nep-ban New Economics Papers
on Banking
Issue of 2022‒06‒27
28 papers chosen by
Sergio Castellanos-Gamboa, , Pontificia Universidad Javeriana

  1. Real Effects of Stabilizing Private Money Creation By Chenzi Xu; He Yang
  2. Green versus sustainable loans: The impact on firms’ ESG performance By Özlem Dursun-de Neef; Steven Ongena; Gergana Tsonkova
  3. How Did It Happen?: The Great Inflation of the 1970s and Lessons for Today By Edward Nelson
  4. Understanding Bank Deposit Growth during the COVID-19 Pandemic By Andrew Castro; Michele Cavallo; Rebecca Zarutskie
  5. Fiscal Consolidation under Market´s Scrutiny: How Do Fiscal Announcements Affect Bond Yields By Josef Sveda; Jaromir Baxa; Adam Gersl
  6. Discovering the true Schumpeter: New insights into the finance and growth nexus By Bofinger, Peter; Geißendörfer, Lisa; Haas, Thomas; Mayer, Fabian
  7. Global Stagflation By Jongrim Ha; M. Ayhan Kose; Franziska Ohnsorge
  8. Non-Normal Interactions Create Socio-Economic Bubbles By Didier Sornette; Sandro Claudio Lera; Jianhong Lin; Ke Wu
  9. Temporal networks in the analysis of financial contagion By Franch, Fabio; Nocciola, Luca; Vouldis, Angelos
  10. Case studies’ evidence of greenium in green bond sovereign issuances during the pandemic selloff of March 2020. By Ramos Murillo, Erick
  11. Social Externalities of Bank Enforcement Actions: The Case of Minority Lending By Byeongchan An; Robert M. Bushman; Anya V. Kleymenova; Rimmy E. Tomy
  12. The Real Effects of Banking the Poor: Evidence from Brazil By Julia Fonseca; Adrien Matray
  13. Assessing Regulatory Responses to Banking Crises By Padma Sharma
  14. Look who’s Talking: Individual Committee members’ impact on inflation expectations By Dooruj Rambaccussing; Craig Menzies; Andrzej Kwiatkowski
  15. The relevance of banks to the European stock market By Kick, Andreas; Rottmann, Horst
  16. Mind the Build-up: Quantifying Tail Risks for Credit Growth in Portugal By Ivan De Lorenzo Buratta; Marina Feliciano; Duarte Maia
  17. Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector By Daniel Dimitrov; Sweder van Wijnbergen
  18. Risk in the Crypto Markets: a speech at the SNB-CIF Conference on Cryptoassets and Financial Innovation, Zürich, Switzerland, June 3, 2022 By Christopher J. Waller
  19. Rebasing the Corporate Goods Price Index to the Base Year 2020 By Research and Statistics Department
  20. Rational but Not Prescient: Borrowing during the Fracking Boom By Daniel Berkowitz; Andrew J. Boslett; Jason Brown; Jeremy G. Weber
  21. Resume Kebijakan Moneter Dalam Perspektif Islam By K, Khelvin.
  22. The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework By Kirstin Hubrich; Daniel F. Waggoner
  23. Settlement Balances Deconstructed By Parnell Chu; Grahame Johnson; Scott Kinnear; Karen McGuinness; Matthew McNeely
  24. Retail CBDC and U.S. Monetary Policy Implementation: A Stylized Balance Sheet Analysis By Matthew Malloy; Francis Martinez; Mary-Frances Styczynski; Alex Thorp
  25. Monetary Policy and Homeownership: Empirical Evidence,Theory, and Policy Implications By Daniel A. Dias; Joao B. Duarte
  26. Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach By Francesco Bianchi; Sydney C. Ludvigson; Sai Ma
  27. Embedded Supervision: How to Build Regulation into Decentralised Finance By Raphael A. Auer

  1. By: Chenzi Xu; He Yang
    Abstract: We show that decentralized privately created money with unstable values can hinder the traded, more transaction-friction sensitive, sector of the economy. We do so in the context of the NationalBanking Act of 1864 in the United States that created a new federally-regulated, fully-backed currency as an alternative to the pre-existing money supply, which consisted of unsecured notes printed by thousands of local private banks. Using a discontinuous change across towns in the costs of accessing this new type of stable, federally-backed money as a natural experiment, we show that places gaining access to the new currency experienced a shift in the composition of agricultural production from non-traded to traded goods and increased employment in trade-related professions. In addition, counties gaining access to the new stable money increased their manufacturing output by sourcing more inputs, and they innovated more, all consistent with the stable currency improving their market access and allowing them to expand through trade.
