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on Banking |
| By: | Supriya Kapoor (Trinity Business School, Trinity College Dublin); Michael Mahony (Macro-Finance Division, Central Bank of Ireland); Anuj Pratap Singh (Macro-Finance Division, Central Bank of Ireland) |
| Abstract: | Since July 2022, European Central Bank (ECB) increased its interest rates for the first time in eleven years to bring inflation back to target. This has huge implication on the credit decision for firms, especially the small and medium enterprises (SME), instrumental in supporting employment, innovation and income. Using ECB's `Survey on Access to Finance of Enterprises' (SAFE) from 2015 to 2023, this paper assesses if the ECB's monetary policy tightening bears any relationship with SME's substituting away from bank credit towards alternative sources of finance. Our results show that contractionary monetary policy shocks were positively associated with the likelihood of SME's substituting away from bank credit. We find this behaviour across SMEs with larger turnover, employee size, age, as well as credit-quality; indicating a much stronger reliance and stickiness to bank credit for relatively smaller, younger, and riskier firms despite increases in the cost of credit following contractionary monetary policy shocks. |
| Keywords: | European Central Bank (ECB), monetary policy tightening, SME credit demand, firm bank credit substitution, firm financing behaviour and adaptability |
| JEL: | D22 E50 E51 E52 E58 |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:tcd:tcduee:tep0125 |
| By: | Rebeca Anguren (BANCO DE ESPAÑA); Gabriel Jiménez (BANCO DE ESPAÑA); José-Luis Peydró (BANCO DE ESPAÑA) |
| Abstract: | We study the short-term effects of both tighter and looser bank capital requirements on bank risk-taking in a crisis period. We exploit credit register data matched with firm and bank level data in conjunction with changes in capital requirements stemming from Basel III, including the introduction of a SME supporting bank capital factor in the European Union. We find that tighter capital requirements reduce the supply of bank credit to firms, while looser capital requirements mitigate the credit supply effects of increasing capital. Importantly, at the loan level (credit supply), banks more affected by capital requirements temporarily change less the supply of credit to riskier than to safer firms, and these asymmetric effects occur for both the tightening and the loosening of bank capital requirements. Finally, these effects are also important at the firm-level for total credit availability and for firm survival. Interestingly, our results suggest that those banks most impacted by the tighter Basel III capital requirements prioritize credit among ex-ante riskier firms to avoid their closure, consistent with loan evergreening. |
| Keywords: | bank capital requirements, credit supply, bank risk-taking, Basel III, loan evergreening |
| JEL: | G21 G28 |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2508 |
| By: | Rachid Maghniwi (UM5 - Université mohamed 5, Rabat); Mustapha Oukassi |
| Abstract: | This study examines the impact of Open Banking on the Moroccan banking system by analyzing Bank Al-Maghrib's central role in regulating and promoting this innovation. Our research employs a mixed methodology combining quantitative analysis of data collected from 24 Moroccan financial institutions (8 commercial banks, 12 Fintechs, 4 microfinance institutions) and a qualitative approach based on in-depth interviews with key industry stakeholders. Results reveal that the regulatory framework significantly influences Open Banking technology adoption (β = 0.684, p < 0.001), with a positive impact on financial inclusion (β = 0.573, p < 0.001). The study also demonstrates a significant mediating effect of technological adoption (indirect effect = 0.392, p < 0.001) and a moderating effect of institutional characteristics in this relationship. These findings contribute to existing literature by proposing an analytical model adapted to emerging markets and identifying key success factors for Open Banking implementation in the Moroccan context |
| Abstract: | Cette recherche examine l'impact de l'Open Banking sur le système bancaire marocain en analysant le rôle central de Bank Al-Maghrib dans la régulation et la promotion de cette innovation. Notre étude s'appuie sur une méthodologie mixte combinant une analyse quantitative de données collectées auprès de 24 institutions financières marocaines (8 banques commerciales, 12 Fintechs, 4 institutions de microfinance) et une approche qualitative basée sur des entretiens approfondis avec des acteurs clés du secteur. Les résultats révèlent que le cadre réglementaire influence significativement l'adoption des technologies Open Banking (β = 0.684, p < 0.001), avec un impact positif sur l'inclusion financière (β = 0.573, p < 0.001). L'étude démontre également un effet médiateur significatif de l'adoption technologique (effet indirect = 0.392, p < 0.001) et un effet modérateur des caractéristiques institutionnelles dans cette relation. Ces résultats contribuent à la littérature existante en proposant un modèle d'analyse adapté aux marchés émergents et en identifiant les facteurs clés de succès de l'implémentation de l'Open Banking dans le contexte marocain. |
| Keywords: | Banking Regulation, Financial Innovation, Open Banking, Bank Al-Maghrib, Financial Inclusion, Régulation bancaire, Inclusion financière, Innovation financière, Fintech |
| Date: | 2025–01–15 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04894412 |
| By: | Katharina Bergant; Ms. Mai Hakamada; Mr. Divya Kirti; Rui Mano |
