|
on Banking |
| By: | Srichander Ramaswamy (The South East Asian Central Banks (SEACEN) Research and Training Centre) |
| Abstract: | One of the challenges of issuing a central bank digital currency (CBDC) is its potential to disintermediate banks through deposit substitution. To avoid this outcome, much of the research on CBDC is focused on whether and what limits to set on CBDC holdings, and if CBDC accounts should be paid interest. But the issuance of CBDC can also generate significant fiscal revenue through central bank balance sheet expansion if they are funded by unremunerated CBDC liabilities. This can lead to a criticism of central bank policies and can potentially compromise its independence. Taking the view that a significant share of unremunerated bank demand deposits can migrate to retail CBDC account if there are no restrictions on the holding amounts, this paper raises and provides some indicative answers to a number of policy questions that arise in this setup. These include the following: Will the commercial bank’s money creation process et disrupted? How will it impact the efficient transmission of monetary policy? What role can central banks play to ensure that the demand for credit in the economy is met at reasonable price terms? Will non-bank actors be able to offer better terms and conditions for loans than banks in the changed intermediation landscape brought about by CBDC? What levers will central banks have to control non-bank actors so that they do not amplify procyclical lending behaviour? Will the remit of central banks need to broaden in scope and reach? We will explore the options and alternatives that might emerge while highlighting what the challenges might be. |
| Keywords: | Central banks, digital currency, financial stability, monetary policy, bank intermediation, non-banks, collateral. |
| JEL: | E42 E51 E52 G21 G23 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:sea:wpaper:wp52&r=ban |
| By: | Novat Pugo Sambodo (Lecturer of Department of Economics, Faculty of Economics and Business, Universitas Gadjah Mada); Riswanti Budi Sekaringsih (Lecturer of Faculty of Islamic Economics and Business, State Islamic University (UIN) Sunan Kalijaga Yogyakarta, and Research Associate at Pusat Kajian Ekonomika dan Bisnis Syariah (PKEBS/Center for Islamic Economics and Business Studies) of Faculty of Economics and Business, Universitas Gadjah Mada); Meikha Azzani (Research Associate at Pusat Kajian Ekonomika dan Bisnis Syariah (PKEBS/Center for Islamic Economics and Business Studies) of Faculty of Economics and Business, Universitas Gadjah Mada); Esa Azali Asyahid (Academic Assistant of Department of Economics and General Assistant at Pusat Kajian Ekonomika dan Bisnis Syariah (PKEBS/Center for Islamic Economics and Business Studies) of Faculty of Economics and Business, Universitas Gadjah Mada); Maulana Ryan Nurfahdhila (Student of Department of Economics and Research Assistant at Pusat Kajian Ekonomika dan Bisnis Syariah (PKEBS/Center for Islamic Economics and Business Studies) of Faculty of Economics and Business, Universitas Gadjah Mada) |
| Abstract: | This study empirically examines the determinants of financial inclusion among Indonesian Muslims using individual-level panel data. We investigated financial inclusion indicators such as borrowing from financial institutions, bank account ownership, the borrowed amount, and savings in financial services. We analysed data from the Indonesian Family Life Survey (IFLS) fourth (2007) and fifth (2014) waves, offering a comprehensive dataset with unique socio-economic variables. We used Ordinary Least Squares and Logit estimations to identify factors influencing individuals' access to financial services and the average borrowed amount. Our findings indicate that urban residents with higher wealth, predominantly males, have better access to financial services. Banks remain the primary source for loans among Indonesian Muslims. Access to commercial banks significantly impacts loan accessibility. Notably, Baitul Maal WatTamwil (BMT), an Islamic microfinance institution, enhances the probability of Indonesian Muslims accessing formal loans. |
| Keywords: | Financial Inclusion, Islamic Finance, Household, Muslim, Indonesia |
| JEL: | G51 Z12 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:gme:wpaper:202312013&r=ban |
| By: | Natee Amornsiripanitch; Philip E. Strahan; Song Zhang; Xiang Zheng |
| Abstract: | In 2021, the U.S. Treasury reduced the exposure of government-sponsored enterprises (GSEs) to speculative mortgages. As a result, GSE purchases of these loans fell by about 20 percentage points. The consequent decline in credit to speculators, however, was mitigated both by entry of corporate investors and because banks began holding more of these loans. By increasing bank exposure to local risk, this move reduced banks’ willingness to supply both jumbo mortgages and small business loans. Our empirical design fully accounts for risks at the balance sheet level. Banks thus manage credit not only in a macro sense — the focus of most research — but also market by market. |
| Keywords: | Housing; Speculation; GSE; Banking |
| JEL: | G21 R31 |
| Date: | 2024–01–04 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:97545&r=ban |
| By: | Nathan Foley-Fisher; Gary B. Gorton; Stéphane Verani |