    JEL: E42 E44 E51 F14 G21 N11 N21
    Date: 2022–05
  2. By: Özlem Dursun-de Neef (Goethe University Frankfurt); Steven Ongena (University of Zurich - Department of Banking and Finance; Swiss Finance Institute; KU Leuven; NTNU Business School; Centre for Economic Policy Research (CEPR)); Gergana Tsonkova (Goethe University Frankfurt)
    Abstract: This paper studies the development of a firm’s Environmental, Social, and Governance (ESG) performance following the issuance of “green loans” earmarked for green projects versus “sustainable loans” to firms bench-marked by ESG criteria. Firms issuing green loans appear to be effective in shrinking their environmental emissions; however, they weaken in social performance indicated by a decrease in their human rights, community, and product responsibility scores. This implies that they prioritize their environmental goals, yet neglect their commitment towards their clients and society. Sustainable loans, on the other hand, we find to incentivize firms to improve their ESG performance by increasing their environmental and governance scores. Thus, the issuance of a sustainable loan surely precedes (and may consequentially signal) subsequent improvements in a firm’s overall ESG performance.
    Keywords: Green Loans; Sustainability Linked Loans; Environmental, Social, and Governance (ESG) Performance; Sustainable Finance
    JEL: G21 G32 M14
    Date: 2022–05
  3. By: Edward Nelson
    Abstract: The pickup in the U.S. inflation rate to its highest rates in forty years has led to renewed attention being given to the Great Inflation of the 1970s. This paper asks with regard to the Great Inflation: “How did it happen?” The answer offered is the fact that, in both the United Kingdom and the United States, monetary policy and other policy instruments were guided by a faulty doctrine—a nonmonetary view of inflation that perceived the concerted restraint of aggregate demand as both ineffective and unnecessary for inflation control. In the paper’s analysis, the difference in the economic policy doctrine in the 1970s from that prevailing in more recent decades is represented algebraically, with this representation backed up by documentation of policymakers’ views. A key conclusion implied by the analysis is that the fact that a nonmonetary perspective on inflation is no longer prevalent in policy circles provides grounds for believing that monetary policy in the modern era is well positioned to prevent the recurrence of *entrenched* high inflation rates of the kind seen in the 1970s.
    Keywords: Great Inflation; Phillips curve; Monetary policy doctrine; Monetary policy strategy
    JEL: E58 E52
    Date: 2022–06–03
  4. By: Andrew Castro; Michele Cavallo; Rebecca Zarutskie
    Abstract: A notable development in the U.S. banking system following the onset of the COVID-19 pandemic has been the rapid and sustained growth in aggregate bank deposits. Total deposits at domestic commercial banks rose by more than 35 percent since the end of 2019 and stood at around $18 trillion as of the fourth quarter of 2021.
    Date: 2022–06–03
  5. By: Josef Sveda (Institute of Economic Studies, Faculty of Social Sciences, Charles University & The Czech National Bank, Prague, Czech Republic); Jaromir Baxa (Institute of Economic Studies, Faculty of Social Sciences, Charles University & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic); Adam Gersl (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
    Abstract: We estimate the short-run reactions of bond spreads of selected EU member states vis-a-vis the German bund on fiscal announcements from January 2000 till December 2019. To avoid selection bias, the announcements are scrapped from the Factiva database, and then, depending on their tone, they are classified as hawkish or dovish. We show that announcements of fiscal consolidation decrease the spreads - however, the full-sample result masks substantial time and country variation. The impact of fiscal consolidation is statistically significant, namely in the post-crisis period since the Draghi´s "whatever it takes" speech, but not before the Great Recession or during the European Debt Crisis.
