nep-ban New Economics Papers
on Banking
Issue of 2018‒02‒05
twenty-one papers chosen by
Christian Calmès, Université du Québec en Outaouais

  1. Changing business models in international bank funding By Leonardo Gambacorta; Stefano Schiaffi; Adrian Van Rixtel
  2. Do banks and microfinance institutions compete? Microevidence from Madagascar By Pierrick Baraton; Florian LEON
  3. Unclogging the Credit Channel: On the Macroeconomics of Banking Frictions By Sweder (S.J.G.) van Wijnbergen; Egle Jakucionyte
  4. Banking structure and the bank lending channel of monetary policy transmission: evidence from panel data methods By Chileshe, Patrick Mumbi
  5. Mortgage Supply and Housing Rents By Gete, Pedro; reher, Michael
  6. Cross-border banking on the two sides of the atlantic: does it have an impact on bank crisis management? By María J. Nieto; Larry D. Wall
  7. Bank Asset Quality & Monetary Policy Pass-Through By Byrne, David; Kelly, Robert
  8. Systemic Effects of Bank Equity Issues: Competition, Stabilization and Contagion By Valeriya Dinger; Vlad Marincas; Francesco Vallascas
  9. Financial Intermediation, Capital Accumulation and Crisis Recovery By Gersbach, Hans; Rochet, Jean-Charles; Scheffel, Martin
  10. Bank competition and financial system stability in a developing economy: does bank capitalization and size matter? By Chileshe, Patrick Mumbi
  11. Analysis of the Relationship between Interest Rate and Bank Profitability (in Korean) By Jae-Joon Han; Inhawn So
  12. Improved Matching, Directed Search, and Bargaining in the Credit Card Market By Gajendran Raveendranathan
  13. Factors and Risks of Household Over-indebtedness Using a New Measure based on Conditional Quantiles (in Korean) By Dong Jin Lee; Jin Hyeon Han
  14. Bank Market Power and the Risk Channel of Monetary Policy By Elena Afanasyeva; Jochen Guntner
  15. A model of the market for bank credit: The case of Germany By Bofinger, Peter; Maas, Daniel; Ries, Mathias
  16. The macroeconomics determinants of default of the borrowers: The case of Moroccan bank By Anas Yassine; Abdelmadjid Ibenrissoul
  17. A Welfare Analysis of Macroprudential Policy Rules in the Euro Area By Jean-Christophe Poutineau; Gauthier Vermandel
  18. Discretionary Loan-Loss Provision Behavior in the US Banking Industry By Viet-Dung Tran; M. Kabir Hassan; Reza Houston
  19. The Shift in Bank Credit Allocation: New Data and New Findings By Bezemer, Dirk; Samarina, Anna; Zhang, Lu
  20. Competition and Risk-Taking in Investment banking By Radić, N; Fiordelisi, F; Girardone, C; Degl’Innocenti, M
  21. Are Macroprudential Policies Effective Tools to Reduce Credit Growth in Emerging Markets? By Fatma Pinar Erdem; Etkin Özen; Ibrahim Unalmis

  1. By: Leonardo Gambacorta (Bank for international settlements and CEPR); Stefano Schiaffi (Bocconi University); Adrian Van Rixtel (Banco de España)
    Abstract: This paper investigates the foreign funding mix of globally active banks. Using BIS international banking statistics for a panel of 12 advanced economies, we detect a structural break in international bank funding at the onset of the great financial crisis. In their post-break business model, banks rely less on cross-border liabilities and, instead, tap funds from outside their jurisdictions by making more active use of their subsidiaries and branches, as well as inter-office accounts within the same banking group.
    Keywords: bank funding, global banking, cointegration analysis
    JEL: C32 G21
    Date: 2017–10
  2. By: Pierrick Baraton (CERDI, Université d'Auvergne, France); Florian LEON (CREA, Université du Luxembourg)
    Abstract: In recent years, both microfinance institutions (MFIs) and banks across the world have been converging towards the financing of small enterprises with high financing needs. This paper scrutinizes whether banks and MFIs compete each other as a result of recent transfor- mations in both industries. In doing so, we study whether the loan strategy of a microfinance institution is shaped by the local presence of a bank. Specifically, we investigate whether bank proximity influences loan conditions provided by one of the largest microfinance institutions in Madagascar. We employ an original panel dataset of 32,374 loans granted to 14,834 borrowers over the period 2008-2014. We find that the closer a bank is located to a given MFI borrower, the larger the loan obtained and the less collateral required. These results are insensitive to several robustness tests for possible endogeneity of distance, sample selection issue, and alter- native specifications. In addition, findings are stronger for larger and more established (older) firms in line with our hypothesis.