| Abstract: | The equity and debt prices of large nonbank firms contain information about the future state of the banking system. In this sense, banks are informationally central. The amount of this information varies over time and over equity and debt. During a financial crisis banks are, by definition of a crisis, at risk of failure. Debt prices became about 50 percent more informative than equity prices about the future state of the banking system during the financial crisis of 2007-2009. This was partly due to investors’ fears that banks might not be able to refinance their debt. |
| JEL: | G0 G2 G21 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32007&r=ban |
| By: | Andrea Bellucci (University of Insubria and MoFiR); Alexander Borisov (University of Cincinnati and MoFiR); Alberto Zazzaro (University of Naples Federico II, CSEF and MoFiR.) |
| Abstract: | This paper studies the interplay between allocation of decision-making authority and information production within a bank in the context of small business lending. Using a sample of credit lines to small businesses and changes in the overlap between decision-making authority and information production following an organizational restructuring of the bank, we show that an increase in the authority of the information-producing loan officer leads to a reduction in the use of collateral but leaves interest rates broadly unchanged. The reduction of collateral requirements is more pronounced when loan officers have tacit local knowledge or soft information or when their real authority is limited pre-restructuring. Our results highlight the effect of alignment of information production and decision-making authority on the contract terms of bank credit. |
| Keywords: | Soft and hard information, Collateral, Interest rate, Organizational hierarchies, SMEs financing. |
| JEL: | D83 D21 G21 G30 L11 |
| Date: | 2023–11–29 |
| URL: | http://d.repec.org/n?u=RePEc:sef:csefwp:697&r=ban |
| By: | Taniya Ghosh (Indira Gandhi Institute of Development Research); Yadavindu Ajit (Indira Gandhi Institute of Development Research) |
| Abstract: | With the transparency revolution across the world, this paper aims to investigate the effect of increased central bank transparency on inflation dynamics. We use the-oretical and empirical methods to show the importance of various institutional factors and their interdependence. Using a panel of advanced economies from 1998 to 2017, we investigate the role of central bank transparency in influencing inflation persistence in the presence of institutional factors such as central bank independence and labor market institutions, along with policy uncertainty. While previous research has examªined the role of these institutional variables independently, this paper focuses on how these variables influence the efficacy of central bank transparency. We find that while central bank transparency reduces inflation persistence, its overall effect depends on the level of other variables. The role of central bank transparency in reducing inflation persistence can further be enhanced when we have an independent central bank, colªlective wage bargaining happening at the central level, relaxed labor laws, and lower policy uncertainty. |
| Keywords: | Inflation persistence, Central bank transparency, Central bank independence, Labor market institutions; Interdependence; Policy uncertainty |
| JEL: | D81 D82 E31 E52 E58 J51 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2023-012&r=ban |
| By: | Antón Sarabia Arturo; Bazdresch Santiago; Lelo-de-Larrea Alejandra |
| Abstract: | This paper evaluates the influence of central bank's projections and narrative signals provided in the summaries of its Inflation Report on the expectations of professional forecasters for inflation and GDP growth in the case of Mexico. We use the Latent Dirichlet Allocation model, a text-mining technique, to identify narrative signals. We show that both quantitative and qualitative information have an influence on inflation and GDP growth expectations. We also find that narrative signals related to monetary policy, observed inflation, aggregate demand, and inflation and employment projections stand out as the most relevant in accounting for changes in analysts' expectations. If the period of the COVID-19 pandemic is excluded, we still find that forecasters consider both types of information for their inflation expectations. |
| Keywords: | Central bank projections;Economic forecasting;Machine learning;Text mining |
| JEL: | E52 E58 C55 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:bdm:wpaper:2023-21&r=ban |
| By: | Akbas, Ozan E.; Betz, Frank; Gattini, Luca |
| Abstract: | The credit gap in this study is given by the financing needs of firms that are bankable but discouraged from applying for a loan. To quantify the credit gap, we combine a scoring model that assesses the creditworthiness of discouraged firms with a credit allocation rule. Our study covers 35 emerging markets and developing economies and uses the 2018-2020 EBRD-EIB-World Bank Enterprise Survey. We show that on average discouraged firms are less creditworthy than successful applicants. Nonetheless, the share of bankable discouraged firms is large, suggesting inefficient credit rationing. The baseline results point to an aggregate credit gap of 8.4% of GDP with significant variation across countries. SMEs account for more than two-thirds of the total, reflecting both their contribution to economic activity and the fact that they are more likely to be credit-constrained. |