    Keywords: fiscal announcements, bond spreads, EU debt crisis, fiscal consolidation
    JEL: E62 G01 G12
    Date: 2022–06
  6. By: Bofinger, Peter; Geißendörfer, Lisa; Haas, Thomas; Mayer, Fabian
    Abstract: Joseph A. Schumpeter is one of the most famous economists of the 20th century and the 'patron saint' of the finance and growth literature. We have discovered that the prevailing literature has, however, misinterpreted Schumpeter, which leads to puzzling empirical results and difficulties in explaining even fundamental relationships. We argue that this is due to a misrepresentation of the role of banks and liquidity creation and the role of household saving. After a critical discussion of the literature, we provide our own empirical analysis using a panel of 43 countries to explore the relationships between the important variables of the finance and growth literature. Our empirical analysis above all supports Schumpeter's view that credit growth supports GDP growth while saving is irrelevant for credit growth and GDP growth. In sum, a correct interpretation of Schumpeter helps to overcome the theoretical and empirical challenges which confront the prevailing literature.
    Keywords: Finance-growth nexus,Finance,Financial development,Economic growth,Economic development,Financial intermediation,Bank credit,Liquidity creation,Saving
    JEL: B20 B22 C10 E44 F30 F43 G21 O11 O16 O4
    Date: 2022
  7. By: Jongrim Ha; M. Ayhan Kose; Franziska Ohnsorge
    Abstract: Global inflation has risen sharply from its lows in mid-2020, on rebounding global demand, supply bottlenecks, and soaring food and energy prices, especially since the Russian Federation’s invasion of Ukraine. Markets expect inflation to peak in mid-2022 and then decline, but to remain elevated even after these shocks subside and monetary policies are tightened further. Global growth has been moving in the opposite direction: it has declined sharply since the beginning of the year and, for the remainder of this decade, is expected to remain below the average of the 2010s. In light of these developments, the risk of stagflation—a combination of high inflation and sluggish growth—has risen. The recovery from the stagflation of the 1970s required steep increases in interest rates by major advanced-economy central banks to quell inflation, which triggered a global recession and a string of financial crises in emerging market and developing economies. If current stagflationary pressures intensify, they would likely face severe challenges again because of their less well-anchored inflation expectations, elevated financial vulnerabilities, and weakening growth fundamentals.
    JEL: E31 E32 E52 Q43
    Date: 2022–06
  8. By: Didier Sornette (ETH Zürich - Department of Management, Technology, and Economics (D-MTEC); Swiss Finance Institute; Southern University of Science and Technology; Tokyo Institute of Technology); Sandro Claudio Lera (MIT Connection Science); Jianhong Lin (ETH Zurich); Ke Wu (ETH Zurich - Department of Management, Technology, and Economics (D-MTEC); Southern University of Science and Technology)
    Abstract: We present a generic new mechanism for the emergence of collective exuberance among interacting agents in a general class of Ising-like models that have a long history in social sciences and economics. The mechanism relies on the recognition that socioeconomic networks are intrinsically non-symmetric and hierarchically organized, which is represented as a non-normal adjacency matrix. Such non-normal networks lead to transient explosive growth (a “bubble”) in a generic domain of control parameters, in particular in the subcritical regime. Contrary to previous models, here the coordination of opinions and actions and the associated global macroscopic order do not require the fine-tuning close to a critical point. This is illustrated in the context of financial markets theoretically, numerically via agent-based simulations and empirically through the analysis of so-called meme stocks. It is shown that the size of the bubble is directly controlled through the Kreiss constant which measures the degree of non-normality in the network. This mapping improves conceptually and operationally on existing methods aimed at anticipating critical phase transitions, which do not take into consideration the ubiquitous non-normality of complex system dynamics. Our mechanism thus provides a general alternative to the previous understanding of instabilities in a large class of complex systems, ranging from ecological systems to social opinion dynamics and financial markets.