    Keywords: Microfinance; Banks; Competition; Loan conditions; Mission drift; Distance
    JEL: G21 O16
    Date: 2018
  3. By: Sweder (S.J.G.) van Wijnbergen (UvA, CEPR, DNB); Egle Jakucionyte (Central UvA, Bank of Lithuania)
    Abstract: We explore the consequences of different financial frictions on the corporate and banking level for macroeconomic policy responsiveness to major policy measures. We show that both corporate and bank debt overhang greatly reduce the effectiveness of fiscal policy: multipliers turn negative with debt overhang in either sector. The negative impact of banking frictions on macro outcomes increases when a larger part of working capital is financed through credit in addition to investment. Debt overhang in banks leads to positive NPV loans being rejected; after an increase in equity, lending will increase in a debt overhang situation. But after banks increase their equity ratio and subsequently engage less in risk shifting behavior, a decline in lending emerges. Thus the macroeconomic response to higher capital requirements depends on which friction is dominant: when there is debt overhang in banks higher capital leads to more, not less loans and is expansionary; while higher capital requirements lower loan volumes and have a recessionary impact when risk shifting is the problem in banks.We trace the differential importance of corporate versus banking debt overhang back to the different approaches followed on each side of the Atlantic in response to the undercapitalization of the banks after the onset of the financial crisis. We similarly trace macrodevelopment differences in the Southern periphery of Europe and the Northern European countries to differences in the problems and policies in their financial sector.
    Keywords: Banking frictions; Fiscal Policy; Capital Requirements; volatility Shocks
    JEL: E44 E58 E62 G18 G21
    Date: 2018–01–17
  4. By: Chileshe, Patrick Mumbi
    Abstract: This study examines comprehensively the bank-lending channel of monetary policy for Zambia using a bank-level panel data covering the period Q1 2005 to Q4 2016. Specifically, the study investigates the effects of monetary policy changes on loan supply by commercial as well as the effect of bank-specific factors on response of loan supply to monetary policy shocks. In addition, the study investigates whether the level of bank competition does affect the bank-lending channel. Using a dynamic panel data approaches developed by Arellano-Bond (1991), the results indicate that a bank-lending channel exists in Zambia. In particular, the results show that is loan supply is negatively correlated with policy rate implying that following monetary policy tightening loan supply shrinks. Further, the results indicate that size, liquidity and bank-competiveness have effects on credit supply while capitalization has no effect. Specifically, the results show that bank size has negative effect on credit supply while liquidity and market power are found to enhance credit supply. Most importantly, the results showed that bank-specific factors and bank-competiveness is responsible for the asymmetrical response of banks to monetary policy. Specifically, the results showed that larger banks, banks with more market power, well-capitalized banks and liquid banks respond less to monetary policy tightening and vice-versa.
    Keywords: Monetary Policy Transmission, Bank Lending Channel, Panel Data, Generalized Method of Moments, Zambia
    JEL: E44 E52 G3
    Date: 2017–09
  5. By: Gete, Pedro; reher, Michael
    Abstract: We show that a contraction of mortgage supply after the Great Recession has increased housing rents. Our empirical strategy exploits heterogeneity in MSAs' exposure to regulatory shocks experienced by lenders over the 2010-2014 period. Tighter lending standards have increased demand for rental housing and have led to higher rents, depressed homeownership rates and an increase in rental supply. Absent the credit supply contraction, annual rent growth would have been 2.1 percentage points lower over 2010-2014 in MSAs where lending standards rose from their 2008 levels.
    Keywords: Credit Supply, Homeownership, Mortgage Markets, Regulation, Rents.
