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on Banking |
| By: | Voellmy, Lukas |
| Abstract: | I study the relation between shadow banking and financial stability in an economy in which banks are susceptible to self-fulfilling runs and in which government-backed deposit insurance is limited. Shadow banks issue only uninsured deposits while commercial banks issue both insured and uninsured deposits. The effect of shadow banking on financial stability is ambiguous and depends on the (exogenous) upper limit on insured deposits. If the upper limit on insured deposits is high, then the presence of a shadow banking sector is detrimental to financial stability; shadow banking creates systemic instability that would not be present if all deposits were held in the commercial banking sector. In contrast, if the upper limit on insured deposits is low, then the presence of a shadow banking sector is beneficial from a financial stability perspective; shadow banks absorb uninsured (and uninsurable) deposits from the commercial banking sector, thereby shielding commercial banks from runs. While runs may occur in the shadow banking sector, the situation without shadow banks and a larger amount of uninsured deposits held at commercial banks is worse. JEL Classification: E44, G21, G28 |
| Keywords: | bank runs, deposit insurance, financial intermediation, shadow banking |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:srk:srkwps:2019105&r=all |
| By: | Niknamian, Sorush |
| Abstract: | Loans are the major resources at banks. However, in some cases the cost that they incur to banks soar and finally makes them detrimental, as a result of irregular or delaying reimbursement or not paying at all. Due to the low wage rates in Iranian banks and the Central Bank of Iran (CBI) regulations in determining interest rates for deposits and loans, banks are becoming more and more dependent to the loans and their related profits. Therefore, banks have to look for customers with low risk for punctual payment. According to defect loan reimbursement in past years, banks have to specify severe prerequisites and limited contracts in granting loans to their customers. Contravening banking regulations and lack of consistent customers' accreditation banks are getting into heavy losses. Evaluating situations of the granted loans in EN Bank of Iran during a six-month period, based upon the profiles and loans history and the trend of payments useful patterns are discovered; designing a practical model of loan payment in Iran, the future default or failure to regain the granted loans is predicted and sensible methods of granting loans in Iran are developed. In order to extract hidden patterns in data statistical methods and data mining tools with focus on decision tree techniques are applied. |
| Date: | 2019–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:qfcms&r=all |
| By: | Hans Gersbach (ETH Zurich - CER-ETH -Center of Economic Reseaarch; IZA Institute of Labor Economics; CESifo (Center for Economic Studies and Ifo Institute); Centre for Economic Policy Research (CEPR)); Jean-Charles Rochet (GFRI, University of Geneva; Swiss Finance Institute; University of Zurich - Swiss Banking Institute (ISB)); Martin Scheffel (Karlsruhe Institute of Technology) |
| Abstract: | We integrate bank and bond financing into a two-sector neoclassical growth model to examine the stabilization effect of endogenous bank leverage adjustment. We show that although bank leverage amplifies shocks, the increase of leverage to a decline in bank equity is an automatic stabilizer in downturns, since it partially offsets the decline of bank lending to financially constrained firms. Regulatory capital limits and wage rigidities impair the re-allocation of capital between sectors and weaken the automatic stabilization channel. A quantitative analysis of the US in the Great Recession shows that the magnitude of automatic stabilization is significant and informs about potentially high costs of strict capital regulation or wage rigidities in banking crises. |
| Keywords: | financial intermediation, capital accumulation, banking crises, macroeconomic shocks, business cycles, bust-boom cycles, managing recoveries |
| JEL: | E21 E32 F44 G21 G28 |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp1962&r=all |
| By: | Cândida Ferreira |
| Abstract: | This paper seeks to contribute to the analysis of the bank efficiency in the European Union in the aftermath of the recent crisis, using Data Envelopment Analysis (DEA) and considering a sample of 485 banks from all current EU member-states between 2011 and 2017. The results obtained confirm the existence of bank inefficiency,and that this inefficiency is mostly due to inefficient managerial performance and bad combinations of the considered bank inputs and outputs. The results also provide enough evidence of appropriate scale production and dynamic technological changes during the considered interval. Moreover, the results obtained using panel estimates to explain the bank total factor productivity changes allow us to conclude that the choices of the banks in terms of the fixed assets,the profit before tax to the average assets, as well as the ratio of the off-balance sheet items to total assets contribute positively to the productivity changes. On the other side, the ratio of the impaired loans to equity, and the bank interest margins are not in line with the total factor productivity changes of the EU banking sector. |