    Keywords: financial bubbles, non-normal matrices, social networks, sub-criticality, hierarchical networks, anticipating tipping points
    JEL: C02 C46 G01 G17
    Date: 2022–05
  9. By: Franch, Fabio; Nocciola, Luca; Vouldis, Angelos
    Abstract: This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the dynamics of financial contagion as it is transmitted across segments of the financial system and jurisdictions. Temporal centralities identify countries in distress as the nodes through which contagion propagates. Moreover, the banking system emerge as the primary source and transmitter of stress while banks and shadow banks are highly interconnected. The insurance sector is found to contribute less to stress transmission in all periods, except during the global financial crisis. Our approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes that are critical for the transmission of financial contagion. JEL Classification: C02, C22, G01, G2
    Keywords: financial networks, GARCH, Granger causality-in-tail, non-Markovian, systemic risk
    Date: 2022–06
  10. By: Ramos Murillo, Erick
    Abstract: Achieving the SDG goals will require enormous financing efforts from governments and the private sector. Green bonds have been emerging as a useful tool to help finance the gap for SDGs and have been expected to deliver some financial advantages. Nevertheless, there has not been strong evidence of this. This research finds initial evidence of a possible financial advantage for issuers. That is, green bonds’ issuances yields spiked lower during the Covid19 selloff versus their non-green comparables. There are several potential explanations for this and not enough data to point at one but this paper explores investor composition as a potential factor and finds some evidence of different investor behavior.
    Keywords: Greenium, green bonds, investor base, investor composition, MDBs, multilateral development banks, green issuances, yields, thematic bonds, financial advantages, financial markets, fixed income securities, sovereign issuances, sovereign bonds.
    JEL: F47 G01 G11 G12 G15 Q56
    Date: 2022–05–21
  11. By: Byeongchan An; Robert M. Bushman; Anya V. Kleymenova; Rimmy E. Tomy
    Abstract: This paper studies the role banking supervision plays in improving access to credit for minorities by investigating how enforcement decisions and orders (EDOs) affect the bank borrower base. We find that, after an EDO's termination, banks significantly increase residential mortgage lending to minorities, even when the enforcement order is not issued for violations of fair lending laws. Our findings suggest that improvements in banks' internal credit assessment and compliance due to the enforcement process are associated with the expansion in lending to minority borrowers. Our findings highlight the indirect social benefits of bank enforcement and supervision.
    Keywords: Banking; Competition; Disclosure; Discrimination; Enforcement actions; Mortgage lending
    JEL: G21 G28 G38
    Date: 2022–06–02
  12. By: Julia Fonseca; Adrien Matray
    Abstract: We study how financial development affects economic development and wage inequality. We use a large expansion of government-owned banks into Brazilian cities with low bank branch coverage and combine it with data on the universe of employees from 2000-2014. We find that higher financial development fosters firm growth, higher labor demand, and higher average wages, especially for cities initially in banking deserts. However, these gains are not shared equally. Instead, they increase with workers’ productivity, implying a substantial increase in wage inequality. The changes to inequality are concentrated in cities where the initial supply of skilled workers is low, indicating that talent scarcity can drive how financial development affects inequality. Our results are inconsistent with alternative explanations such as differential exposure to Brazil's economic boom, an overall increase in government lending, and other government or social welfare programs. These results motivate embedding skill heterogeneity into macro-finance development models in order to capture these distributional consequences.
