By Edoardo Gaffeo; Ronny Mazzocchi
  23. Inflation Targeting and Quantitative Tightening: Effects of Reserve Requirements in Peru By Adrián Armas; Paul Castillo; Marco Vega

  1. By: Benjamin M. Friedman
    Abstract: I argue in this paper that one of the two forms of hitherto unconventional monetary policy that many central banks have implemented in response to the 2007 financial crisis – large-scale asset purchases, or to put the matter more generically, use of the central bank’s balance sheet as a distinct tool of monetary policy – is likely to become part of the standard toolkit of monetary policymaking in normal times as well. As intended, these purchases have lowered long-term interest rates relative to short-term rates, and lowered interest rates on more-risky compared to less-risky obligations. Moreover, their introduction fills a conceptual vacuum that has long stood at the heart of monetary policy analysis and implementation. By contrast, forward guidance on the future trajectory of monetary policy has been less successful. Public statements by central banks about their actions and intentions will no doubt continue, but transparency for the sake of transparency is not the same as the deliberate attempt to shape market expectations for purposes of achieving specific monetary policy objectives. Finally, there is a conceptual component to all this as well. In contrast to the last century or more of monetary theory, which has focused on central banks’ liabilities, the basis for the effectiveness of central bank asset purchases turns on the role of the asset side of the central bank’s balance sheet. The implications for monetary theory are profound.
    JEL: E52 E58
    Date: 2014–05
  2. By: Acharya, Viral V. (Federal Reserve Bank of New York); Fleming, Michael J. (Federal Reserve Bank of New York); Hrung, Warren B. (Federal Reserve Bank of New York); Sarkar, Asani (Federal Reserve Bank of New York)
    Abstract: We examine the financial conditions of dealers that participated in two of the Federal Reserve’s lender-of-last-resort (LOLR) facilities--the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF)--that provided liquidity against a range of assets during 2008-09. Dealers with lower equity returns and greater leverage prior to borrowing from the facilities were more likely to participate in the programs, borrow more, and--in the case of the TSLF--at higher bidding rates. Dealers with less liquid collateral on their balance sheets before the facilities were introduced also tended to borrow more. There also appear to be some interaction effects between financial performance and balance sheet liquidity in explaining dealer behavior. The results suggest that both financial performance and balance sheet liquidity play a role in LOLR utilization.
    Keywords: lender of last resort; central banking; crises; illiquidity; insolvency; stigma
    JEL: D44 E58 G01 G28
    Date: 2014–05–01
  3. By: Martin D O’Brien (Central Bank of Ireland); Karl Whelan (University College Dublin)
    Abstract: This paper examines how banks respond to shocks to their equity. If banks react to equity shocks by more than proportionately adjusting liabilities, then this will tend to generate a positive correlation between asset growth and leverage growth. However, we show that in the presence of changes in liabilities that are uncorrelated with shocks to equity, a positive correlation of this sort can occur without banks adjusting to equity shocks by more than proportionately adjusting liabilities. The paper uses data from US bank holding companies to estimate an empirical model of bank balance sheet adjustment. We identify shocks to equity as well as orthogonal shocks to bank liabilities and show that both equity and liabilities tend to adjust to move leverage towards target ratios. We also show that banks allow leverage ratios to fall in response to positive equity shocks, though this pattern is weaker for large banks, which are more active in adjusting liabilities after these shocks. We show how this explains why large banks have lower correlations between asset growth and leverage growth.
    Keywords: Banks, Leverage, Banking Regulation
    Date: 2014–03–18
  4. By: Jagtiani, Julapa (Federal Reserve Bank of Philadelphia); Kotliar, Ian (Rutgers University); Maingi, Ramain Quinn (Rutgers University)
    Abstract: There have been increasing concerns about the declining number of community banks and that the acquisitions of community banks by larger banks might result in significant reductions in small business lending (SBL) and disrupt relationship lending. This paper examines the roles and characteristics of U.S. community banks in the past decade, covering the recent economic boom and downturn. We analyze risk characteristics (including the confidential ratings assigned by bank regulators) of acquired community banks, compare pre- and post-acquisition performance and stock market reactions to these acquisitions, and investigate how the acquisitions have affected small business lending. We find that community banks that were merged during the financial crisis period were mostly in poor financial condition and had been rated as unsatisfactory by their regulators on all risk aspects. We also find that the ratio of SBL lending to assets has declined (from 2001 to 2012) for all bank size groups, including community banks. The overall amount of SBL lending tends to increase when the acquirer is a large bank. Our results indicate that mergers involving community bank targets so far have enhanced the overall safety and soundness of the overall banking system and that community bank targets are willing to accept a smaller merger premium (or even a discount) to become a part of a large banking organization. Overall, the decline in the number of community banks during this period does not appear to have adversely impacted SBL lending, and larger bank acquirers have tended to step in and play a larger role in SBL lending.
