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on Central Banking |
| By: | Valiante, Diego |
| Abstract: | In the midst of the market turbulence of recent years, policy rates have reached the zero lower bound, with central banks aggressively deploying their balance sheet with an array of ‘unconventional’ monetary policies to ensure the transmission of monetary policy impulses in disrupted financial markets, ultimately to set the conditions for economic recovery. Since March 9th, the European Central Bank (ECB) has also joined the club of central banks deploying the most feared monetary policy tool in its armoury. Unsterilised outright asset purchases (so-called ‘quantitative easing’, or QE) aim to re-establish control over the transmission of monetary policy impulse via policy rates by improving conditions for unsecured interbank market activity. This paper examines three dimensions of quantitative easing: i) the rationale behind the ECB’s new monetary policy stance, ii) the operational challenges of QE and iii) preliminary evidence on the effects of QE on markets. |
| Date: | 2015–05 |
| URL: | http://d.repec.org/n?u=RePEc:eps:cepswp:10611&r=cba |
| By: | Melecky,Martin; Podpiera,Anca Maria |
| Abstract: | Although keeping bank supervision independent from macroprudential supervision may ensure more checks and balances, placing bank supervision in the central bank could exploit synergies with macroprudential supervision. This paper studies whether placing microprudential supervision of banks, typically the systemic part of the financial system, under the same roof as financial stability policy, typically entrusted to the central bank, can improve financial stability. Specifically, the paper analyzes whether having bank supervision in the central bank mitigated the likelihood of banking crises during 2007?12. The analysis conditions on crisis indicators commonly found in the early-warning models of banking crises, the quality of microprudential supervision, and the quality of macroprudential supervision. The authors find that countries with deeper financial markets and those undergoing rapid financial deepening can better foster financial stability when they put bank supervision in the central bank. |
| Keywords: | Access to Finance,Debt Markets,Banks&Banking Reform,Emerging Markets,Financial Crisis Management&Restructuring |
| Date: | 2015–06–22 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:7320&r=cba |
| By: | von Borstel, Julia; Eickmeier, Sandra; Krippner, Leo |
| Abstract: | We investigate the pass-through of monetary policy to bank lending rates in the euro area during the sovereign debt crisis, in comparison to the pre-crisis period. We make the following contributions. First, we use a factor-augmented vector autoregression, which allows us to assess the responses of a large number of country-specific interest rates and spreads. Second, we analyze the effects of monetary policy on the components of the interest rate pass-through, which reflect banks' funding risk (including sovereign risk) and markups charged by banks over funding costs. Third, we not only consider conventional but also unconventional monetary policy. We find that while the transmission of conventional monetary policy to bank lending rates has not changed with the crisis, the composition of the IP has changed. Specifically, expansionary conventional monetary policy lowered sovereign risk in peripheral countries and longer-term bank funding risk in peripheral and core countries during the crisis, but has been unable to lower banks' markups. This was not, or not as much, the case prior to the crisis. Unconventional monetary policy helped decreasing lending rates, mainly due to large shocks rather than a strong propagation. |
| Keywords: | interest rate pass-through,factor model,sovereign debt crisis,unconventional monetary policy |
| JEL: | E5 E43 E44 C3 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:102015&r=cba |
| By: | Micossi, Stefano |
| Abstract: | This Special Report examines the policies pursued by the European Central Bank (ECB) since the inception of the euro. The ECB was originally set up to pursue price stability, with an eye also to economic growth and financial stability as subsidiary goals, once the primary goal was secured. The application of a single monetary policy to a diverse economic area has entailed a pronounced pro-cyclicality in its real economic effects on the eurozone periphery. Later, monetary policy became the main policy instrument to tackle financial instability elicited by the failure of Lehman Brothers and the sovereign debt crisis in the eurozone. In the process, the ECB emerged as the lender of last resort in the sovereign debt markets of participating countries. Persistent economic depression and deflation eventually brought the ECB into the uncharted waters of unconventional policies. That the ECB could legally perform all of these tasks bears witness to the flexibility of the TFEU and its Statute, but its tools and operating procedures were stretched to their limit. In the end, the place of the ECB amongst EU policy-making institutions has been greatly enhanced, but has entailed repeated intrusions into the broader domain of economic policies – not least because of its market intervention policies – whose consequences have yet to be ascertained. |