    JEL: G2 H8 J2 J3 O1 O43
    Date: 2022–05
  13. By: Padma Sharma
    Abstract: During banking crises, regulators must decide between bailouts or liquidations, neither of which are publicly popular. However, making a comprehensive assessment of regulators requires examining all their decisions against their dual objectives of preserving financial stability and discouraging moral hazard. I develop a Bayesian latent class model to assess regulators on these competing objectives and evaluate banking and savings and loan (S&L) regulators during the 1980s crises. I find that the banking authority (FDIC) conformed to these objectives whereas the S&L regulator (FSLIC), which subsequently became insolvent, deviated from them. Timely interventions based on this evaluation could have redressed the FSLIC’s decision structure and prevented losses to taxpayers.
    Keywords: Bank failures; Bank resolution; Bailout; Liquidation; Savings and loans crisis; Markov Chain Monte Carlo (MCMC); Federal Deposit Insurance Corporation; Federal Savings and Loans Insurance Corporation (FSLIC); Bayesian inference; Discrete data analysis; Latent class models
    JEL: C11 C38 G21 G33 G38
    Date: 2022–05–10
  14. By: Dooruj Rambaccussing; Craig Menzies; Andrzej Kwiatkowski
    Abstract: We explore how speeches from individual members of the Monetary Policy Committee impact on inflation expectations, as proxied by the implied forward rate. Computational linguistics tools are used to quantify the sentiment (tonality) of individual speeches of members. External speakers have calming e ects on future expected inflation, whereas the e ects are somewhat mixed for the Bank’s Governor and the remaining internal members of the Committee. Members who deliver more speeches make the final selection in the model of the best fit. However, experience at the aggregate level does not unanimously imply more credibility. Speeches previously delivered by a selected few calm inflation expectations. The response to tonality di ers when considering pre-crisis, crisis and post-crisis regimes. The findings point out that markets’ are more responsive to the signals emitted by individual speeches in the post-crisis era.
    Keywords: Textual Analysis; Monetary Policy; Central Bank Communication; Committee Members
    JEL: D12 D84 E52 G53
    Date: 2022–06
  15. By: Kick, Andreas; Rottmann, Horst
    Abstract: Banks have always played an ambivalent role in financial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and Rua (2018) found that the health of the banking sector exerts an influence on stock returns in the US. Understanding the relationship between banks and their impact on the asset prices of non-financials is essential to evaluate the risk emanating from an unhealthy banking sector and should be considered in new regulatory requirements. The aim of this study is to determine if the health of European banks is of such importance for the European stock market so that spillover effects are visible. Our results show that none of our banking-health variables have explanatory power on the cross-section of European stock returns. These findings contrast those for the US. The reasons may be manifold, from an unimportant liquidity provisioning channel over reduced room for actions due to regulatory requirements up to a moral hazard situation in Europe, where investors strongly rely on the governmental bailouts of distressed banks.
    Keywords: asset pricing,banking,spillover,errors-in-variables,individual stocks,distance-to-default
    JEL: G12 G21
    Date: 2022
  16. By: Ivan De Lorenzo Buratta; Marina Feliciano; Duarte Maia
    Abstract: We quantify the effect of cyclical systemic risk and economic sentiment on non-financial corporations and households’ (total) credit growth for Portugal between 1991Q1 and 2020Q2, following the Growth-at-risk methodology. We focus on the right-hand tail of the future credit growth distribution, as credit booms are potentially detrimental to financial stability. A set of measures of the upside tail risk in credit growth is computed to provide policymakers with more information to anticipate credit build-ups. We find that financial vulnerabilities and industrial sector economic confidence increase the upper tail risk of credit growth realizations for non-financial corporations in the short term (4 quarters horizon). At the medium to long term (12 quarters horizon), the impact of those indicators almost cancels each other out. As regards households, increasing financial vulnerabilities and consumers’ economic confidence display opposite effects on the upper tail risk of credit growth, at short and medium to long terms. Credit-at-risk anticipates credit build-ups preceding financial crises and decelerations corresponding to recessions. The upper tail to median and the upper to lower tail distances identify the upper tail dynamics as the main responsible for future credit growth uncertainty. Expected longrise reinforces Credit-at-risk results while the probabilities of observing future credit growth above its mean and credit growth one standard deviation above its current value exhibit high levels before 2008 for both non-financial corporations and households, followed by deep falls during recessions which signal credit busts. For all the measures, the 2013-2018 increase in tail risk depends on the structural change in credit growth dynamics observed in the early 2000s. The most recent results highlight the predominant role of confidence indicators, further dampened in 2020 by the COVID-19 effects on the economic outlook.