| Abstract: | Given the recent surge in inflation and the resulting sharp monetary tightening, this note asks whether bank profits are exposed to inflation. While most banks tend to match income and expense exposures, 5 and 8 percent of banks in Advanced Economies (AE) and Emerging Market and Developing Economies (EMDE), respectively, are vulnerable to changes in inflation and interest rates due to differences in risk management practices and business structures, with 3 and 6 percent of AE and EMDE banks, respectively, at least as exposed as Silicon Valley Bank at the onset of its failure. If losses at individual banks leave room for wider panics—despite needed improvements in bank regulation and supervision and other ex ante measures—central banks may need to weigh raising rates to contain inflation against the potential for financial instability. |
| Keywords: | Inflation; Bank profitability; Monetary policy; Financial stability |
| Date: | 2025–02–13 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imfsdn:2025/001 |
| By: | Mehmet Selman Colak; Yavuz Kilic; Huseyin Ozturk; Mehmet Emre Samci |
| Abstract: | This study employs model averaging methods to analyze the determinants of non-performing loans (NPLs) in the Turkish banking sector. The characteristic drivers of NPL are examined separately for different loan types categorized by customer segments (consumer loans, corporate loans, SME loans, mortgage loans, credit cards, general purpose loans, vehicle loans) and sectors (manufacturing, agriculture, construction etc.). Our results confirm that asset quality, proxied by NPL ratio of different loan segments, and economic sectors present unique relations with macroeconomic and banking variables. We conclude that customized risk management practices may bring significant benefits given that credit risk in different subcomponents of the economy responds to macroeconomic and banking variables differently. |
| Keywords: | NPL ratio, Loan segments, Emerging economies |
| JEL: | E58 G10 G20 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:tcb:wpaper:2504 |
| By: | Bindseil, Ulrich; Coste, Charles-Enguerrand; Pantelopoulos, George |
| Abstract: | The digitalisation of payments has accelerated over the last decades with the internet and ever faster and cheaper computing. Now, many believe that decentralised finance (“DeFi”) offers fundamentally new possibilities for trading, payments and settlement. Moreover, for a few years central banks have launched work on what has been called retail and wholesale central bank digital currencies (“CBDC”). Concurrent to the rise of innovative technologies has been the advent of new terminology, which is widely used, but which often seems to be biased, confusing, or is used inconsistently. By providing an etymology of key concepts and reviewing terminology and definitions, this paper also provides a new approach to clarifying the essence of new technologies in the field of payments to facilitate ongoing discussions about their eventual merits and use cases. JEL Classification: B26, E42 |
| Keywords: | CBDC, DeFi, digital assets, DLT, tokenization |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20253022 |
| By: | Uluc Aysun (University of Central Florida, Orlando, FL) |
| Abstract: | This paper shows that the transmission of term premium shocks to the real economy operates more strongly through banks whose owners have high maturity mismatches. Using bank-level call report data, it �nds that the subsidiaries of bank holding companies that engage in a greater degree of maturity transformation lend more in response to an unanticipated rise in the term premium. This inference is obtained by applying a unique methodology that suppresses the demand side e¤ects of term premium shocks when measuring their independent effects on the supply side of the loanable funds market. Without the methodology the inferences are reversed. |
| Keywords: | Maturity mismatches, term premium, real economy, call report data. |
| JEL: | E44 G11 G12 G21 |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:cfl:wpaper:2025-01ua |
| By: | Yoshitaka Ogisu (Faculty of Economics, Konan University and Junior Research Fellow, Research Institute for Economics and Business Administration, Kobe University, JAPAN); Shoka Hayaki (Faculty of Economics, Kagawa University and Research Institute for Economics and Business Administration, Kobe University, JAPAN); Masahiko Shibamoto (Research Institute for Economics and Business Administration and Center for Computational Social Science, Kobe University, JAPAN) |
| Abstract: | Relationship lending refers to lending a close relationship between a bank and a borrower, which is expected to help reduce borrowing costs. However, the extent to which they are used is unclear. This measurement difficulty makes it challenging to evaluate its benefits accurately. This paper proposes a novel empirical framework to identify relationship lending in transaction data between banks and borrowers in a more objective manner by determining the set of significant ties from an ensemble of undirected and unweighted bipartite networks. Using the detected relationship lending between banks and borrowers, we estimate the magnitude of additional lending volumes based on relationship lending. From the financial data in Japan from 1977 to 2021, the usage of relationship lending is estimated to be over 50% throughout the sample period but has varied considerably over time. We find that the volume of relationship lending is 34% larger than that of transactional lending. Although the relative volume of relationship lending against transaction lending has been declining, the importance of relationship lending remains substantial in obtaining a larger volume of lending. |
| Keywords: | Relationship lending; Bank-borrower networks; Significant ties |
| JEL: | C81 G12 G21 L14 |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:kob:dpaper:dp2025-02 |
| By: | Mr. Damien Capelle; Mr. Ken Teoh |