    Keywords: Community bank; Small business lending; Bank mergers;
    JEL: G21 G28 G34
    Date: 2014–03–13
  5. By: Suvanto, Antti; Virolainen, Kimmo
    Abstract: The project to build up a banking union in Europe was launched in summer 2012. Thereafter the progress has been fast. Single Supervisory Mechanism will embark on November 1, 2014. A decision on the Single Resolution Mechanism was made in Spring 2014. It should be up and running as of the beginning of 2015. The main rationalisation for the banking union has been the aspiration to to break the vicious circle between banks and sovereigns. Equally important rationalization is to safeguard the smooth operation of the single market. If the cross-border banking is significant, home-country supervision is no more sufficient. If banks become, thanks to large-scale cross-border operations, very large in relation to the economic size of the home country, the interdependence of the banks and the sovereign increases. The greatest challenge of the banking union project in the coming years is to build up both the capacity and the credibility. The first test is the successful execution of the asset quality review of the bank balance sheets and the subsequent stress tests. The new supervisory mechanism needs to prove that neither national interests nor lobbying by major financial institutions have any influence on its decisions.
    Keywords: banking union, financial supervision, bank resolution, single market
    JEL: F15 G21 G28
    Date: 2014–05–07
  6. By: Englmaier, Florian; Stowasser, Till
    Abstract: We provide causal evidence that German savings banks – where local politicians are by law involved in their management – systematically adjust lending policies in response to local electoral cycles. The different timing of county elections across states and the existence of a control group of cooperative banks – that are very similar to savings banks but lack their political connectedness – allow for clean identification of causal effects of county elections on savings banks’ lending. These effects are economically meaningful and robust to various specifications. Moreover, politically induced lending increases in incumbent party entrenchment and in the contestedness of upcoming elections.
    Keywords: Bank lending cycles; political business cycles; political connectedness; public banks; government ownership of firms
    JEL: G21 D72 D73
    Date: 2014–05–14
  7. By: Edoardo Gaffeo; Massimo Molinari
    Abstract: Can consolidation policy be made consistent with macro-prudential supervision? In this study, we seek to provide new insights on this key-question using a network approach. We study how the resilience of a banking network evolves as we shock an initially homogenous competitive market with a sequence of M&A activities that significantly alter the topology of the network. We study how different M&A treatments impact on the structural vulnerabilities that can propagate through the system and we show that the severity of contagion and default dynamics depends on the chosen treatment. The desirability of alternative competitive settings (such as hub-centered market or a more concentrated and yet symmetric market) are assessed against an homogenous benchmark case and we show that the choice depends crucially on the size of the interbank market and the level of bank capitalization. The existence of a large highly connected hub is beneficial in a capitalized network with a well-developed interbank market but it can significantly weaken the system resilience in a poorly capitalized market. Antitrust and competition authorities shall adopt a state-contingent approach to M&A activities according to the market conditions in which banks operate.
    Keywords: Consolidation Policy, Macroprudential Regulation, Interbank Networks
    Date: 2014
  8. By: Itamar Drechsler; Alexi Savov; Philipp Schnabl
    Abstract: We present a dynamic heterogeneous-agent asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk tolerant agents (banks) borrow from risk averse agents (depositors) and invest in risky assets subject to a reserve requirement. By varying the nominal interest rate, the central bank affects the spread banks pay for external funding (i.e., leverage), a link that we show has strong empirical support. Lower nominal rates result in increased leverage, lower risk premia and overall cost of capital, and higher volatility. The effects of policy shocks are amplified via bank balance sheet effects. We use the model to implement dynamic interventions such as a ``Greenspan put'' and forward guidance, and analyze their impact on asset prices and volatility.