| Keywords: | EU banking sector; bank efficiency; Data Envelopment Analysis; Malmquist Index |
| JEL: | C33 D24 F36 G21 |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp01092019&r=all |
| By: | Natalya Presman (bank of Israel); Nitzan Tzur-Ilan (bank of Iseael) |
| Abstract: | Abstract This paper explores the contribution of various factors to determining mortgage interest rates in Israel. We use a unique database combining loan-level data on mortgage loans originated by the Israeli banking system during 2010–13 with proprietary data on assets underlying mortgage origination as well as several additional variables designed to capture risk associated with regional real estate markets and the extent of competition prevailing in the banking system. We show that significant differences exist in real mortgage interest rates among different locations and neighborhood qualities. While homebuyers purchasing assets in the more prosperous central neighborhoods pay the lowest interest rates, those purchasing assets in the peripheral and economically weak neighborhoods pay the highest ones. Observable characteristics of the borrower, the mortgage and the underlying asset risk, and banking competition explain up to two thirds of the regional and socioeconomic differences in mortgage interest rates found in the raw data. Other factors that may explain remaining regional differences in the interest rates include unobservable borrower characteristics such as financial literacy and bargaining ability, unknown characteristics of borrower's employment and statistical discrimination of some groups of borrowers. |
| Date: | 2019–11 |
| URL: | http://d.repec.org/n?u=RePEc:boi:wpaper:2019.14&r=all |
| By: | Michael Held |
| Abstract: | Remarks at the BIS Central Bank Legal Experts’ Meeting, Basel, Switzerland |
| Keywords: | wildcat banks; Financial Stability Oversight Council (FSOC); regulation; Securities and Exchange Commission (SEC); regulatory schemes; private currencies; Jay Clayton; bank notes; My Big Coin; Commodity Futures Trading Commission (CFTC); National Bank Act; digital currencies; free banking law; Financial Crimes Enforcement Network (FinCEN); Office of the Comptroller of the Currency (OCC); history |
| Date: | 2019–12–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:86638&r=all |
| By: | d'Avernas, Adrien; Vandeweyer, Quentin; Darracq Pariès, Matthieu |
| Abstract: | This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity crisis. We propose a macro-finance model featuring both traditional and shadow banks subject to funding risk. When banks are well capitalized, they have access to money markets and efficiently mitigate funding shocks. When aggregate bank capital is low, a vicious cycle arises between declining asset prices and funding risks. The central bank can partially counter these dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the shadow banking sector. When the shadow banking sector is large, as in the US in 2008, the central bank can further stabilize asset prices by directly purchasing illiquid securities. JEL Classification: E43, E44, E52, G12 |
| Keywords: | asset pricing, money markets, quantitative easing, shadow banks |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20202350&r=all |
| By: | Paul Pelzl; María Teresa Valderrama |
| Abstract: | Drawdowns on credit commitments by firms reduce a bank's regulatory capital ratio. Using the Austrian Credit Register, we provide novel evidence that during the 2008-09 financial crisis, capital-constrained banks managed this concern by substantially cutting partly or fully unused credit commitments. Controlling for a bank's capital position, we also find that greater liquidity problems induced banks to considerably cut such credit commitments during the crisis. These results suggest that banks actively manage both capital and liquidity risk caused by undrawn credit commitments in periods of financial distress, but thereby reduce liquidity provision to firms exactly when they need it most. |
| Keywords: | Capital Regulations; Credit Commitments; Financial Crisis |
| JEL: | E51 G01 G21 G28 G32 |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:661&r=all |
| By: | Egle Jakucionyte (Bank of Lithuania, Vilnius University); Swapnil Singh (Bank of Lithuania, Kaunas University of Technology) |