| Abstract: | Recent events have reignited concerns about the financial stability implications of monetary policy. We show empirically that monetary tightening exacerbates financial stress after supply shocks, through declines in asset prices, bank equity and increased run risks. We then develop a tractable model in which intermediaries face occasionally binding leverage constraints and endogenous risks of runs, while producers face price adjustment frictions. Interest rate tightening, by lowering asset prices, exacerbates both financial distortions when intermediaries’ equity is sufficiently low. We use the model to characterize the constrained efficient use of interest rate policy, credit policy, equity injection, macroprudential policy and deposit insurance during periods of supply-driven inflation and fragility. When other tools are costly, optimal monetary policy tightening should be less aggressive in the presence of financial fragility. If other tools were not costly, the right combination of tools could perfectly separate financial stability from price stability objectives. |
| Keywords: | Financial panics; financial stability; monetary policy |
| Date: | 2025–01–31 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imfwpa:2025/035 |
| By: | Christian Bittner; Rustam Jamilov; Farzad Saidi |
| Abstract: | We develop a quantitative macroeconomic framework with heterogeneous financial intermediaries and active liquidity management. In the model, banks manage uninsured, idiosyncratic deposit withdrawal risk through an iterative over-the-counter interbank market with endogenous intensive and extensive margins and equilibrium assortative matching based on balance sheet size. We validate our framework using administrative data from Germany encompassing the universe of bank-to-bank exposures. Our findings strongly support the presence of assortative matching in the data, thereby confirming the model's key mechanism. We show that assortative matching can inefficiently lead to reduced trading volumes and a broader region of inaction in the interbank market, a smaller and riskier banking sector, and a macroeconomy characterized by lower aggregate output. Using our empirically validated framework, we explore secular trends in interbank trading, the roles of liquidity and interest rate corridor policies, and the impact of deposit market power. |
| Keywords: | heterogeneous banks, interbank markets, monetary policy, liquidity policy |
| JEL: | E44 E52 G20 G21 |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2025_642 |
| By: | Martin, Reiner; O’Brien, Edward; Peiris, M. Udara; Tsomocos, Dimitrios P. |
| Abstract: | Following the Global Financial Crisis of 2007-8, Ireland, Slovenia, and Spain set up public Asset Management Companies (AMCs), purchasing delinquent loans equal to 44%, 16%, and 10% of GDP, respectively. Though deemed successful, it’s unclear if this was de facto traditional capital and liquidity support. We show that AMCs have a systematic advantage in reducing pecuniary externalities and costs associated with loan delinquencies. AMCs enhance average returns to bank lending, promoting additional lending (bank lending channel) and improving corporate borrowers’ balance sheets (balance sheet channel). The welfare gains of well-designed and well-managed AMCs are between 0.2% and 0.5% of steady-state consumption, independent of whether they are financed through fiscal transfers or sterilized monetary transfers; AMCs can complement traditional fiscal and monetary policies in managing financial crises. JEL Classification: E44, G18, G21, G28 |
| Keywords: | AMC, distressed assets, eurozone, fiscal policy, monetary policy |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20253023 |
| By: | McLaughlin, Darragh; McLaughlin, Eoin; Kenny, Seán |
| Abstract: | The 1955-56 macroeconomic crisis is a central event in modern Irish history. Yet, despite this centrality, its causes are not clearly understood. In 1955-6, Ireland, which had previously followed British interest rates in lockstep as part of its fixed exchange with the latter, briefly experimented with independent monetary policy. Our contribution is twofold. First, we highlight how the Irish response was based on a misunderstanding of a run on Sterling in 1955. Second, we focus on a series of monetary shocks taking place from January 1955 to February 1956. We construct yields for Irish and UK public debt, as well as bank share indices at a daily frequency (1954-6), to test whether the shock was transmitted via financial markets. Employing an event study and testing for structural breaks, we explore the institutional framework through which the mechanisms of the crisis occurred. We find that expansionary monetary policy can only be maintained with sufficient reserves, merely postponing the inevitability of capital flight which is observed in the banking sector. |
| Keywords: | Monetary Policy, Monetary Union, Optimum Currency Area, Trilemma |
| JEL: | E42 E52 F45 N14 N24 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:hwuaef:311198 |
| By: | Ahoniemi, Katja; Kerola, Eeva; Koskinen, Kimmo |
| Abstract: | This paper examines the current dependencies and exposures of the euro area's financial sector in a context of rising geopolitical tensions. Focusing on Russia, China, and the Middle East, we analyze direct exposures through lending and securities holdings of banks and large investors. Our findings suggest that the already modest exposures of the euro area have decreased in recent years. Notably, euro area banks and investors have significantly reduced their exposure to Russia in the wake of the Ukraine invasion, and China in response to regulatory uncertainty. Euro area banks reacted quickly to heightened geopolitical risk in the Middle East by reducing their exposure to countries affected by recent turmoil. A new set of potential risks have emerged, however, as a result of strengthened financial ties with the United States. |
| Keywords: | Geopolitical tensions, financial exposure, banking sector, China, Russia, Middle East |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:bofitb:311211 |