    JEL: E52 E58 G12 G21
    Date: 2014–05
  9. By: Matousek, Roman (University of Kent, UK); Nguyen, Thao Ngoc (Nottingham Trent University, UK); Stewart, Chris (Kingston University London)
    Abstract: This study analyses bank efficiency in Vietnam from 1999 to 2009. We use a unique data sample that allows us to capture the development of the Vietnamese banking sector over the last decade. We apply an advanced methodological approach introduced by Simar and Wilson (2007) to examine bank efficiency in Vietnam. An integral part of the analysis is to explore the determinants of bank efficiency. The results indicate that large and very large banks are more efficient than small and medium sized banks with small banks having the lowest efficiency scores in the system. We also argue that banks with large branch networks and those that have been in existence for a long time are less efficient than other banks.
    Keywords: Banking; Efficiency; DEA; Two-stage double bootstrap method; Vietnam.
    JEL: G21
    Date: 2014–04–22
  10. By: Bojinov, Bojidar
    Abstract: Global banking crisis of 2007 raised a number of issues and challenges facing the banking sector. One aspect of the debate provoked was connected with the issue of rating assessments and objective methods for measuring the condition of the banks and the sector as a whole. This paper set a goal to assess the feasibility of the developed in 2004 by a team at the department "Finance and credit" system for evaluating banking Pearl and seek ways of improving and enhancing the degree of her picks.
    Keywords: banks, bank stability, rating systems, PERLA
    JEL: G21
    Date: 2014–05–21
  11. By: Ha-Thu Nguyen
    Abstract: The aim of this paper is to present the set-up of a behavioral credit-scoring model and to estimate such a model using the auto loan data set of one of the largest multinational financial institutions based in France. We rely on a logistic regression approach, which is commonly used in credit scoring, to construct a behavioral scorecard. A detailed description of the model building process is provided, as are discussions about specific modeling issues. The paper then uses a number of quantitative criteria to identify the model best suited to modeling. Finally, it is demonstrated that such model possesses the desirable characteristics of a scorecard.
    Keywords: Auto Loans, Credit Risk, Credit Scoring, Logistic Regression.
    JEL: G3 C51 C52
    Date: 2014
  12. By: Tsutomu Chano (Musashi University); Yoshiro Tsutsui (Konan University)
    Abstract: This paper investigates the effect of the size and composition of the board of directors of Shinkin Banks on their efficiency and risk taking. Because employees are important stakeholders in Japanese firms, we define the relative size of the board of directors as the number of directors per employee. We also consider the composition of the board; specifically, we employ a dummy variable representing whether the board includes directors who were not employees of that Shinkin Bank, and also the fraction of directors who do not have the right to represent that Shinkin Bank. We found the following. First, smaller the relative size of the board, the more efficient the Shinkin Bank is. Second, those Shinkin Banks which have ever-non-employee directors are more efficient than others. Third, the smaller the relative size of the board, the less risk the Shinkin Bank takes. On the other hand, we found that mergers and competitiveness of bank location do not affect the relationship between board size and efficiency.
    Keywords: Board size and performance, Risk taking, Malmquist index, Z score, Shinkin bank
    JEL: D2 G21 G34
    Date: 2014–05
  13. By: Arito Ono; Ryo Hasumi; Hideaki Hirata
    Abstract: This paper examines the ex-post performance of small and medium enterprises (SMEs) that obtained small business credit scoring (SBCS) loans, using a unique Japanese firm–bank matched dataset. The ex-post probability of default after the SBCS loan was provided significantly increased for SMEs that obtained an SBCS loan from a transactional lender. Also, the lending attitude of relationship lenders during the recent global financial crisis was more severe if a firm had received an SBCS loan from a transactional lender. These findings suggest that SBCS loans by transactional lenders are more prone to type II errors and detrimental to relationship lenders’ incentive to provide “liquidity insurance.
  14. By: Athanasios O. Tagkalakis (Bank of Greece)
    Abstract: This paper investigates the inter-linkages between financial stability and fiscal policy. It analyzes the effect of selected financial stability indicators on the probability of future debt deterioration, controlling for several macroeconomic variables. We find significant evidence that a fragile banking system can put at risk public finances. Weak bank profitability, low asset quality and a weak capital base increase the fragility of the banking system, thus, raising the probability of future fiscal troubles.