| Keywords: | credit rationing, discouraged borrowers, firm-level data, EMDEs |
| JEL: | D22 D45 E51 G21 G32 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eibwps:280955&r=ban |
| By: | Christopher Palmer |
| Abstract: | This paper develops a control-function methodology accounting for endogenous or mismeasured regressors in hazard models. I provide sufficient identifying assumptions and regularity conditions for the estimator to be consistent and asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple across the 2003-2007 subprime cohorts. To identify the elasticity of default with respect to housing prices, I use various home-price instruments including historical variation in home-price cyclicality. Loose credit played a significant role in the crisis, but much of the increase in defaults across cohorts was caused by home-price declines unrelated to lending standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50%. |
| JEL: | C26 C41 G01 G21 R31 R38 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32000&r=ban |
| By: | Patrick Gruning (Latvijas Banka); Andrejs Zlobins (Latvijas Banka) |
| Abstract: | Given the decades-high inflation, central banks are complementing conventional rate hikes with quantitative tightening (QT), i.e. a reduction of the sizeable asset holdings accumulated during the quantitative easing (QE) era. In this study, we employ empirical (proxy-SVAR) and structural (medium-scale NK DSGE) frameworks to study the macroeconomic implications of QT. Our empirical findings show that the impact of QT has been relatively muted in the US, suggesting asymmetric effects of QT compared to QE. This finding is corroborated by model simulations, calibrated to the post-pandemic high inflation environment. Nevertheless, QT can partly substitute conventional rate hikes by creating some deflationary pressure and requiring less aggressive conventional policy action. QT produces smaller effects in the euro area (EA) due to the smaller share of private bonds on the ECB’s balance sheet. However, a potential concern for QT in the EA is the proliferation of fragmentation risk. We empirically argue that the deployment of market-stabilisation QE can be used to stabilise sovereign spreads without creating considerable inflationary pressure in case QT leads to disorderly market dynamics. |
| Keywords: | monetary policy, quantitative tightening, quantitative easing, proxy-SVAR, DSGE |
| JEL: | C54 E31 E52 E58 G12 |
| Date: | 2023–12–27 |
| URL: | http://d.repec.org/n?u=RePEc:ltv:wpaper:202309&r=ban |
| By: | Fumitaka Nakamura |
| Abstract: | We analyze the effects of borrower-based macroprudential tools in Finland. To evaluate the efficiency of the tools, we construct a heterogeneous agent model in which households endogenously determine their housing size and liquid asset levels under two types of borrowing constraints: (i) a loan-to-value (LTV) limit and (ii) a debt-to-income (DTI) limit. When an unexpected negative income shock hits the economy, we find that a larger and more persistent drop in consumption is observed under the LTV limit compared to the DTI limit. Our results indicate that although DTI caps tend to be unpopular with lower income households because they limit the amount they can borrow, DTI caps are beneficial even on distributional grounds in stabilizing consumption. Specifically, DTI caps mitigate the consumption decline in recessions by restricting high leverage, and thus, they can usefully complement LTV caps. |
| Keywords: | Household indebtedness; loan-to-value ratio; debt-to-income ratio; macroprudential policy. |
| Date: | 2023–12–15 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2023/262&r=ban |
| By: | Paolo Gelain; Pierlauro Lopez |
| Abstract: | This paper outlines the dynamic stochastic general equilibrium (DSGE) model developed at the Federal Reserve Bank of Cleveland as part of the suite of models used for forecasting and policy analysis by Cleveland Fed researchers, which we have nicknamed CLEMENTINE (CLeveland Equilibrium ModEl iNcluding Trend INformation and the Effective lower bound). This document adopts a practitioner's guide approach, detailing the construction of the model and offering practical guidance on its use as a policy tool designed to support decision-making through forecasting exercises and policy counterfactuals. |
| Keywords: | DSGE model; labor market frictions; zero lower bound; trends; expectations |
| JEL: | E32 E23 E31 E52 D58 |
| Date: | 2023–12–27 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:97525&r=ban |
| By: | Chaimae Hmimnat (FEG, UIT - Faculté d’Economie et de Gestion, Université Ibn Tofail, Kénitra); Mounir El Bakouchi (FEG, UIT - Faculté d’Economie et de Gestion, Université Ibn Tofail, Kénitra) |