| By: | Amer Mohamad (Department of Banking and Finance, Eastern Mediterranean University, Famagusta, Northern Cyprus via Mersin 10, Turkey); Hatice Jenkins (Department of Banking and Finance, Eastern Mediterranean University, Famagusta, Northern Cyprus via Mersin 10, Turkey) |
| Abstract: | Corruption has long been a serious problem in most countries in the Middle East and North Africa (MENA). This research aims to investigate the impact of country-wide corruption on banks’ credit risk across 16 countries in this region over the period 2011–2019. Applying the interactive fixed effects estimation technique on a model consisting of both macro and bank-specific variables and utilizing data from 197 banks, the results show a positive significant association between corruption and banks non-performing loans (NPL). Corruption was found to have a positive relation with credit risk even in banks with high risk aversion. |
| Keywords: | MENA, non-performing, loans, transparency, International, corruption, banks |
| JEL: | G21 O53 C23 |
| Date: | 2025–01–29 |
| URL: | https://d.repec.org/n?u=RePEc:qed:dpaper:4625 |
| By: | Carolina Lopez-Quiles; Mr. Adil Mohommad |
| Abstract: | We examine spillovers from ECB’s TLTROs on European countries outside the euro area. Using individual banks’ balance sheet data, we find that TLTROs lowered funding and lending rates for foreign-owned subsidiaries, especially in emerging market economies. We also find an increase in profitability among foreign subsidiaries and no effects on solvency risk. The effects are sizable--every €1 billion in exposure to TLTROs via parent banks is associated with 0.2 bps reduction in deposit rates and 0.4 bps reduction in lending rates of foreign subsidiaries. This underscores the need to factor euro area monetary policies into policy settings outside the euro area. |
| Keywords: | Monetary policy; spillovers; TLTRO; CESEE |
| Date: | 2025–01–31 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imfwpa:2025/034 |
| By: | Pilar García (BANCO DE ESPAÑA); Diego Torres (BANCO DE ESPAÑA) |
| Abstract: | We present evidence suggesting that a simple measure of central bank communication tone, as perceived and interpreted by the media, correlates with the performance of financial assets and market participants’ expectations. This correlation appears even stronger than that of indices constructed using more complex models, such as a large language models like BERT. We employ a straightforward quantitative index, inspired by the well-known Baker, Bloom and Davis (2016) paper, using a “bag of words” approach and semantic orientation to measure this media-perceived tone orientation in terms of dovishness or hawkishness. Our approach, which emphasises the perception by the press media, contrasts with previous research that focused primarily on central bank minutes or speeches. Our preliminary findings reveal a statistically significant correlation with the movements of 2, 5 and 10-year US Treasury yields, with reactions being faster and more pronounced for shorter maturities. Our index also shows a leading correlation with some measures of inflation expectations, investor sentiment proxies, the stock market and the dollar. Additionally, to account for the impact of COVID-19, we propose the use of Google search trends as a proxy variable. |
| Keywords: | central bank communication, natural language processing, market perception, monetary policy, inflation expectations, bond yields, investor sentiment |
| JEL: | E50 E52 E58 G14 G17 C45 C81 D83 |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2505 |
| By: | Söhnke M. Bartram; Mark Grinblatt; Yan Xu |
| Abstract: | The relative restrictiveness of a central bank’s supply of money predicts the raw and risk-adjusted returns of its currency—both next month and at least three years into the future. Archived data, known by currency traders at the time, estimates central bank restrictiveness as a scaling of the residual from out-of-sample panel regressions of M1 on macroeconomic variables tied to domestic and international transaction requirements. Carry’s ability to forecast currency returns is subsumed by the central bank restrictiveness signal, which also forecasts inflation. |
| JEL: | F31 G12 G15 |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33423 |
| By: | Shunsuke Haba (Bank of Japan); Kimihiko Izawa (Bank of Japan); Yui Kishaba (Bank of Japan); Yusuke Takahashi (Bank of Japan); Shunichi Yoneyama (Bank of Japan) |
| Abstract: | This paper estimates the policy effects of the Bank of Japan's expansionary monetary policy measures since the introduction of Quantitative and Qualitative Monetary Easing (QQE) in 2013 using the Bank of Japan's large-scale macroeconomic model, the Quarterly Japanese Economic Model (Q-JEM). Specifically, we generate "counterfactual paths" for key financial variables, including nominal interest rates, as well as inflation expectations, in a hypothetical scenario where these policy measures are absent. Then, we conduct counterfactual analysis using Q-JEM to simulate the developments of real GDP and the CPI under those counterfactual paths, and estimate the policy effects as the differences between the actual values and the simulation results. The analysis shows that, during the period from the introduction of QQE in 2013 to the April-June quarter of 2023, the policy measures have on average pushed up the level of real GDP by around +1.3 to +1.8 percent and the year-on-year rate of change in the CPI (less fresh food and energy) by around +0.5 to +0.7 percentage points. |
| Keywords: | Monetary policy; Policy effect; Large macroeconomic model; Simulation |
| JEL: | C53 E37 E43 E47 E52 E58 |
| Date: | 2025–02–19 |
| URL: | https://d.repec.org/n?u=RePEc:boj:bojwps:wp25e02 |
| By: | Rachid Maghniwi (UM5 - Université mohamed 5, Rabat); Mustapha Oukassi (University Mohamed V, Rabat) |