| Date: | 2015–05 |
| URL: | http://d.repec.org/n?u=RePEc:eps:cepswp:10610&r=cba |
| By: | Nyborg, Kjell G |
| Abstract: | This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework. |
| Keywords: | banks; central bank; collateral; ECB; Eurosystem; financial system; guarantees; haircuts; liquidity; monetary policy; monetary system; money; ratings |
| JEL: | E42 E44 E52 E58 G01 G10 G21 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10663&r=cba |
| By: | Mei Li (Department of Economics and Finance, University of Guelph); Frank Milne (Department of Economics, Queen’s University); Junfeng Qiu (Economics and Management Academy, Central University of Finance and Economics) |
| Abstract: | This paper establishes a theoretical model to examine the LOLR policy when a central bank can distinguish solvent banks from insolvent ones only imperfectly. The major results that our model produces are as follows: (1) The pooling equilibria in which, on one hand, all the banks borrow from the central bank and, on the other hand, all the banks do not borrow from the central bank could exist given certain market beliefs off the equilibrium path. However, neither equilibrium is socially efficient because insolvent banks will continue to hold their unproductive assets, rather than efficiently liquidating them. (2) Higher precision in central bank screening will improve social welfare not only by identifying insolvent banks and forcing them to efficiently liquidate their assets, but also by reducing moral hazard and deterring banks from choosing risky assets in the first place. (3) If a central bank can commit to a specific precision level before the banks choose their assets, rather than conducting a discretionary LOLR policy, it will choose a higher precision level to reduce moral hazard and will attain higher social welfare. |
| Keywords: | Central Bank Screening; Moral Hazard; Lender of Last Resort |
| JEL: | E58 G20 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:gue:guelph:2015-06&r=cba |
| By: | Galo Nuño (Banco de España); Carlos Thomas (Banco de España) |
| Abstract: | We investigate the trade-offs between price stability and the sustainability of sovereign debt, using a small open economy model where the government issues nominal defaultable debt and chooses fiscal and monetary policy under discretion. Inflation reduces the real value of outstanding debt, thus making it more sustainable; but it also raises nominal yields and entails direct welfare costs. We compare this scenario with a situation in which the government gives up the ability to deflate debt away, e.g. by issuing foreign currency debt or joining a monetary union with an anti-inflationary stance. We find that the benefits of giving up this adjustment margin outweigh the costs, both for our preferred calibration and for a wide range of parameter values. |
| Keywords: | monetary-fiscal interactions, discretion, sovereign default, continuous time, optimal stopping |
| JEL: | E5 E62 F34 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:1517&r=cba |
| By: | De Groen, Willem Pieter |
| Abstract: | The recent crises have shown that the eurozone countries’ government debt is not immune to default. Applying a large-exposure requirement also to eurozone government debt would be a logical measure towards breaking the bank-government doom loop, given the low probability and high loss-given government default. But what would be the impact of the application of the large-exposure requirement on the banking sector as well as on government funding? This CEPS Policy Brief presents the results of a simulation exercise performed for 109 systemic banks in the eurozone, showing that their eurozone government debt portfolios would have to decrease by 3.2% or €63 billion, if a 50% of own-funds cap would be applied on large exposures. The eurozone central banks’ demand for sovereign bonds under the extended asset purchase programme further creates momentum to start gradually implementing the restriction. |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:eps:cepswp:10299&r=cba |
| By: | Gros, Daniel; Alcidi, Cinzia; De Groen, Willem Pieter |