| Abstract: | The study explains how blockchain and cryptocurrency are transforming the Moroccan financial landscape. It tries to comprehend how these developing technologies, with their promises of decentralization and increased efficiency, may shape Morocco's future financial stability. The article begins by introducing the reader to the fundamental ideas of blockchain and cryptocurrency. A thorough literature analysis recounts past and contemporary studies on the subject, providing a context against which Moroccan progress is judged. Morocco's approach to blockchain and cryptocurrencies has been cautious yet forward-thinking. While these technologies offer prospects for increased transparency, diversification of financial assets, and transactional efficiency, they also create problems. Notably, the volatile nature of bitcoin prices, along with a nascent regulatory structure, poses serious challenges to financial stability. The paper reveals significant gaps in current research, specifically the scarcity of studies contextualized within Morocco's distinct socioeconomic setting. These deficiencies provide a direction for future academic and policy-oriented research. To fully realize the potential of blockchain and cryptocurrencies in Morocco, a balanced strategy is required-one that actively supports innovation while remaining within a regulated legal framework. The realities of such a strategy are investigated, providing policymakers and industry stakeholders with actionable insights. This study is one of the first to look into the complexities of blockchain and cryptocurrencies in Morocco, filling a critical knowledge gap. While many studies investigate these technologies on a worldwide basis, this study takes a different approach, concentrating on their consequences within Morocco's distinct socioeconomic fabric.The findings are valuable to both academics and practitioners, providing a road map for navigating Morocco's young but developing crypto-financial sector. |
| Keywords: | Blockchain, Cryptocurrency, Financial Stability, Moroccan financial ecosystem |
| Date: | 2023–11–30 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04347223&r=ban |
| By: | Hugo Thimonier; Fabrice Popineau; Arpad Rimmel; Bich-Li\^en Doan; Fabrice Daniel |
| Abstract: | This study explores the application of anomaly detection (AD) methods in imbalanced learning tasks, focusing on fraud detection using real online credit card payment data. We assess the performance of several recent AD methods and compare their effectiveness against standard supervised learning methods. Offering evidence of distribution shift within our dataset, we analyze its impact on the tested models' performances. Our findings reveal that LightGBM exhibits significantly superior performance across all evaluated metrics but suffers more from distribution shifts than AD methods. Furthermore, our investigation reveals that LightGBM also captures the majority of frauds detected by AD methods. This observation challenges the potential benefits of ensemble methods to combine supervised, and AD approaches to enhance performance. In summary, this research provides practical insights into the utility of these techniques in real-world scenarios, showing LightGBM's superiority in fraud detection while highlighting challenges related to distribution shifts. |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2312.13896&r=ban |
| By: | Xudong An; Stuart A. Gabriel; Nitzan Tzur-Ilan |
| Abstract: | We link detailed wildfire burn, satellite smoke plume, and ground-level pollution data to estimate the effects of extreme wildfire and related smoke and air pollution events on housing and consumer financial outcomes. Findings provide novel evidence of elevated spending, indebtedness, and loan delinquencies among households distant from the burn perimeter but exposed to high levels of wildfire-attributed air pollution. Results also show higher levels of financial distress among renters in the burn zone, particularly those with lower credit scores. Financial distress among homeowners within the fire perimeter is less prevalent, likely owing to insurance payout. Findings also show out-migration and declines in house values in wildfire burn areas. The adverse smoke and pollution effects are salient to a substantial geographically dispersed population and add appreciably to the household financial impacts of extreme wildfires. |
| Keywords: | Wildfires; Air Pollution; Consumer Credit; Financial Distress; Spending |
| JEL: | R23 Q53 Q54 D12 |
| Date: | 2024–01–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:97535&r=ban |
| By: | Yijun Li; Cheuk Hang Leung; Xiangqian Sun; Chaoqun Wang; Yiyan Huang; Xing Yan; Qi Wu; Dongdong Wang; Zhixiang Huang |
| Abstract: | Consumer credit services offered by e-commerce platforms provide customers with convenient loan access during shopping and have the potential to stimulate sales. To understand the causal impact of credit lines on spending, previous studies have employed causal estimators, based on direct regression (DR), inverse propensity weighting (IPW), and double machine learning (DML) to estimate the treatment effect. However, these estimators do not consider the notion that an individual's spending can be understood and represented as a distribution, which captures the range and pattern of amounts spent across different orders. By disregarding the outcome as a distribution, valuable insights embedded within the outcome distribution might be overlooked. This paper develops a distribution-valued estimator framework that extends existing real-valued DR-, IPW-, and DML-based estimators to distribution-valued estimators within Rubin's causal framework. We establish their consistency and apply them to a real dataset from a large e-commerce platform. Our findings reveal that credit lines positively influence spending across all quantiles; however, as credit lines increase, consumers allocate more to luxuries (higher quantiles) than necessities (lower quantiles). |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2312.10388&r=ban |