| Abstract: | The objective of increased regulation of mortgage origination activities after the Great Recession was to prevent another foreclosure crisis in the future. However, the literature is not conclusive about the actual effect of these policy changes. By using the 2007-09 panel and subsequent waves of the Survey of Consumer Finances (SCF), we predict foreclosure risk based on individual borrower characteristics. We show that the median mortgage foreclosure probability kept decreasing after 2010, but in 2016 it was still higher relative to the year 2007. The median foreclosure probability has remained high among both non-bank borrowers and bank borrowers. The regulatory changes started in 2010, so we also compare predicted foreclosure probabilities to the levels in 2010 and find that, despite the fact that banks were affected by this regulation more than non-banks, predicted foreclosure probabilities for bank mortgages declined slower than for non-bank mortgages. Our findings offer support for a thorough analysis of the regulatory effects because they might have been weaker than expected or worked in an unexpected way. |
| Keywords: | Residential mortgages, Foreclosure, Non-banks Lending |
| JEL: | C53 G21 G23 |
| Date: | 2019–12–13 |
| URL: | http://d.repec.org/n?u=RePEc:lie:wpaper:69&r=all |
| By: | Zachary Feinstein; Andreas Sojmark |
| Abstract: | In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an endogenous rule for early defaults in a network of financial institutions. The main result is to demonstrate a mean field interaction that can be found as the limit of the finite bank system generated from a finite Eisenberg-Noe style network. In this way, we connect two previously disparate frameworks for systemic risk, and in turn we provide a bridge for exploiting recent advances in mean field analysis when modelling systemic risk. The mean field limit is shown to be well-posed and is identified as a certain conditional McKean-Vlasov type problem that respects the original network topology under suitable assumptions. |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1912.08695&r=all |
| By: | Sidik, Muhammad Akbar; fernos, jhon |
| Abstract: | The purpose of this study was to find out how the mechanism of working capital loan distribution at PT. Bank Negara Indonesia (Persero) Tbk, KCU Bukittinggi. The research method used is a qualitative data analysis method. The type of data used is secondary data obtained from the report of Bank Negara Indonesia Bukittinggi 2016 period 2017. The results of this study are how the flow of working capital credit applications such as people business credit and entrepreneurship BNI from applications to repayment shows that the problem in working capital lending lies with the customers in terms of completeness of files and payment of credit and interest |
| Date: | 2019–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:tm49n&r=all |
| By: | Irma Alonso (Banco de España); Luis Molina (Banco de España) |
| Abstract: | This paper presents a tool to detect the accumulation of risks in emerging market economies based on a synthetic index of “vulnerability” for three different types of crisis (sovereign, currency and banking crises). To build the index we first use a signalling approach (Auroc) to preselect the variables that issue adequate signals before the blown up of a crisis. The short-term interbank rate is a leading indicator for the three different types of crises and short term external debt also plays a prominent role. These variables are then introduced in a logistic estimation to obtain the predicted probability of being in a “vulnerable” state for each type of crisis. These indexes, labelled SHERLOC, which stands for Signalling Heightened Emerging Risks that Lead to the Occurrence of Crises, outperform all best single indicators in terms of in-sample and out-of-sample validation. Additionally, a synthetic index for each type of crisis seems to predict better “vulnerable” states than the use of an aggregate index for all types of crises. |
| Keywords: | emerging economies, crisis, vulnerabilities, early warning models, risks |
| JEL: | E44 F01 F34 F37 G01 |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:1946&r=all |
| By: | Altavilla, Carlo; Boucinha, Miguel; Peydró, José-Luis; Smets, Frank |
| Abstract: | We analyse the effects of supranational versus national banking supervision on credit supply, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change leading to the centralisation of European banking supervision; (iii) high-frequency monetary policy surprises; (iv) differences across euro area countries, also vis-à-vis non-euro area countries. We show that supranational supervision reduces credit supply to firms with very high ex-ante and ex-post credit risk, while stimulating credit supply to firms without loan delinquencies. Moreover, the increased risk-sensitivity of credit supply driven by centralised supervision is stronger for banks operating in stressed countries. Exploiting heterogeneity across banks, we find that the mechanism driving the results is higher quantity and quality of human resources available to the supranational supervisor rather than changes in incentives due to the reallocation of supervisory responsibility to the new institution. Finally, there are crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk-taking induced by a more accommodative monetary policy stance, but does not offset more productive risk-taking. Overall, we show that using multiple credit registers – first time in the literature – is crucial for external validity. JEL Classification: E51, E52, E58, G01, G21, G28 |