| Abstract: | This research examines the relationship between the Price Earning Ratio (PER) and stock market attractiveness of banks listed on the Casablanca Stock Exchange over the period 2014- 2023. In a context where the Moroccan banking sector represents more than 30% of total market capitalization, understanding the determinants of stock market attractiveness becomes crucial for investors and regulators. Through an econometric analysis of panel data covering eight listed banks (320 observations over the period 2014-2023), our study demonstrates that the P/E ratio is a significant indicator of the stock market attractiveness of Moroccan banking securities. Empirical results reveal that a one-point increase in PER is associated with an average increase of 1.2% in trading volume and 0.8% in market value. This relationship is modulated by complementary factors such as bank size, profitability, and solvency level. The study also highlights the existence of an optimal PER threshold beyond which the effect on stock market attractiveness becomes decreasing. These findings contribute to a better understanding of valuation dynamics in the Moroccan banking sector and provide practical implications for investment strategies. |
| Abstract: | Cette recherche s'intéresse à la relation entre le Price Earning Ratio (PER) et l'attractivité boursière des banques cotées à la Bourse de Casablanca sur la période 2014-2023. Dans un contexte où le secteur bancaire marocain représente plus de 30% de la capitalisation boursière totale, la compréhension des déterminants de l'attractivité boursière devient cruciale pour les investisseurs et les régulateurs. À travers une analyse économétrique des données de panel portant sur les huit banques cotées (320 observations sur la période 2014-2023), notre étude démontre que le PER constitue un indicateur significatif de l'attractivité boursière des titres bancaires marocains. Les résultats empiriques révèlent qu'une augmentation d'un point du PER est associée à une hausse moyenne de 1, 2% du volume des transactions et de 0, 8% de la valeur boursière. Cette relation est modulée par des facteurs complémentaires tels que la taille de la banque, sa rentabilité et son niveau de solvabilité. L'étude met également en évidence l'existence d'un seuil optimal de PER au-delà duquel l'effet sur l'attractivité boursière devient décroissant. Ces résultats contribuent à une meilleure compréhension des dynamiques de valorisation dans le secteur bancaire marocain et offrent des implications pratiques pour les stratégies d'investissement. |
| Keywords: | Stock market attractiveness, Moroccan banks, Econometric analysis, Stock market, PER Attractivité boursière Banques marocaines Analyse économétrique Marché boursier PER Stock market attractiveness Moroccan banks Econometric analysis Stock market, PER, Attractivité boursière, Banques marocaines, Analyse économétrique, Marché boursier PER |
| Date: | 2025–01–31 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04862231 |
| By: | Shin-ichi Fukuda (Faculty of Economics, The University of Tokyo) |
| Abstract: | Monetary policy is a powerful policy tool in stabilizing short-term economic fluctuations. However, no matter how effective it is, it could have unintended adverse impacts on the economy if the central bank continued extreme monetary easing over a long period of time. Japan is an exceptional country where such concern exists. This paper analyzes the effects of unconventional monetary policy in Japan since the end of the 1990s. We explore the effects not only on stabilizing short-term macroeconomic fluctuations such as the GDP gap, but also on medium- and long-term productivity such as total factor productivity (TFP). If the prolonged ultra-low interest rate environment distorts the price mechanism and causes misallocation of funds, the unconventional monetary policy could reduce the productivity of the economy. The estimation results show that the Bank of Japan (BOJ)'s unconventional monetary policy had a significant positive impact on the GDP gap even under a liquidity trap where the policy rate hit its effective lower bound (ELB). However, they also show that unconventional monetary policy had a significant negative impact on TFP growth. The results suggest that while unconventional monetary policy was effective in boosting the economy in the short term, the prolonged ultra-low interest rate environment may have had a negative impact on medium- and long-term productivity growth in the Japanese economy. |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:tky:fseres:2025cf1240 |
| By: | Maghniwi Rachid (UM5 - Université Mohammed V de Rabat [Agdal]); Pr Oukassi Mustapha (UM5 - Université Mohammed V de Rabat [Agdal]) |
| Abstract: | Artificial Intelligence (AI) emerges as a transformative force in a rapidly evolving banking landscape. This groundbreaking study explores the revolutionary impact of AI on managing the commercial performance of bank branches in Morocco, a market at the forefront of digital innovation. Through a rigorous empirical analysis conducted on the country's three banking giants-Attijariwafa Bank, Banque Centrale Populaire (BCP), and Bank of Africa (BMCE)-our research unveils the mechanisms by which AI is redefining the sector's commercial and operational strategies.The study draws on a representative sample of 150 bank branches, carefully selected to reflect the diversity of the Moroccan market. Our findings, of considerable scope, highlight the significant competitive advantages offered by AI: augmented decision-making, unprecedented customer personalization, and transformed operational efficiency.Beyond the numbers, this research offers a dive into the reality of the AI revolution within Moroccan bank branches. It reveals how AI, far from being a mere technological tool, is becoming a catalyst for cultural and strategic change. Our analysis uncovers Moroccan banks' unique challenges and novel opportunities in their quest for innovation and leadership in the African market. |