| By: | Marouane Nakhcha (laboratoire de recherche en sciences de gestion des organisations - ENCG Kenitra); Mamdouh Tlaty (laboratoire de recherche en sciences de gestion des organisations - ENCG Kenitra) |
| Abstract: | This article explores the complex interconnection between digitization, green finance, and economic sustainability, highlighting the transformative potential of digitization for a greener economy. Adopting a rigorous research methodology, we examine the foundations of digitization and green finance, identifying the challenges and opportunities inherent in their convergence. The principles and objectives of green finance, inspired by thinkers such as Zadek and Elkington, are confronted with the advances of digitization. Our theoretical analysis reveals complex synergies between digitization and green finance, highlighting their implications for transparency, market efficiency, impact measurement, investment diversification, and innovation. However, these synergies pose challenges such as data security and regulation, requiring a responsible approach. In examining the challenges of digitizing green finance, we highlight the contributions of renowned researchers such as Rob Bauer, Andreas G. F. Hoepner, and Ioannis Oikonomou. Data privacy and regulatory challenges emerge as significant obstacles to a successful transition to greener, more sustainable finance. Our four-step methodology offers a balanced analysis of technological and regulatory challenges, exploring theoretical perspectives and potential solutions. Experts such as Rob Bauer, Andreas G. F. Hoepner, Ioannis Oikonomou, and Carolyn M. Wilkins offer innovative strategies for overcoming these obstacles, emphasizing the importance of collaboration and proactive regulation. Our article contributes to understanding the relationship between digitization, green finance, and economic sustainability. Although the transition to green digital finance presents challenges, the theoretical recommendations offer promising avenues for a more responsible and innovative economy. Our analysis encourages ongoing reflection and determined action to build a more sustainable future. |
| Keywords: | Innovation, Green Finance, Economic Sustainability, Technological Challenges, Catalyst, Sustainable development |
| Date: | 2023–12–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04333883&r=ban |
| By: | Edward S. Knotek; James Mitchell; Mathieu Pedemonte; Taylor Shiroff |
| Abstract: | We study how monetary policy communications associated with increasing the federal funds rate causally affect consumers' inflation expectations. In a large-scale, multi-wave randomized controlled trial (RCT), we find weak evidence on average that communicating policy changes lowers consumers' medium-term inflation expectations. However, information differs systematically across demographic groups, in terms of ex ante informedness about monetary policy and ex post compliance with the information treatment. Monetary policy communications have a much stronger effect on people who had not previously heard news about monetary policy and who take sufficient time to read the treatment, implying scope to increase the impact of communications by targeting specific groups of the general public. Our findings show that, in an inflationary environment, consumers expect that raising interest rates will lower inflation. More generally, our results emphasize the importance of measuring both respondents' information sets and their compliance with treatment when using RCTs in empirical macroeconomics, to better understand the well-documented evidence of heterogeneous treatment effects. |
| Keywords: | expectations formation; policy communication; monetary policy; inflation; surveys |
| JEL: | E31 E52 E58 |
| Date: | 2024–01–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:97534&r=ban |
| By: | Christian Garciga; Randal J. Verbrugge; Saeed Zaman |
| Abstract: | For decades, the Federal Reserve Bank of Cleveland (FRBC) has produced median and trimmed-mean consumer price index (CPI) measures. These have proven useful in various contexts, such as forecasting and understanding post-COVID inflation dynamics. Revisions to the FRBC methodology have historically involved increasing the level of disaggregation in the CPI components, which has improved accuracy. Thus, it may seem logical that further disaggregation would continue to enhance its accuracy. However, we theoretically demonstrate that this may not necessarily be the case. We then explore the empirical impact of further disaggregation along two dimensions: shelter and non-shelter components. We find that significantly increasing the disaggregation in the shelter indexes, when combined with only a slight increase in non-shelter disaggregation, improves the ability of the median and trimmed-mean CPI to track the medium-term trend in CPI inflation and marginally increases predictive power over future movements in CPI inflation. Finally, we examine the practical implications of our preferred degree of disaggregation. Our preferred measure of the median CPI suggests that trend inflation was lower pre-pandemic, while both our preferred median and trimmed-mean measures suggest a faster acceleration in trend inflation in 2021. We also find that higher disaggregation marginally weakens the Phillips curve relationship between median CPI inflation and the unemployment gap, though it remains statistically significant. |