    JEL: E31 E32 E65 G2 G20 G21 G28 G29 R3 R31 R39
    Date: 2017–11
  6. By: María J. Nieto (Banco de España); Larry D. Wall (Federal Reserve Bank of Atlanta)
    Abstract: In the US and the EU political incentives to oppose cross-border banking have been strong in spite of the measurable benefits to the real economy from breaking down geographic barriers. Even a federal level supervisor and safety net is not by itself sufficient to incentivizing crossborder banking although differences in the institutional set up are reflected in the way the two areas responded to the crisis. The US response was a coordinated response and the cost of resolving banks was borne at the national level. Moreover, the FDIC could market failed banks to other banks irrespective of state boundaries reducing the cost of the crisis to the US economy and the sovereign finances. In the EU, the crisis resulted in financial market fragmentation and unbearable costs to some sovereigns.
    Keywords: banks, international finance, European Union, United States
    JEL: G21 G28 G34
    Date: 2017–10
  7. By: Byrne, David (Central Bank of Ireland); Kelly, Robert (Central Bank of Ireland)
    Abstract: The funding mix of European firms is heavily weighted towards bank credit, underscoring the importance of efficient pass-through of monetary policy actions to lending rates faced by firms. Euro area pass-through has shifted from being relatively homogenous to fragmented and incomplete since the financial crisis. Distressed loan books are a crisis hangover with direct implications for profitability, hampering banks ability to supply credit and lower loan pricing in response to reductions in the policy rate. This paper presents a parsimonious model to decompose the cost of lending and highlight the role of asset quality in diminishing pass-through. Using bank level data over the period 2008-2014, we empirically test the implications of the model, with results showing that asset quality, measured through a one percentage point increase in the impairment ratio have a significant negative impact, lowering immediate pass-through by 3 per cent. For impairment rates greater than 17 per cent, we find that pass-though is not significantly different from zero. We derive a measure of the hidden bad loan problem, the NPL gap, which we define as the excess of NPLs over impaired loans. We show it played a significant role in the fragmentation of euro area pass-through post-crisis.
    Keywords: Monetary Policy Pass-through, Impaired Loans, Non-Performing Loans, Interest Rates
    JEL: D43 E51 E52 E58 G21
    Date: 2017–12
  8. By: Valeriya Dinger (University of Osnabrueck, Rolandstr. 8, DE and University of Leeds); Vlad Marincas (University of Osnabrueck, Rolandstr. 8, DE and University of Leeds); Francesco Vallascas (University of Leeds, Maurice Keyworth Building, Leeds LS2 9JT, UK)
    Abstract: We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of negative abnormal returns for issuers, non-issuing banks benefit from positive abnormal returns around the SEO announcement. We show that these positive returns are not entirely explained by the competition channel, which has been well documented for non-financial firms. In contrast, we demonstrate that they also depend on a so far undocumented system-stabilizing channel. Furthermore, under certain circumstances, the system-stabilizing channel contributes to mitigating the negative reaction to SEO announcements for the issuing banks.
    Keywords: SEOs, Banking Regulation, Banking Crises, Contagion, Systemic Risk
    JEL: G21 G28 G32
    Date: 2018–01–24
  9. By: Gersbach, Hans; Rochet, Jean-Charles; Scheffel, Martin
    Abstract: This paper integrates banks into a two-sector neoclassical growth model to account for the fact that a fraction of firms relies on banks to finance their investments. There are four major contributions to the literature: First, although banks’ leverage amplifies shocks, the endogenous response of leverage to shocks is an automatic stabilizer that improves the resilience of the economy. In particular, financial and labor market institutions are essential factors that determine the strength of this automatic stabilization. Second, there is a mix of publicly financed bank re-capitalization, dividend payout restrictions, and consumption taxes that stimulates a Pareto-improving rapid build-up of bank equity and accelerates economic recovery after a slump in the banking sector. Third, the model replicates typical patterns of financing over the business cycle: procyclical bank leverage, procyclical bank lending, and countercyclical bond financing. Fourth, the framework preserves its analytical tractability wherefore it can serve as a macro-banking module that can be easily integrated into more complex economic environments.