| Abstract: | Dans un paysage bancaire en rapide évolution, l'Intelligence Artificielle (IA) émerge comme une force transformatrice. Cette étude novatrice explore l'impact révolutionnaire de l'IA sur la gestion de la performance commerciale des agences bancaires au Maroc, un marché à l'avant-garde de l'innovation numérique. À travers une analyse empirique rigoureuse menée sur les trois géants bancaires du pays - Attijariwafa Bank, Banque Centrale Populaire (BCP) et Bank of Africa (BMCE) - notre recherche dévoile les mécanismes par lesquels l'IA redéfinit les stratégies commerciales et opérationnelles du secteur. L'étude s'appuie sur un échantillon représentatif de 150 agences bancaires, soigneusement sélectionnées pour refléter la diversité du marché marocain. Nos résultats, d'une portée considérable, mettent en lumière les avantages concurrentiels significatifs offerts par l'IA : une prise de décision augmentée, une personnalisation client sans précédent et une efficacité opérationnelle transformée. Au-delà des chiffres, cette recherche offre une plongée dans la réalité de la révolution de l'IA au sein des agences bancaires marocaines. Elle révèle comment l'IA, loin d'être un simple outil technologique, devient un catalyseur de changement culturel et stratégique. Notre analyse met au jour les défis uniques et les nouvelles opportunités auxquels font face les banques marocaines dans leur quête d'innovation et de leadership sur le marché africain. |
| Date: | 2024–12 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04894491 |
| By: | Mr. Atilla Arda; Jan Nolte |
| Abstract: | The technical note and manual "Sibling Rivalry in the Financial Safety Net, " authored by Atilla Arda and Jan Nolte, examines the governance structures essential critical for effective bank resolution and deposit insurance functions. Considering the vulnerabilities exposed during the 2008-09 global financial crisis, the note emphasizes the interconnectedness of these two critical functions, both of which aim to safeguard depositors and maintain financial stability. The authors discuss various institutional arrangements, highlighting the choice between integrating both functions within existing agencies or establishing new entities. The note then identifies potential conflicts of interest among resolution authorities, deposit insurance systems, other safety net participants such as central banks and supervisory agencies, and the financial sector. These potential conflicts underscore the necessity of robust governance frameworks to address these challenges and ensure autonomy, operational independence, and accountability of the two functions. The note emphasizes the need for strong legal protections for individuals in charge of resolution and deposit insurance, ensuring they can take decisive actions during crises. By exploring best practices and case studies, including Denmark's integrated framework, the authors provide valuable insights into optimizing institutional and governance arrangements by integrating the deposit insurance function within the resolution authority. This could support effective cooperation among authorities which is vital for creating resilient financial safety nets. |
| Keywords: | deposit insurance; bank resolution; crisis preparedness; crisis management; financial crisis; financial stability; governance; independence; autonomy |
| Date: | 2025–02–10 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imftnm:2025/005 |
| By: | Peter Karadi (EUROPEAN CENTRAL BANK AND CEPR); Anton Nakov (EUROPEAN CENTRAL BANK AND CEPR); Galo Nuño (BANCO DE ESPAÑA AND CEPR); Ernesto Pastén (CENTRAL BANK OF CHILE); Dominik Thaler (EUROPEAN CENTRAL BANK) |
| Abstract: | We study the Ramsey optimal monetary policy within the Golosov and Lucas (2007) state-dependent pricing framework. The model provides micro-foundations for a nonlinear Phillips curve: the sensitivity of inflation to activity increases after large shocks due to an endogenous rise in the frequency of price changes, as observed during the recent inflation surge. In response to large cost-push shocks, optimal policy leverages the lower sacrifice ratio to reduce inflation and stabilize the frequency of price adjustments. When facing total factor productivity shocks, an efficient disturbance, the optimal policy commits to strict price stability, similar to the prescription in the standard Calvo (1983) model. |
| Keywords: | state-dependent pricing, large shocks, nonlinear Phillips curve, optimal monetary policy |
| JEL: | E31 E32 E52 |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2510 |
| By: | Valentin Haddad; Tyler Muir |
| Abstract: | Market macrostructure studies the broad organization of financial markets into key players and institutional features, and how this organization affects the level and dynamics of asset prices. We present a simple model to discuss when, why, and how market macrostructure matters for asset prices. We then review work on three specific examples: the rise of passive investing in the stock market, the increased role of central banks in bond markets through asset purchase programs, and the role of levered financial intermediaries in financial markets. We highlight various approaches to tackling macrostructure questions including quasi-natural experiments, equilibrium models, and the use of detailed quantity data on asset positions. |
| JEL: | E0 G0 G1 |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33434 |
| By: | Eriksson, Kent (Department of Real Estate and Construction Management, Royal Institute of Technology); Hermansson, Cecilia (Department of Real Estate and Construction Management, Royal Institute of Technology); Malmström, Malin (Luleå University of Technology); Sanctuary, Mark (Division of Accounting, finance and changes, Department of Industrial Economics and Management, Indek School, KTH Royal Institute of Technology, Stockholm, Sweden.); Weng, Hsu-Chi (Department of Real Estate and Construction Management, Royal Institute of Technology) |