| Keywords: | inflation measurement; median CPI; trimmed-mean CPI; trend inflation; disaggregates of inflation |
| JEL: | E31 E37 E52 C8 |
| Date: | 2024–01–04 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:97538&r=ban |
| By: | Javier Bianchi; Louphou Coulibaly |
| Abstract: | Financial integration generates macroeconomic spillovers that may require international monetary policy coordination. We show that individual central banks may set nominal interest rates too low or too high relative to the cooperative outcome. We identify three sufficient statistics that determine whether the Nash equilibrium exhibits under-tightening or over-tightening: the output gap, sectoral differences in labor intensity, and the trade balance response to changes in nominal rates. Independently of the shocks hitting the economy, we find that under-tightening is possible during economic expansions or contractions. For large shocks, the gains from coordination can be substantial. |
| JEL: | E21 E23 E43 E44 E52 E62 F32 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32009&r=ban |
| By: | Laura Hospido (Banco de España); Nagore Iriberri (Banco de España); Margarita Machelett (Banco de España) |
| Abstract: | Gender gaps in ?nancial literacy are pervasive and persistent. While most studies explore why women know less, these gaps might also re?ect differential behavior in providing responses in surveys. Women might be more likely to be uncertain, or men might be more likely to choose an answer when uncertain, while women might tend to opt for “I do not know”, leading to imprecise measures of the gender gap in ?nancial literacy. We test for the effectiveness of three interventions to reduce the frequency of “I do not know”, in a randomized control trial online survey administered to 6, 000 participants. The standard survey, our control group, includes the possibility of answering “I do not know”. The three treatment arms exclude the “I do not know” answer, offer incentives for correct answers or inform survey takers of the existing gender gap in choosing “I do not know”. All interventions are very effective in reducing the frequency of “I do not know”. The information is most effective for women, while the incentives are most effective for men. As regards gender gaps, only the provision of information significantly reduces the gender gap in choosing “I do not know”, as well as the gender gap in ?nancial literacy. |
| Keywords: | financial literacy, gender gaps, survey methods |
| JEL: | K32 Q5 O13 O44 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2401&r=ban |
| By: | Herbertsson, Alexander (Department of Economics, School of Business, Economics and Law, Göteborg University) |
| Abstract: | We study saddlepoint approximations to the tail-distribution for credit portfolio losses in continuous time intensity based models under conditional independent homogeneous settings. In such models, conditional on the filtration generated by the individual default intensity up to time t, the conditional number of defaults distribution (in the portfolio) will be a binomial distribution that is a function of a factor Z_t which typically is the integrated default intensity up to time t. This will lead to an explicit closed-form solution of the saddlepoint equation for each point used in the number of defaults distribution when conditioning on the factor Z_t, and we hence do not have to solve the saddlepoint equation numerically. The ordo-complexity of our algorithm computing the whole distribution for the number of defaults will be linear in the portfolio size, which is a dramatic improvement compared to e.g. recursive methods which have a quadratic ordo-complexity in the portfolio size. The individual default intensities can be arbitrary as long as they are conditionally independent given the factor Z_t in a homogeneous portfolio. We also outline how our method for computing the number of defaults distribution can be extend to heterogeneous portfolios. Furthermore, we show that all our results can be extended to hold for any factor copula model. We give several numerical applications and in particular, in a setting where the individual default intensities follow a CIR process we study both the tail distribution and the number of defaults distribution. We then repeat similar numerical studies in a one-factor Gaussian copula model. We also numerically benchmark our saddlepoint method to other computational methods. Finally, we apply of our saddlepoint method to efficiently investigate Value-at-Risk for equity portfolios where the individual stock prices have simultaneous downward jumps at the defaults of an exogenous group of defaultable entities driven by a one-factor Gaussian copula model were we focus on Value-at-Risk as function of the default correlation parameter in the one-factor Gaussian copula model. |
| Keywords: | credit portfolio risk; intensity-based models; factor models; credit copula models; Value-at-Risk; conditional independent dependence modelling; saddlepoint-methods; Fourier-transform methods; numerical methods; equity portfolio risk; stock price modelling with jumps |
| JEL: | C02 C63 G13 G32 G33 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:gunwpe:0839&r=ban |
| By: | Khalid Lahrour (UH2C - Université Hassan II de Casablanca (UH2C)); Latifa Horr (UH2C - Université Hassan II de Casablanca (UH2C)) |