    Keywords: E44; E58; G21; G28; E61; E62; H61; H62; E32
    Date: 2014–04
  15. By: Ryo Hasumi; Hideaki Hirata
    Abstract: This paper studies the Japanese credit scoring market using data on 2,000 small and medium-sized enterprises and a small business credit scoring (SBCS) model widely used in the market. After constructing a model for determining a bank's profit maximization, some simulation exercises are conducted, and pitfalls of lending based on SBCS are indicated. The simulation results suggest that the reason why SBCS loan losses occur would be the combination of adverse selection and window-dressing problems. In addition, omitted variable bias and transparency of financial statements are important.
  16. By: Labonne, Claire; Lecat, Rémy; Avouyi‑Dovi, Sanvi
    Abstract: The housing market is a central macroprudential policy concern in France due to the significant proportion of residential property loans in bank balance sheets and the high weight of housing in household wealth. The surge in house prices at the start of the 2000s means we cannot rule out the risk of a bubble or a sharp downward correction, even though prices currently seem to be stabilising. However, if the evolution of house prices does start to pose a threat to financial stability, French authorities have access to a number of macroprudential tools that can be used to modify trends in factors such as the provision of housing loans. Using a model, this article attempts to examine the impact of measures which directly or indirectly influence loan interest rates and maturities, or the size of repayments in relation to household income. The empirical results show that these measures have a significant impact on trends in home lending, but a more limited impact on house prices due to the way variations in lending affect housing supply.
    Keywords: Mortgage loans; Housing; Cost and standard of living; Real estate business;
    JEL: E64 E63 E01 D91 D31
    Date: 2014–04
  17. By: Galina Hale; Christopher Candelaria; Julián Caballero; Sergey Borisov
    Abstract: This paper shows that bank linkages have a positive effect on international trade. A global banking network (GBN) is constructed at the bank level, using individual syndicated loan data from Loan Analytics for 1990-2007. Network distance between bank pairs is computed and aggregated to country pairs as a measure of bank linkages between countries. Data on bilateral trade from IMF DOTS are used as the subject of the analysis and data on bilateral bank lending from BIS locational data are used to control for financial integration and financial flows. Using a gravity approach to modeling trade with country-pair and year fixed effects, the paper finds that new connections between banks in a given country-pair lead to an increase in trade flow in the following year, even after controlling for the stock and flow of bank lending between the two countries. It is conjectured that the mechanism for this effect is that bank linkages reduce export risk, and four sets of results that support this conjecture are presented.
    Keywords: Integration & Trade
    Date: 2013–12
    Abstract: The aim of this paper is to examine whether or not financial liberalization has triggered banking crises in developing countries. We focus in particular on the role of capital inflows as their volatilities threat economic stability. In the empirical model, based on Panel Logit estimation, we use the two common financial liberalization indicators (de facto and dejure) for a panel of 58 developing countries for the period from 1984 to 2007. Unlike the previous studies, this paper reveals that both indicators of financial liberalization did not trigger banking crises in our sample.
    Keywords: Banking Crises, Financial Liberalization, Capital Flows, Developing Countries
    JEL: F32 F33 F34 F36 F41 G01 G11 G15 G18
    Date: 2013
  19. By: Ørjan Robstad (Norges Bank)
    Abstract: This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is large, while the effect on household credit is muted. This is consistent with a relatively small refinancing rate of the mortgage stock each quarter. Using monetary policy to guard against - financial instability by mitigating property-price movements may prove effective, but trying to mitigate household credit may prove costly in terms of GDP and inflation variation.