    Keywords: Financial intermediation; capital accumulation; banking crisis; macroeconomic shocks; business cycles; bust-boom cycles; managing recoveries
    JEL: E21 E32 G21 G28
    Date: 2018–01
  10. By: Chileshe, Patrick Mumbi
    Abstract: This study investigates the effect of bank competition, bank size, diversification and capitalization on risk taking behavior of commercial banks using panel data from Zambia. In addition, the study investigates the effect of capitalization and bank size on the bank competition-stability nexus. The empirical analysis is performed in two stages. In the first stage, time varying bank-specific Lerner Index is estimated. Then this measure of market power as well as other control variables are regressed on measures of bank soundness such as credit risk and overall stability (Z-Score and ZROE). Using a quarterly panel data of Zambian Banks covering the period Q1 2005 to Q4 2016, in general results from the study show that there is a positive relationship between market power and bank stability. In particular, results show that an increase in market power reduces a banks credit risk while it increases overall bank stability. These results are consistent with the ‘concentration-stability’ hypothesis common in some empirical literature. Furthermore, bank size and capitalization are associated with improvement in bank stability while lack of income diversification reduces bank stability. Finally, results of this study also indicate that larger and well-capitalized banks with market power are more stable than smaller and less capitalized ones. Policy implications for supervisory authorities in Zambia and other developing countries can be drawn from this study. First, there is need for supervisory authorities in Zambia to tread carefully with regard to enhancing competition in the banking sector as the results clearly indicate that it can have negative effects on financial stability. Secondly, results in this study render support to the use of stringent capital requirements under the Basel II and Basel III. Finally, it would be prudent for supervisory policies to include income diversification regulations thresholds among the commercial banks.
    Keywords: Panel Data, Lerner Index, Stability, Non-Performing Loans, Z-SCORE, ZROE
    JEL: E43 G21 L2
    Date: 2017–06
  11. By: Jae-Joon Han (Division of Global Finance and Banking, College of Business Administration, Inha University); Inhawn So (International Department, The Bank of Korea)
    Abstract: This paper examines the impact of negative policy interest rate (NPIR) on bank profitability. In particular, we analyze the impact on its profitability after adding the gap cost to the Monti-Klein(1971)’s bank profit function which considers three important interest rates in the monetary policy transmission- interbank rate, deposit rate, and loan rate. As a result of the theoretical model analysis, in case of the loan amount exceeding the deposit amount in the low interest rate phase, the bank profitability improves as both deposit and loan rates fall under zero. However, this is in contradiction to the fact that European banks' profitabilities deteriorate due to NPIR. To resolve the contradiction, we also assumes the downward rigidity of deposit rate. If banks have the downward rigidity in deposit rates due to either the burden of securing deposits, which is the source of lending, or limitations on the expansion of the loan scale caused by the gap cost, its overall profitability may deteriorate. It is so because of both deteriorating profitability in deposits and limitation on the improvement of profitability in loan. In addition, we find that these deteriorating profitability are deepened as either the number of competing banks or the gap cost increases. Conversely, it should be noted that if the deposit rate is downwardly rigid under NPIR, it will not directly lead to the bank’s profitability deterioration. However, as in the analysis of the paper, if the profitability of the bank deteriorates due to both limitations on the deposit rate adjustment and the increase in the loan under NPIR, negative interest rate policy(NIRP) should be conducted only in very exceptional circumstance.
    Keywords: Negative Policy Interest Rate (NPIR), Banking Industry, Competition, Profitability, Downward Rigidity
    JEL: G21 L13
    Date: 2017–09–19
  12. By: Gajendran Raveendranathan
    Abstract: I build a model of revolving credit in which consumers face idiosyncratic earnings risk, and credit card firms direct their search to consumers. Upon a match, they bargain over borrowing limits and borrowing interest rates — fixed for the duration of the match. Using the model, I show that improved matching between consumers and credit card firms, calibrated to match the rise in the population with credit cards, accounts for the rise in revolving credit and consumer bankruptcies in the United States. I also provide empirical evidence consistent with the two key features in my model: directed search and bargaining. The lifetime consumption gains from improved matching are 3.55 percent— substantially larger than those previously estimated by alternative explanations for the rise in revolving credit and consumer bankruptcies (0.03-0.57 percent). Finally, I analyze how the credit card firm’s bargaining power impacts the welfare of introducing stricter bankruptcy laws.