| Keywords: | AnaCredit, banking, euro area crisis, monetary policy, supervision |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20202349&r=all |
| By: | Yati, Helmi; Afriyeni, Afriyeni |
| Abstract: | The purpose of this research is to expand credit insights into particularly in terms of how the analysis of the Loan To Deposit Ratio (LDR) and Non were Perfoming Loan (NPL) on PT. BPD Sumatera Barat is the main branch of the field. In analyzing the data, the authors use quantitative data analysis methods. Quantitative data data is information that is stated in the form the results of calculation and measurement analysis of the Loan To Deposit Ratio and Non-Performing Loan on the regional development of PT. BPD Sumatra Barat. The results of this research show that the Loan To Deposit Ratio (LDR) on PT. BPD Sumatera Barat is the main branch of the field during the period of research results is very good because it does not exceed the maximum limits set by Bank Indonesia 110%. |
| Date: | 2019–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:vpq36&r=all |
| By: | Pancrazi, Roberto; Seoane, Hernán D.; Vukotic, Marija |
| Abstract: | We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that comes with imposed debt limits. The government endogenously asks for the bailout during recessions and repays it when the economy recovers. Hence, the bailout acts as an imperfect state contingent asset that makes the economy better off. The bailout duration is endogenous and increases with its size. The bailout size creates non-trivial tradeoffs between receiving a larger amount of relatively cheap resources precisely in times of need on the one hand, and facing longer-lasting financial constraints and accumulated interest payments, on the other hand. We characterize and quantify these tradeoffs and document that welfare gains of bailouts are hump-shaped in the size of bailout loans. |
| JEL: | E44 F32 F34 |
| Date: | 2019–12–18 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2019_025&r=all |
| By: | Engert, Walter (Bank of Canada); Fung, Ben (Bank of Canada); Segendorf, Björn (Financial Stability Department, Central Bank of Sweden) |
| Abstract: | Cash is being used less and less for making payments in many countries, including Canada and Sweden, which might suggest that cash will eventually disappear. However, cash in circulation in most countries, including Canada, has been stable for decades, and even rising in recent years. In contrast, aggregate cash demand in Sweden has been falling steadily. This paper explains these differences between Canada and Sweden by focusing separately on the transactions demand for cash and on the store-of-value demand. We find a long-term downward trend in small-denomination bank notes relative to gross domestic product in both Canada and Sweden. This reflects similar experiences in decreasing cash use for transactions over time due to the adoption of payment innovations. This means that payment innovations and diffusion are not sufficient to explain why aggregate cash demand has been declining rapidly in Sweden but not in Canada. Instead, the difference in the trends of cash demand between these two countries is due more to the behaviour of larger-denomination, store-of-value bank notes. Finally, we identify influences and frictions that help explain the persistent decline in the demand for larger bank notes in Sweden relative to Canada. |
| Keywords: | Bank notes; Digital currencies and fi ntech; Financial services; Payment clearing and settlement systems. |
| JEL: | E40 E41 E42 E50 |
| Date: | 2019–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0376&r=all |
| By: | Thomas M. Eisenbach (Leonard N. Stern School of Business; Federal Reserve Bank of New York); Anna Kovner (Harvard University; Federal Reserve Bank); Kristian S. Blickle; Fernando M. Duarte |
| Abstract: | A key part of understanding the stability of the U.S. financial system is to monitor leverage and funding risks in the financial sector and the way in which these vulnerabilities interact to amplify negative shocks. In this post, we provide an update of four analytical models, introduced in a Liberty Street Economics post last year, that aim to capture different aspects of banking system vulnerability. Since their introduction, vulnerabilities as indicated by these models have increased moderately, continuing the slow but steady upward trend that started around 2016. Despite the recent increase, the overall level of vulnerabilities according to this analysis remains subdued and is still significantly smaller than before the financial crisis of 2008-09. |
| Keywords: | Liberty Street Economics; fire sale vulnerability; liquidity mismatch; CLASS model; banking system vulnerability |
| JEL: | D81 G0 G2 G21 |
| Date: | 2019–12–18 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:86690&r=all |
| By: | Alimov, Behzod |