| Abstract: | The ability to make ends meet has long been a critical issue tied to individuals’ financial well-being. This study proposes and analyzes a structural model to explain the antecedents of making ends meet behavior, grounded in the Theory of Planned Behavior. Data were collected through a survey of bank customers from a large Swedish retail bank (N=14, 617). Structural equation modeling results reveal that social learning, financial confidence, and risk attitude collectively shape behavioral intentions to save and borrow. Saving intention positively contributes to the ability to make ends meet, while borrowing intentions decreases this likelihood. Additionally, the study finds that financial information received through social surroundings differently affects saving intention and borrowing intention. To account for demographic and socioeconomic factors, group analysis was conducted across gender and income groups to evaluate the model’s applicability. The results show that the proposed antecedents significantly influence making ends meet behavior across these groups, although the magnitude of effects varies. These findings offer valuable insights for public policy and financial institutions, highlighting the behavioral determinants that can enhance individuals’ ability to achieve financial stability. |
| Keywords: | Theory of Planned Behavior; making ends meet; saving; borrowing; social learning; financial confidence; risk attitude; structural equation modeling |
| JEL: | D14 D91 G21 G51 |
| Date: | 2025–01–14 |
| URL: | https://d.repec.org/n?u=RePEc:hhs:kthrec:2025_003 |
| By: | Ciara Reynolds (Geary Institute for Public Policy, University College Dublin, Ireland); Micheál L. Collins (School of Social Policy, Social Work and Social Justice, University College Dublin and Geary Institute for Public Policy, University College Dublin, Ireland) |
| Abstract: | The Global Financial Crisis (GFC) significantly affected a majority of European Union (EU) countries with three-quarters of member states experiencing a systemic economic crisis between late 2007 and 2011, and all others experiencing instances of financial market stress. The crisis triggered many countries to rapidly undertake large scale market interventions to ‘save’ their banking systems and stabilise their economies. Consequently, close to half a trillion euro of taxpayer’s money was expended by EU countries in banking sector ‘bail-outs’ since the start of the crisis in 2008. This paper focuses on estimating the economic impacts of one of these rescue mechanisms, impaired asset measures via the creation of Asset Management Companies (AMCs). Applying Leontief’s Input Output (IO) and multiplier analysis, this research estimates the broader direct and indirect impact of two of the most significant AMCs implemented in the EU after the GFC, Ireland’s NAMA and Spain’s Sareb. The results demonstrate that beyond the initial banking system stabilisation objectives, AMCs had notable effects on economic activity, value added, income and employment in both countries. Looking to the future, policy makers may wish to view these direct and indirect economic impacts as a discrete contribution that these entities make to the economy. This may therefore frame considerations of the impact of future AMCs as not just associated with economic stabilisation, but also with wider measurable effects. |
| Keywords: | Banking Crisis; Asset Management Companies; Input-Output; Ireland; Spain |
| JEL: | C67 G23 H12 |
| Date: | 2025–02–17 |
| URL: | https://d.repec.org/n?u=RePEc:ucd:wpaper:202502 |
| By: | Oliver De Jonghe; Daniel Lewis |
| Abstract: | We propose a new model in which relationship-specific supply and demand shocks are non-parametrically identified in bipartite data under mild assumptions. For example, separate heterogeneous supply shocks are identified for each firm to which a bank lends. We show that a simple estimator is consistent, derive its limiting distribution, and illustrate its performance in simulations. Using these methods, we identify the heterogeneous distributions of supply and demand shocks for thousands of banks and firms in 11 European countries using the Anacredit dataset. Our estimates characterize how both quantity and price elasticities, and thus supply and demand curves, have changed in those 11 markets in recent years. The shock distributions exhibit within-firm/bank heterogeneity that is not well-explained by conventional fixed effects approaches, which only capture between-firm/bank heterogeneity. This unexplained heterogeneity correlates strongly with economically meaningful relationship-level characteristics and macroeconomic policy measures. These results have important implications for policy, identification assumptions in empirical work, and modeling exercises. |
| Date: | 2025–02–20 |
| URL: | https://d.repec.org/n?u=RePEc:azt:cemmap:08/25 |
| By: | Ichiro Fukunaga (Bank of Japan); Yui Kishaba (Bank of Japan); Nao Shibata (Bank of Japan); Shunichi Yoneyama (Bank of Japan) |
| Abstract: | This paper examines the formation mechanism of medium- to long-term inflation expectations in Japan using the Bank of Japan's large-scale macroeconomic model, the Quarterly Japanese Economic Model (Q-JEM), from the perspective of the model's past forecast accuracy and its assessment of future uncertainty. We compare the forecast accuracy of various specifications of the inflation expectations function in the model, and find that specifications that take into account the mechanism of adaptive expectations, which is influenced by past actual values of inflation, provided relatively high forecast accuracy on average since 2013. However, the relative forecast accuracy between different specifications varied from phase to phase, suggesting a large uncertainty in the expectations formation mechanism itself. We also assess the future uncertainty of inflation expectations based on the model's past forecast errors. Under the assumption of adaptive expectations mechanism, inflation expectations are more likely to rise when the recent actual inflation is higher. |