    Keywords: revolving credit, consumer bankruptcy, matching, directed search, bargaining
    JEL: E20 G20
    Date: 2018–01
  13. By: Dong Jin Lee (Research Department, The Bank of Korea); Jin Hyeon Han (Research Department, The Bank of Korea)
    Abstract: This paper suggests a new measure of household over-indebtedness based on the concept of conditional quantiles, and use the measure to examine the factors and the risks of the over-indebtedness. We first consider a distribution of household debt conditional on the overall payment ability, and specify the over-indebted household as the one whose debt exceeds θ-quantile of the conditional distribution. The overall payment ability is set to cover a variety of factors such as disposable income, assets, expected income, and consumption backgrounds. θ-quantile is estimated using Chernozhukov and Hong (2002)'s three step estimator for censored quantile regression. The empirical analysis shows a clear evidence of heterogeneous behavior of the over-indebted households compared to the others. We find that over-indebted households' income and real estate elasticities of debt are significantly higher and their debt/income ratio has increased faster in recent periods of low interest rates. Simulation study shows that these distinctive properties cause over-indebted households facing far greater default risks under macroeconomic shocks such as interest rate hikes and house price drops. We also find that lower-income and elderly-headed households' over-indebtedness problem is more serious in that they have significantly higher debt/income ratio compared to the other age and income groups.
    Keywords: Household over-indebtedness, Debt/income ratio, Default risk, Conditional censored quantile regression
    JEL: D14 E20 G21 R20
    Date: 2017–04–18
  14. By: Elena Afanasyeva; Jochen Guntner
    Abstract: This paper investigates the risk channel of monetary policy through banks' lending standards. We modify the classic costly state verification (CSV) problem by introducing a risk-neutral monopolistic bank, which maximizes profits subject to borrower participation. While the bank can diversify idiosyncratic default risk, it bears the aggregate risk. We show that, in partial equilibrium, the bank prefers a higher leverage ratio of borrowers, when the profitability of lending increases, e.g. after a monetary expansion. This risk channel persists when we embed our contract in a standard New Keynesian DSGE model. Using a factor-augmented vector autoregression (FAVAR) approach, we find that the model-implied impulse responses to a monetary policy shock replicate their empirical counterparts.
    Keywords: Lending standards ; Credit supply ; Costly state verification ; Risk channel ; Monetary policy
    JEL: D53 E44 E52
    Date: 2018–01–19
  15. By: Bofinger, Peter; Maas, Daniel; Ries, Mathias
    Abstract: Since the financial crisis there exists a widespread discussion about the role of banking in a monetary economy. We contribute to this discussion by presenting a basic model of the banking sector which models banks as originators of credit without owning pre-collected savings or reserves beforehand. Additionally, we estimate an empirical model of the German credit market for non-financial corporations in a disequilibrium framework. Empirically, we detect a significant role for the variables that are chosen on the basis of our price-theoretic model.
    Keywords: Credit,Money Supply,Money Multiplier
    JEL: E51
    Date: 2017
  16. By: Anas Yassine; Abdelmadjid Ibenrissoul
    Abstract: This article aims to explore an empirical approach to analyze the macroeconomics determinants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit portfolio quality.In our paper, we have shed more light on the question of the aggravation of default rate. For this, we have undertaken econometric modeling of the default rate distribution of a Moroccan bank while we inspired from some studies carried out. Our findings demonstrate that the decline in the economic situation has a positive impact on default of borrowers. Hence, the bank also has responsibility for monitoring the adverse economic conditions.
    Date: 2018–01
  17. By: Jean-Christophe Poutineau (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR1 - Université de Rennes 1 - CNRS - Centre National de la Recherche Scientifique); Gauthier Vermandel (LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)
    Abstract: In an estimated DSGE model of the European Monetary Union that accounts for financial differences between core and peripheral countries, we find that country-adjusted macroprudential measures lead to significant welfare gains with respect to a uniform macroprudential policy rule that reacts to union-wide financial developments. However, peripheral countries are the winners from the implementation of macroprudential measures while core countries incur welfare losses, thus questioning the interest of adopting coordinated macroprudential measures with peripheral countries.