| Abstract: | Does finance facilitate efficient allocation of resources? Our aim in this paper is to find out whether increases in private and public indebtedness affect capital misallocation, which is measured as the dispersion in the return to capital across firms in different industries. For this, we use a novel dataset containing industrylevel data for 18 European countries and control for different macroeconomic indicators as potential determinants of capital misallocation. We exploit the within-country variation across industries in such indicators as external finance dependence, technological intensity, credit constraints and competitive structure, and find that private debt accumulation disproportionately increases capital misallocation in industries with higher financial dependence, higher R&D intensity, a larger share of credit-constrained firms and a lower level of competition. On the other hand, we fail to find any significant and robust effect of public debt on capital misallocation within our country-sector pairs. We believe the distortionary effects of private debt found in our analysis needs a deeper theoretical investigation. |
| Keywords: | private debt,public debt,capital misallocation,productivity |
| JEL: | D24 D61 E44 F34 H63 O47 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwhcom:72019&r=all |
| By: | Alex Carrasco (Central Reserve Bank of Peru); David Florian Hoyle (Central Reserve Bank of Peru); Rafael Nivin (Central Reserve Bank of Peru) |
| Abstract: | In this document, we study the role of sterilized foreign exchange (SFX) interventions as an additional monetary policy instrument for emerging market economies in response to external shocks. We develop a model in order to analyze SFX interventions as a balance sheet policy induced by a financial friction in the form of an agency problem between banks and depositors. The severity of the bank’s agency problem depends directly on a measure of currency mismatch at the bank level. Moreover, credit and deposit dollarization coexists in equilibrium as endogenous variables. In this context, SFX interventions can lean against the response of the bank’s lending capacity and ultimately the response of real variables by moderating the response of the exchange rate. Furthermore, we take the model to data by calibrating it to replicate some financial steady-state targets for the Peruvian banking system as well as matching the impulse responses of the macroeconomic model to the impulse responses implied by an SVAR model. Our results indicate that SFX interventions successfully reduce GDP and investment volatility by about 6% and 14%, respectively, when compared to a flexible exchange rate regime. Moreover, SFX interventions reduce the response of GDP to foreign interest rate and commodity price shocks by around 11 and 22 percent, respectively. Hence, this policy produces significant welfare gains when responding to external shocks: if the Central Bank does not intervene in the Forex market in the face of external shocks, there would be a welfare loss of 1.1%. |
| Keywords: | Sterilized Forex Interventions, External Shocks, Financial Cycle, Dollarization, Monetary Policy |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:apc:wpaper:160&r=all |
| By: | Müller, Karsten |
| Abstract: | Do politics matter for macroprudential policy? I show that changes to macroprudential regulation exhibit a predictable electoral cycle in the run-up to 221 elections across 58 countries from 2000 through 2014. Policies restricting mortgages and consumer credit are systematically less likely to be tightened before elections during credit booms and economic expansions. Consistent with theories of opportunistic political cycles, this pattern is stronger when election outcomes are uncertain or in countries where political interference is more likely. In contrast to monetary policy, I find limited evidence that central banks are uniquely insulated from political cycles in macroprudential policy. These results suggest that political pressures may limit the ability of regulators to “lean against the wind.” JEL Classification: G18, G21, G28, D72, D73, P16 |
| Keywords: | central bank independence, electoral cycles, macroprudential regulation, political economy, regulatory cycles |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:srk:srkwps:2019106&r=all |
| By: | Andrey Itkin; Fazlollah Soleymani |
| Abstract: | In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. First, it is known since the Lehman Brothers bankruptcy that the recovery rate could significantly vary right before or at default, therefore, in this paper we consider it to be stochastic. Second, to reduce complexity of the model, we treat the domestic interest rate as deterministic, because, as shown in ISV2019, volatility of the domestic interest rate does not contribute much to the value of the Quanto CDS spread. Finally, to solve the corresponding systems of 4D partial differential equations we use a different flavor of the Radial Basis Function (RBF) method which is a combination of localized RBF and finite-difference methods, and is known in the literature as RBF-FD. Results of our numerical experiments presented in the paper demonstrate that the influence of volatility of the recovery rate is significant if the correlation between the recovery rate and the log-intensity of the default is non-zero. Also, the impact of the recovery mean-reversion rate on the Quanto CDS spread could be comparable with the impact due to jump-at-default in the FX rate. |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1912.08713&r=all |