| Keywords: | inflation expectations; monetary policy; large-scale macroeconomic model |
| JEL: | C53 E31 E37 E52 |
| Date: | 2025–02–19 |
| URL: | https://d.repec.org/n?u=RePEc:boj:bojwps:wp25e03 |
| By: | Collard, Fabrice; Fève, Patrick; Wangner, Philipp |
| Abstract: | This paper explores how the persistence of demand shocks interacts with monetary policy in New Keynesian frameworks. We identify two key propagation channels: a permanent income channel, which amplifies the effects of persistent shocks, and a real interest rate channel, which goes in the opposite direction. The balance between these forces depends critically on the aggressiveness of the central bank’s response to inflation, giving rise to distinct monetary policy regimes. Under accommodative policies, persistence magnifies the response of output, while aggressive policies dampen these effects. In the intermediate regime, a hump-shaped relationship emerges between persistence and the response of output. Our analysis extends to medium-scale DSGE models, featuring capital accumulation, household heterogeneity, behavioral frictions, working capital, nominal wage and price rigidities, revealing that these dynamics are remarkably robust. |
| Keywords: | Persistence; Demand Shocks; Monetary Policy; New Keynesian Model |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:tse:wpaper:130328 |
| By: | R. Anton Braun; Daisuke Ikeda |
| Abstract: | Household net worth portfolios vary significantly over the lifecycle. Young households typically have low net worth and hold leveraged long positions in illiquid tangible assets like homes, cars and appliances. Older households, in contrast, tend to have high net worth and significant holdings of liquid assets in their portfolios. Monetary policy alters the interest rate on deposits and the spread on liquid and illiquid assets. Consequently, changes in monetary policy are likely to impact portfolio returns and investment opportunities of young and old households differently. We propose a quantitative model of monetary policy over the lifecycle that formalizes this insight. Households make endogenous portfolio choices and the age profile of their choices in our model is consistent with Japanese data. Our model has different microeconomic foundations and propagation channels of monetary policy compared to previous New Keynesian models, yet it reproduces the empirical responses of aggregate variables, and the microeconomic responses of different age groups to a tighter monetary policy. Net worth, consumption, and welfare increase, for older households but decrease for younger households, leading to higher wealth inequality. Additionally, monetary policy, by altering investment opportunities, has persistent and varied impacts on what different age groups can achieve over their remaining lives. Our results imply that aggregate consumption is a poor metric for assessing the impact of monetary policy on households because the large consumption declines of young households are offset by gains from older and more affluent households. |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:cnn:wpaper:25-006e |
| By: | Benedict Clements; Sanjeev Gupta; João Tovar Jalles |
| Abstract: | This paper delineates equitable fiscal and monetary policies, along with their corresponding institutional frameworks, which can be tailored to help countries fulfill the fundamental tenets of the UN's 2030 Agenda. Monetary policy should aim to keep inflation at low or moderate levels, thus avoiding the deleterious effects of high inflation on inequality. Sound governance of central bank practices includes the establishment of independence and accountability for the central bank; solid policy and operational strategies; and transparent communications. Fiscal policy is the government’s primary instrument for achieving redistribution. Emerging Market and Developing Economies (EMDEs) will need to increase revenues by reforming tax expenditures; more extensive excise taxes on goods with negative externalities; and improving the design of the income tax. On the spending side, priorities include curtailing fuel subsidies; increasing health spending to provide a basic package of universal health benefits; reallocating health outlays toward primary and preventive care; and reallocating education spending toward primary and secondary schools. Sound fiscal governance includes the implementation of fiscal responsibility laws and medium-term fiscal frameworks (MTEFs); aligning these MTEFs with Integrated National Financing Frameworks; creating Independent Fiscal Institutions, such as Fiscal Councils; implementing transparent budgetary processes; and strengthening research capacity. |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:ise:remwps:wp03682025 |
| By: | Bandoni, Emil; De Nora, Giorgia; Giuzio, Margherita; Ryan, Ellen; Storz, Manuela |
| Abstract: | Institutional investors, such as investment funds, are playing an increasingly important role in residential real estate markets. This raises the possibility that their actions might drive aggregate market outcomes and may change how and which macrofinancial shocks transmit to house prices. In a Bayesian vector autoregression setting, we show that a demand shock from institutional investors has a positive and persistent effect on aggregate euro area house price growth and mortgage lending volumes. Institutional investors also increase their purchase activity following a loosening of monetary policy. Exploiting regional heterogeneity in eight euro area countries, we show in a panel regression setting that institutional investors weaken the link between house price growth and local economic fundamentals, but strengthen the sensitivity to monetary policy and financial market developments. JEL Classification: R31, E52, G23 |
| Keywords: | financial stability, investment funds, monetary policy, non-bank financial intermediation, real estate |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20253026 |