| Abstract: | The concept of inclusion is related to the means of integrating individuals and social groups into social, economic and cultural life by enabling them to participate fully. Economic thought for centuries has considered human well-being as what gives meaning to economic activity. The utilitarian moral theory of Bentham and John Stuart Mills asserts that the purpose of economic activity is to improve the quality of life for the maximum number of people. The inclusive approach includes different aspects, such as social, cultural, economic and financial inclusion. The objective of this paper is to explore the concept of financial inclusion as a form of improving individual well-being and integration into the economic and social activity of a country. To achieve this objective, the paper uses a theoretical approach that draws on the review of available literature on financial inclusion and the different theoretical approaches and perspectives associated with it from prior research and studies to support the arguments presented and to show the importance of financial inclusion in ensuring a more inclusive society. |
| Abstract: | Le concept d'inclusion est lié aux moyens d'intégrer les personnes et les groupes sociaux dans la vie sociale, économique et culturelle en leur permettant d'y participer pleinement. La pensée économique depuis des siècles considère que le bien-être humain est ce qui donne de la signification à l'activité économique. La théorie morale utilitariste de Bentham et John Stuart Mills affirme que l'objectif de l'activité économique est d'améliorer la qualité de vie pour un maximum de personnes. L'approche inclusive couvre divers aspects, tels que l'inclusion sociale, culturelle, économique et financière. Pour atteindre ces objectifs, il est crucial de tenir compte des besoins des individus et des groupes vulnérables et de développer des politiques publiques pour les satisfaire. L'objectif de cet article est d'explorer le concept d'inclusion financière en tant que forme d'amélioration du bien-être individuel et d'intégration dans l'activité économique et sociale d'un pays. Pour atteindre cet objectif, l'article utilise une approche théorique qui se base sur la revue de la littérature disponible sur l'inclusion financière et les différentes approches et perspectives théoriques qui y sont associées des recherches et des études préalables pour étayer les arguments présentés et pour montrer l'importance de l'inclusion financière pour garantir une société plus inclusive. |
| Keywords: | Inclusion, Financial inclusion, Financial exclusion, growth, well-being, Inclusion financière, Exclusion financière, croissance, bien-être |
| Date: | 2023–12–02 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04346087&r=ban |
| By: | Oscar Iván Ávila-Montealegre; Anderson Grajales-Olarte; Juan J. Ospina-Tejeiro; Mario A. Ramos-Veloza |
| Abstract: | We examine the adjustment of a small, open, emerging market economy (SOEME) to an unexpected increase in the minimum wage using an extended New-Keynesian SOE model that incorporates heterogeneous households, a flexible production structure, and a minimum wage rule. We calibrate the model for Colombia and find that an unexpected increase in the minimum wage has significant effects on the low-skilled labor market, and weaker impacts on inflation and the policy interest rate. The rise in the minimum wage increases production costs and prompts the substitution of formal low-skilled labor with informal workers and machinery, resulting in reduced output, increased inflation, and higher policy interest rates. We also observe that the minimum wage influences the transmission of productivity, demand, and monetary shocks, leading to a more persistent impact on macroeconomic variables, and a less efficient monetary policy to control inflation. Our findings suggest that the minimum wage has important macroeconomic implications, and affects emerging market economies through different channels than in developed economies. **** RESUMEN: En este artículo estudiamos el ajuste macroeconómico de una economía emergente pequeña y abierta ante un cambio inesperado en el salario mínimo. Para ello, construimos un modelo neo-keynesiano de economía pequeña y abierta con hogares heterogéneos, una estructura de producción con distintos tipos de trabajo y de capital, y una regla de ajuste del salario mínimo que responde a la inflación y productividad laboral pasadas, así como a choques inesperados. Tras calibrar el modelo para Colombia encontramos que un aumento inesperado del salario mínimo tiene efectos significativos sobre la producción y el empleo, y efectos moderados sobre la inflación y la tasa de política monetaria. En particular, observamos que el choque incrementa los costos de contratar mano de obra formal no calificada, la cual es sustituida por trabajadores informales y maquinaria. A pesar de esta sustitución, los mayores costos generan una contracción de la actividad económica, acompañada por un incremento en la inflación y en la tasa de política monetaria. Por otra parte, encontramos que la existencia de una regla de ajuste del salario mínimo afecta la transmisión de choques convencionales (productividad, demanda y política monetaria), aumentando su persistencia y reduciendo la efectividad de la política monetaria. Estos resultados son relevantes para economías emergentes en las que la política de salario mínimo tiene una mayor incidencia en el mercado laboral. |