| By: | Boh, Samo; Borgioli, Stefano; Coman, Andra; Chiriacescu, Bogdan; Koban, Anne; Kusmierczyk, Piotr; Pirovano, Mara; Schepens, Thomas; Veiga, Joao |
| Abstract: | This paper describes the Macroprudential Database (MPDB) of the European CentralBank (ECB), which is an important component of the ECB’s Statistical DataWarehouse. After explaining the rationale for creating the MPDB, the paper illustrateshow it supports the macroprudential analysis conducted by the European System ofCentral Banks (ESCB), the European Systemic Risk Board (ESRB) and the nationalauthorities of the Single Supervisory Mechanism (SSM) and the European Union. Thestructure of the database and a broad overview of available indicators are thenpresented, with a description of the relevant confidentiality issues. Examples illustratehow the MPDB is used for monitoring purposes and econometric modelling. Finally,the paper discusses remaining data gaps and expected future enhancements of thedatabase. JEL Classification: C82, E60 |
| Keywords: | macroprudential, statistics |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbsps:201932&r=all |
| By: | Pushkareva, Lyudmila; Galochkina, Olga; Bezgacheva, Olga |
| Abstract: | The paper provides an analysis of core issues that appear when Russian commercial banks generate and use their financial resources in terms of sanctions. Authors discuss whether commercial banks are able to meet their needs of investments in the national real economy if they use various forms of recapitalization. The today’s banking system in Russia has a number of features that mainly relate to a structure of the banking sector. Systemic weaknesses, assets concentrated in hands of a few federal banks, and well-marked territorial inequality in distribution of banking institutions are serious challenges in the existing organizational system of banking services. Researchers have revealed that commercial banks in Russia mainly have to make financial resources for account of less urgent liabilities and liquidity risks. |
| Keywords: | banking system, financial resources, recapitalization forms, government control |
| JEL: | G2 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:97386&r=all |
| By: | Carlos Altavilla; Miguel Boucinha; José-Luis Peydró; Frank Smets |
| Abstract: | We analyse the effects of supranational versus national banking supervision on credit supply, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change leading to the centralisation of European banking supervision; (iii) high-frequency monetary policy surprises; (iv) differences across euro area countries, also vis-à-vis non-euro area countries. We show that supranational supervision reduces credit supply to firms with very high ex-ante and ex-post credit risk, while stimulating credit supply to firms without loan delinquencies. Moreover, the increased risk-sensitivity of credit supply driven by centralised supervision is stronger for banks operating in stressed countries. Exploiting heterogeneity across banks, we find that the mechanism driving the results is higher quantity and quality of human resources available to the supranational supervisor rather than changes in incentives due to the reallocation of supervisory responsibility to the new institution. Finally, there are crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk-taking induced by a more accommodative monetary policy stance, but does not offset more productive risk-taking. Overall, we show that using multiple credit registers – first time in the literature – is crucial for external validity. |
| Keywords: | Supervision, banking, AnaCredit, monetary policy, euro area crisis. |
| JEL: | E51 E52 E58 G01 G21 G28 |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1684&r=all |
| By: | Zongxi Li; A. Max Reppen; Ronnie Sircar |
| Abstract: | We propose a mean field game model to study the question of how centralization of reward and computational power occur in the Bitcoin-like cryptocurrencies. Miners compete against each other for mining rewards by increasing their computational power. This leads to a novel mean field game of jump intensity control, which we solve explicitly for miners maximizing exponential utility, and handle numerically in the case of miners with power utilities. We show that the heterogeneity of their initial wealth distribution leads to greater imbalance of the reward distribution, or a "rich get richer" effect. This concentration phenomenon is aggravated by a higher bitcoin price, and reduced by competition. Additionally, an advanced miner with cost advantages such as access to cheaper electricity, contributes a significant amount of computational power in equilibrium. Hence, cost efficiency can also result in the type of centralization seen among miners of cryptocurrencies. |
| Date: | 2019–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1912.01952&r=all |