    JEL: A1
    Date: 2022
  17. By: Daniel Dimitrov (University of Amsterdam); Sweder van Wijnbergen (University of Amsterdam)
    Abstract: We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on information from the public equity market. We account for correlated losses between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures fitted on the implied default probabilities quantifies the potential for joint distress and losses. We apply the model to a universe of Dutch banks and insurers.
    Keywords: Systemic risk, CDS rates, implied market measures, financial institutions
    JEL: G01 G20 G18 G38
    Date: 2022–05–28
  18. By: Christopher J. Waller
    Date: 2022–06–03
  19. By: Research and Statistics Department (Bank of Japan)
    Abstract: The Bank of Japan plans to begin monthly releases of the Corporate Goods Price Index (CGPI) with the base year updated from the current 2015 to 2020, starting on June 10, when a preliminary index for May 2022 is to be published. The rebasing of the CGPI focused on four themes -- (1) responding to changes in the economic and industrial structures; (2) increasing the efficiency and sophistication of price index compilation; (3) reorganizing aggregate price indexes including introducing the FD-ID price indexes; and (4) examining the impact of COVID-19 -- and reflected the results in the 2020 base index. Consequently, the 2020 base index has maintained high standards, as the 2015 base index did. For example, the number of newly added commodities in the new index is 909 and the number of sample prices is 6,888, while the coverage of the commodities adopted in the Producer Price Index (PPI) is 81.3 percent. As a result of the rebasing, it will become possible to identify the following price developments of newly added commodities: (1) domestic producer prices and export prices of "Sensor devices," for which demand is growing against the backdrop of electrification of automobiles and increasing use of electronic components in vehicles; (2) export prices of "Catalyst," for which demand is increasing in emerging countries due to growing consciousness about environmental problems; and (3) import prices of "Medical and sanitary rubber products (rubber gloves)," for which the market has rapidly expanded amid the COVID-19 crisis. Moreover, because of periodic publication of the FD-ID price indexes, which are new indexes classified by stage of demand, it will become possible to measure inflationary pressures in the entire Japanese economy, including price trends of both goods and services, and also to track the process of price changes being transmitted from upstream to downstream in the production flow on a stage-by-stage basis. Both the index level and year-on-year change for all commodities in the 2020 base PPI showed generally similar movements with the 2015 base index. If examined more closely, the rate of year-on-year change in the new index for all commodities was slightly lower than the rate of change in the old index, with the negative difference coming to 0.3 percentage points on average between January 2021 and March 2022. This reflects the effects of the reduction of the weights in the new index of commodity groups whose prices have risen since 2021 in line with increases in international commodity prices, including "Petroleum and coal products," and "Chemicals and related products." During the process of the rebasing, the Bank received cooperation for its surveys from many companies and valuable opinions from many experts and other knowledgeable people. The Bank will continue to engage in close exchange of opinions with companies and users and constantly consider ways of improving price statistics.
    Date: 2022–06–03
  20. By: Daniel Berkowitz; Andrew J. Boslett; Jason Brown; Jeremy G. Weber
    Abstract: To study how income expectations affect borrowing, we use leased natural gas rights in Texas in the mid-2000s, which created potential for future leaseholder income without loosening credit constraints. In matching 11,000 leaseholders with non-leaseholders selected from a screened pool of 5.2 million, we find that the average leaseholder borrowed $13,000 more over the 2003–08 leasing boom. A consumption-smoothing model indicates that leaseholders’ income expectations aligned with forecasts of persistently high natural gas prices. Yet, the unforeseeable success of fracking was associated with reduced prices and increased bankruptcies during 2009–19 for non-prime leaseholders as well as fracking firms.