    Abstract: A l'aide d'un modèle MEGIS estimé pour la zone euro tenant compte des différences économiques entre le coeur et la périphérie de la zone Euro, nous constatons que les mesures macroprudentielles conduites à l'échelle national mènent à des gains de bien-être importants par rapport à une règle de politique uniforme qui réagit aux développements financiers à l'échelle fédérale. Cependant, ces mesures macroprudentielles ne sont pas bénéfiques pour tous les participants: les gains de bien-être sont principalement obtenus pour les pays périphériques alors que les pays du coeur peuvent être perdants suite à la mise en place cette nouvelle politique de stabilité financière.
    Keywords: Macroprudential policy,Euro Area,Financial Accelerator,DSGE Two-Country Model,Bayesian Estimation
    Date: 2017
  18. By: Viet-Dung Tran; M. Kabir Hassan; Reza Houston
    Abstract: Earnings management can be either opportunistic, adding noise to reported earnings, or informative about a firm’s underlying economic performance, adding valuable information to financial reports. This study examines earnings management in banks with differing levels of information asymmetry. Specifically, we compare earnings management between public and private banks by using discretionary loan-loss provisions (DLLPs) as proxies. Employing a large dataset of US public and private banks from 1986:Q1 to 2013:Q4, this study provides evidence of stronger earnings management behavior in public banks versus private banks. The evidence remains robust under a battery of sensitivity tests. Since incentives for earnings management are more relevant within a specific context, we identify the conditions that motivate different earnings management incentives, which allows us to better observe specific managerial motives. Greater DLLPs observed in public banks are utilized to send private information to investors, consistent with the signaling hypothesis. We also find evidence that capital requirements alter DLLPs, consistent with the capital management hypothesis. Banks with relatively low (high) earnings tend to decrease (increase) their earnings through manipulation of DLLPs, inconsistent with our income-smoothing hypothesis. The study extends to current debates on earnings management between public and private firms, and also provides a better understanding of the determinants of earnings management.
    Keywords: Bank listing status; Discretionary loan loss provisions; Earnings management
    JEL: G21 G28 G34 G38
    Date: 2018–01
  19. By: Bezemer, Dirk; Samarina, Anna; Zhang, Lu (Groningen University)
    Date: 2017
  20. By: Radić, N; Fiordelisi, F; Girardone, C; Degl’Innocenti, M
    Abstract: How does competition affect the investment banking business and the risks individual institutions are exposed to? Using a large sample of investment banks operating in seven developed economies over 1997-2014, we apply a panel VAR model to examine the relationships between competition and risk without assuming any a priori restrictions. Our main finding is that investment banks’ higher risk exposure, measured as a long-term capital-at-risk and return volatility, was facilitated by greater competitive pressures especially for full service investment banks but also for boutique investment banks. Overall, we find some evidence that more competition leads to more fragility before and during the recent financial crisis.
    Keywords: Investment Banking, Competition, Risk, Panel VAR
    Date: 2018–01
  21. By: Fatma Pinar Erdem; Etkin Özen; Ibrahim Unalmis
    Abstract: Macroprudential policies (MPPs) have become a part of the policy toolkit, especially in the aftermath of the 2008 global financial crisis both in advanced and emerging market economies. Hence, there is a growing body of literature investigating effectiveness of such policies. In this paper, using a data set of 30 countries and panel VAR approach, we contribute to this literature by testing whether MPPs are effective in controlling domestic credit growth in emerging markets and developing countries in the wake of a positive global liquidity shock. Results indicate that MPPs are effective to limit domestic credit growth especially during the expansion phase of the credit cycle. Second, the number of MPP tools matter to better manage the domestic credit growth, since insufficient number of measures are unable to prevent leakages and reduce the effectiveness of MPPs under a global liquidity shock.
    Keywords: Macroprudential policies, Credit growth, Global liquidity, Credit cycle, Panel VAR
    JEL: E43 E58 G18 G28
    Date: 2017

This nep-ban issue is ©2018 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.