    Keywords: House Prices, Credit, Monetary Policy, Structural VAR
    JEL: E32 E37 E44 E52
    Date: 2014–05–15
  20. By: Hideaki Hirata; Tokiko Shimizu
    Abstract: The malfunction of the monetary transmission mechanism in Japan has been cited as one of the main reasons why the quantitative easing of monetary policy undertaken by the Bank of Japan (BOJ) has been insufficient in achieving the objective of an early escape from deflation and the economic slump. The BOJ has quantitatively eased monetary policy, promising to provide as much money as the market needs, and as a result, short term interest rates have fallen to very low levels. However, the growth rate of bank lending particularly to small and medium-sized enterprises (SMEs), has been drawing a secular downtrend for years (Chart 1), thus leading to considerable debate over the effectiveness of the monetary policy. The factors underlying the malfunction of the monetary transmission channel lurk both in the financial and non- financial sectors. Of all the underlying factors, there is broad consensus that the "health" of the Japanese financial sector should be considered as the problem of most concern. The financial sector has played a central role in providing external finance to the non- financial sectors through financial intermediation, accumulating credit risks within the financial sector itself. Associated with the non-performing loan problem, the excess accumulation of credit risks in the banking sector lowers the financial intermediation ability. Thus, it impairs the smooth propagation of monetary policy through the credit channel. On the side of non- financial enterprises, SMEs as a driving force in the Japanese economy, in particular, have been struggling with their fundraising. Limited availability of reliable information on SMEs, in other words, the asymmetric information problem of SMEs is pivotal as is often mentioned. Furthermore, it is important to bear in mind that the shortage of collateral is an obstacle to credit availability for SMEs. SMEs with lower credit status seek alternative sources of funding that strengthen the effects of monetary easing. The BOJ announced its intention to purchase asset backed securities (ABS) whose underlying assets are closely related to SME economic activities. One important motivation for this policy arises from the idea that utilizing modern financial tools, i.e., securitization, can be a possible way to solve the overconcentration or excess accumulation of credit risks in the banking sector, albeit it would be a rare move for central banks to buy private debt. The outright purchase is expected to restore the monetary transmission mechanism by helping diversify credit risks in the financial sector among other economic agents including the BOJ. The other motivation of the new policy is to increase fundraising options for SMEs. For example, the BOJ will purchase ABS backed by accounts receivable. The use of accounts receivable as collateral is not a popular fundraising method for SMEs in Japan. SMEs can take advantage of the BOJ's policy to utilize quality assets which have not been effectively used as collateral in the past. SME external financial sources can be multi-tracked, thereby reducing their heavy reliance upon traditional financial intermediation. Thus, through the implementation of "traditional" monetary policy tools to purchase "untraditional" financial assets, the policy is expected to strengthen the monetary transmission mechanism. The spirit of this policy is to effectively improve SME access to financing through accelerating the development of ABS markets, without causing distortions in the ABS markets. The scheme is carefully designed to avoid any moral hazards and to contribute to the removal of obstacles to SME financing through enhancing financial disintermediation.
  21. By: Malikov, Emir; Restrepo-Tobon, Diego A; Kumbhakar, Subal C.
    Abstract: Credit unions differ in the types of financial services they offer to their members. This paper explicitly models this observed heterogeneity using a generalized model of endogenous ordered switching. Our approach captures the endogenous choice that credit unions make when adding new products to their financial services mix. Failure to do so is likely to yield biased and inconsistent estimates. The model that we develop also allows for the dependence between unobserved effects and regressors in both the selection and outcome equations and can accommodate the presence of predetermined covariates in the model. We use this model to estimate returns to scale for U.S. retail credit unions from 1996 to 2011. We document strong evidence of persistent technological heterogeneity among credit unions offering different financial service mixes, which, if ignored, can produce quite misleading results. Employing our generalized model, we find that credit unions of all types exhibit substantial economies of scale.
    Keywords: Credit Union, Correlated Effects, Panel Data, Returns to Scale, Selection, Switching Regression
    JEL: C33 C34 G21
    Date: 2014
  22. By: Edoardo Gaffeo; Ronny Mazzocchi
    Abstract: This paper employs panel techniques to empirically examine the link between the competitiveness of the banking sector and real economic growth, using data from a sample of OECD economies during 1997-2010. We employ a dynamic GMM model to find that an increase in the efficiency of banks driven by fiercer competition is robustly associated with higher real growth. The issue of Granger-causality is then explored by means of a panel- based testing procedure addressing heterogeneity. While there is a strong evidence of causality running from real growth to banking competitiveness, a bi-directional causality appears clearly only for lags higher than 1.
    Keywords: Banking competition, Financial development, Economic growth
    JEL: C33 G21 O16
    Date: 2014
  23. By: Adrián Armas; Paul Castillo; Marco Vega
    Abstract: This paper provides an overview of the reserve requirement measures undertaken by the Central Bank of Peru. It provides a rationale for the use of these instruments as well as empirical evidence of their effectiveness. In general, the results show that tightening reserve requirements has the desired effects on interest rates and credit levels at both banks and smaller financial institutions (cajas municipales).
    Keywords: Monetary Policy, Interest rates, Exchange rates, Fiscal Policy, Policy evaluation, Inflation targeting, Financial system, Foreign currency liabilities, Reserve requirements, Nonconventional monetary policy, Foreign currency, Domestic currency, IDB-WP-499
    Date: 2014–04

This issue is ©2014 by Christian Calmès. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.