    Keywords: Income shocks; Consumer debt; Bankruptcy; Resource booms
    JEL: D12 G51 Q33
    Date: 2022–05–23
  21. By: K, Khelvin.
    Abstract: Kebijakan Moneter adalah kebijakan pemerintah untuk memperbaiki keadaan perekonomian melalui pengaturan jumlah uang beredar. Untuk mengatasi krisis ekonomi yang hingga kini masih terus berlangsung, disamping harus menata sektor riil, yang tidak kalah penting adalah meluruskan kembali sejumlah kekeliruan pandangan di seputar masalah uang. Definisi lain juga menyebutkan bahwa kebijakan moneter adalah proses mengatur persediaan uang sebuah negara. Biasanya otoritas moneter dipegang oleh bank sentral suatu negara. Kebijakan moneter menurut konvensional merupakan instrumen bank sentral yang sengaja dirancang sedemikian rupa untuk mempengaruhi variabel-variabel finansial, seperti suku bunga dan tingkat penawaran uang.
    Date: 2022–05–26
  22. By: Kirstin Hubrich; Daniel F. Waggoner
    Abstract: We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that depend on the state of the economy. We propose new identification techniques for regime switching models. Recently developed theoretical models emphasize the role of bank balance sheets for the build-up of financial instabilities and the amplification of financial shocks. We build a market-based measure of leverage of financial institutions employing institution-level data and find empirical evidence that real effects of financial shocks are amplified by the leverage of financial institutions in the financial-constraint regime. We also find evidence of heterogeneity in how financial institutions, including depository financial institutions, global systemically important banks and selected nonbank financial institutions, affect the transmission of shocks to the macroeconomy. Our results confirm the leverage ratio as a useful indicator from a policy perspective.
    Keywords: Regime switching models; Time-varying transition probabilities; Financial shocks; Leverage; Bank and nonbank financial institutions; Heterogeneity
    JEL: C11 C32 C53 C55 E44 G21
    Date: 2022–06–01
  23. By: Parnell Chu; Grahame Johnson; Scott Kinnear; Karen McGuinness; Matthew McNeely
    Abstract: Because of the COVID-19 pandemic, public interest in the Bank’s balance sheet and, more specifically, the size of settlement balances, has grown. This paper deconstructs the concept of settlement balances and provides some context on their history, current state and possible future evolution.
    Keywords: Central bank research; Coronavirus disease (COVID-19); Financial markets; Monetary policy implementation
    JEL: E E59 E6 G G01
    Date: 2022–06
  24. By: Matthew Malloy; Francis Martinez; Mary-Frances Styczynski; Alex Thorp
    Abstract: This paper discusses how a Federal Reserve issued retail central bank digital currency (CBDC) could affect U.S. monetary policy implementation. Using a stylized balance sheet analysis, we analyze the effect a retail CBDC could have on the balance sheets of the Federal Reserve, commercial banks, and U.S. households. Then we consider how these balance sheet changes could affect monetary policy implementation for the Federal Reserve. We illustrate that the potential effects on monetary policy implementation from a retail CBDC are highly dependent on the initial conditions of the Federal Reserve’s balance sheet. Moreover, the analysis demonstrates how the Federal Reserve may use its existing tools to manage the effects of a retail CBDC on monetary policy implementation.