| Keywords: | modelo de equilibrio general dinamico y estocástico, salario mínimo, mercado laboral informal, política monetaria, agentes heterogeneos, DSGE model, minimum wage, informal labor markets, monetary policy, heterogeneous agents |
| JEL: | E13 E50 J31 J46 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:bdr:borrec:1264&r=ban |
| By: | Jing Lian Suah |
| Abstract: | The unemployment rates (u-rates) of 19 economies (10 advanced and 9 emerging) demonstrate properties consistent with the plucking model. That the amplitude of expansions and subsequent contractions are unrelated, but that the deeper the contraction, the greater the subsequent expansion. The plucking model, which suggests that the u-rate hovers at or above a theoretical floor, has implications for the unemployment-inflation trade-off as well as shock propagation mechanisms, including the effects of policy shocks. This paper does three things. First, building on existing empirics, it demonstrates a straightforward way to estimate the u-rate floor based on identified peaks in the business cycle and interpolation methods. Second, it analyses the empirical relationship between the u-rate and core inflation, and the effect of a binding u-rate floor on this. Third, it analyses the threshold effects of the u-rate gap on the propagation of macroeconomic shocks, with special attention given to interest rates, using a threshold panel local projections model. The paper finds that: (i) the u-rate hovers at or above the floor and converges towards the floor after each downturn; (ii) the relationship between core inflation and the u-rate weakens when the u-rate is further from the floor; and (iii) the propagation of interest rate, price and output shocks display threshold effects, while exchange rate and debt shocks do not. |
| Keywords: | plucking model, unemployment rate, nonlinear Phillips curve, threshold effects |
| JEL: | E24 E31 E32 E52 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:1159&r=ban |
| By: | Sarah Arndt; Zeno Enders |
| Abstract: | We show that the impact of supply and monetary policy shocks on consumer prices is state-dependent. First, we let the data determine two inflation regimes and find that they are characterized by high and low inflation volatility. We then identify upstream supply shocks using instrumental variables based on data outliers in the producer price series. Such shocks exhibit a more substantial and more persistent effect on downstream prices during periods of elevated inflation volatility (State 2) compared to phases of more stable consumer price growth (State 1). Similarly, monetary policy shocks are more effective in State 2. Exogenously differentiating regimes by the level of inflation or the shock size does not reveal state dependency. The evidence supports a model in which producers invest in price flexibility. This model predicts that stricter inflation targeting reduces price flexibility and, consequently, the pass-through of all shocks to inflation, beyond the standard channel that affects demand. |
| Keywords: | inflation regimes, supply shocks, monetary policy, cost pass-through, producer prices |
| JEL: | E31 E52 E32 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_10839&r=ban |
| By: | Ambler, Kate; Bloem, Jeffrey R.; de Brauw, Alan; Islam, Saiful; Wagner, Julia |
| Abstract: | Agri-food value chains are a crucial element of food systems and local economies around the world. Existing estimates show that intermediary agri-food value chain actors—the operating enterprises that transport and transform food from the farmgate to retailers—account for 60 to 75 percent of value-added produced by the entire agricultural sector of an economy. |
| Keywords: | agrifood systems; digital technology; access to finance; value chains; economic activities; value added; agricultural sector; BANGLADESH; SOUTH ASIA; ASIA |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:prnote:137050&r=ban |
| By: | Marcin Kolasa (SGH Warsaw School of Economics; International Monetary Fund); Grzegorz Wesołowski (University of Warsaw, Faculty of Economic Sciences) |
| Abstract: | We investigate the domestic and international consequences of three types of Fed monetary policy instruments: conventional interest rate (IR), forward guidance (FG) and large scale asset purchases (LSAP). We document empirically that they can be seen as close substitutes when used to meet macroeconomic stabilization objectives in the US, but have markedly different spillovers to other countries. This is because each of the three monetary policy instruments transmits differently to asset prices and exchange rates of small open economies. The LSAP by the Fed lowers the term premia both in the US and in other countries, and results in bigger exchange rate adjustments compared to conventional policy. Importantly for international spillovers, LSAP is typically associated with a more accommodative reaction of other countries' monetary authorities, especially in emerging market economies. We demonstrate how these findings can be rationalized within a stylized dynamic theoretical framework featuring a simple form of international bond market segmentation. |
| Keywords: | monetary policy, forward guidance, quantitative easing, international spillovers |
| JEL: | E44 E52 F41 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:war:wpaper:2024-01&r=ban |