    Keywords: Bank behavior; Central banking; Households; Monetary policy implementation; Retail CBDC
    Date: 2022–05–31
  25. By: Daniel A. Dias; Joao B. Duarte
    Abstract: We show that monetary policy affects homeownership decisions and argue that this effect is an important and overlooked channel of monetary policy transmission. We first document that monetary policy shocks are a substantial driver of fluctuations in the U.S. homeownership rate and that monetary policy affects households' housing tenure choices. We then develop and calibrate a two-agent New Keynesian model that can replicate the estimated transmission of monetary policy shocks to homeownership rates and housing rents. We find that the calibrated model provides an explanation to the "price puzzle" and delivers two important results with policy implications. First, the homeownership decision channel amplifies the redistributive effects of monetary policy, with contractionary shocks benefiting more outright homeowners and disadvantaging more renters and homeowners with a mortgage. Second, a monetary authority that reacts to a price index that includes housing rents generates excess house price, rents, and output volatility and larger real effects.
    Keywords: Monetary policy; Homeownership; Housing rents and housing prices; Inflation dynamics; Housing tenure choice; “Price puzzle
    JEL: E31 E43 R21
    Date: 2022–05–19
  26. By: Francesco Bianchi; Sydney C. Ludvigson; Sai Ma
    Abstract: We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that the reasons involve a mix of revisions in investor beliefs about the economic state and/or future regime change in the conduct of monetary policy, and subjective reassessments of financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on markets occurs outside of tight windows around policy announcements.
    JEL: E52 E58 E7 G12
    Date: 2022–05
  27. By: Raphael A. Auer
    Abstract: The emergence of so-called “decentralised finance” (DeFi) and a shadow financial system of cryptocurrency exchanges and stablecoin issuers raises the challenge of how to apply technology-neutral regulation so that similar risks are subject to the same rules. This paper makes the case for embedded supervision, ie a regulatory framework that provides for compliance in decentralised markets to be automatically monitored by reading the market’s ledger. This reduces the need for firms to actively collect, verify and deliver data. The paper explores the conditions under which distributed ledger data may be used to monitor compliance. To this end, a decentralised market is modelled that replaces today’s intermediary-based verification of legal data with blockchain-enabled credibility based on economic consensus. The key results set out the conditions under which the market’s economic consensus would be strong enough to guarantee that transactions are economically final, so that supervisors can trust the distributed ledger’s data. The paper concludes with a discussion of the legislative and operational requirements that would promote low-cost supervision and a level playing field for small and large firms.
    Keywords: decentralised finance, DeFi, tokenisation, asset-backed tokens, stablecoins, crypto-assets, cryptocurrencies, CBDC, regtech, suptech, regulation, supervision, Basel III, proportionality, blockchain, distributed ledger technology, digital currencies, proof
    JEL: D40 D20 E42 E51 F31 G12 G18 G28 G32 G38 K22 K24 L10 L50 M40
    Date: 2022
  28. By: Ar, Hijriani
    Abstract: Perkembangan perbankan syariah merupakan lahirnya lembaga keuangan syariah yang telah mendapat momentum sejak 1970-an, secara umum mengambil dua pola. Pertama, mendirikan bank syariah berdampingan dengan bank konvensional (dual banking system) seperti di Mesir, Malaysia, Arab Saudi, Yordania, Kuwait, Bahrain, Bangladesh, dan bahkan Indonesia. Kedua, merestrukturisasi sistem perbankan secara keseluruhan sesuai dengan syariat Islam (full fledged Islamic financial system), seperti di Sudan, Iran, dan Pakistan. Peranan regulasi menjadi titik kritis terpenting dari kedua pola tersebut. Seluruh inisiasi awal perbankan syariah dimulai dengan dukungan regulasi yang memadai. Pemasaran tidak terlepas dari unsur kompetinsi atau persaingan. Bisnis apapun tidak ada yang dengan leluasa santai menikmati penjualan dan keuntungan. Paling tidak bukan untuk waktu yang panjang bagaimanapun juga akan ada persaingan yang turut menikmatinya. Terkadang ada juga persaingan yang tidak sehat, persaingan yang tidak mengenal pandang bulu atau belah kasihan. Persaingan tidak akan mengenal apakah modal si pesaing itu dari hasil pinjaman atau berasal dari warisan. Sebab itu, masalah persaingan persaingan jadi faktor penting dalam pemasaran.
    Date: 2022–05–26

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