| Abstract: | It is difficult to measure the impact of the different episodes of quantitative easing (QE) undertaken since 2008 in the major advanced economies (the US, the UK and Japan). One can clearly discern QE in the expansion of the balance sheets of the central banks concerned, but the impact on (long-term) interest rates is difficult to isolate, given the global trend toward slower rates and the high degree of co-movement across major currency areas. For example, in the US, QE is credited with a strong fall in interest rates, but rates have also fallen as much in the euro area without the stimulus of QE until now. This simple finding implies that the studies that neglect the global trend might mistakenly credit QE with a fall in interest rates that was global and would have occurred anyway. The observation that QE did not have any impact on interest rate differentials is compatible with the fact that there is little evidence of a systematic effect of QE on the exchange rate. Moreover, the available academic studies find substantial impact when financial markets were in turmoil in 2008-09, but much smaller effects from the later QE operations. The medium-term impact of QE on growth and inflation seems to have been modest. It is too early to estimate the cost of exiting or reversing QE. The logic of the arguments for QE implies that the cost should be equal to the benefits of undertaking QE. |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:eps:cepswp:10317&r=cba |
| By: | Ghosh, Saibal |
| Abstract: | The paper examines the impact of macroprudential policies on bank credit growth. Towards this end, we develop a model of bank behavior which examines the possible impact of such policies. The testable propositions of the model are empirically examined using a natural experiment for India. The results appear to suggest that macroprudential policies interact with bank ownership to moderate the severity of the credit cycle. |
| Keywords: | Macroprudential policies; Banking; India; Risk weights; Provisions |
| JEL: | G21 G28 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65214&r=cba |
| By: | Sreejata Banerjee (Madras School of Economics); Divya Murali (Research Associate at Athenainfonomics) |
| Abstract: | Banking crisis have serious repercussion causing loss of household savings and decline in confidence and soundness in the banking sector. The present study is an attempt to analyze this aspect in light of the challenges of financial sector reforms faced by banks in India . Stress test of banks operating in India is undertaken to identify factors that adversely influence banks’ non-performing assets (NPA) which is the key indicator of banks’ soundness. We examine the response of bank’s NPA to unexpected shocks from external and domestic macroeconomic factors namely interest rate, exchange rate, GDP. NPAs are regressed in Vector Auto Regressive model on a set of macroeconomic variables with quarterly data from 1997 to 2012 to examine whether there is divergence in the response across the four types ownership: public, old private, new private, and foreign. Granger Causality, IRF and FEVD are used to verify the VAR results. Interest rate significantly impairs asset quality for all banks in two-way causality. Exchange rate, net foreign institutional investor flow and deposits Granger cause public banks’ NPA. GDP gap Granger cause NPA in old private and foreign banks. IRF show banks are vulnerable to inflation shock requiring 8 quarters to stabilize. The stress test clearly demonstrates that all banks need to re-capitalize and improve asset quality. |
| Keywords: | Macro Stress test, Non-performing Assets, Impulse response function, Vector Auto Regression, Granger Causality |
| JEL: | C33 E32 E37 |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:mad:wpaper:2015-102&r=cba |
| By: | Alexandru Monahov (University of Nice Sophia Antipolis, France; GREDEG CNRS) |
| Abstract: | This article studies the effects of prudential supervision on bank resiliency and profitability within an agent-based framework that allows us to simulate persistent crisis conditions. It focuses on the stabilizing effect of prudential supervision introduced alongside three "traditional" regulatory instruments: a norm, a market-based CDS insurance mechanism and a tax in the form of a bail-in instrument. The results show that: (i) supervision enhances the regulatory instruments’ efficiency, (ii) the regulatory norm can postpone the bank’s default, but not avoid it, (iii) the CDS mechanism only produces positive results on resiliency and profitability if the regulator supervises, and (iv) the tax bail-in instrument is the most powerful tool in the regulator’s arsenal as it potentiates profitable bank operation under long-lasting crisis conditions. |
| Keywords: | Prudential supervision, Banking system supervision, Financial institution regulation, Agent Based Modeling, Multi-Agent Simulation |
| JEL: | C63 E65 G28 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2015-24&r=cba |
| By: | Franz Ruch (South African Reserve Bank); Mehmet Balcilar (Department of Economics, Eastern Mediterranean University, Famagusta, Northern Cyprus , via Mersin 10, Turkey; Department of Economics, University of Pretoria, Pretoria, 0002, South Africa.); Mampho P. Modise (National Treasury, 40 Church Square, Pretoria, 0002, South Africa); Rangan Gupta (Department of Economics, University of Pretoria) |
| Abstract: | Forecasting and estimating core inflation has recently gained attention, especially for inflation targeting countries, following research showing that targeting headline inflation may not be optimal; a Central Bank can miss the signal due to the noise. Despite its importance there is sparse literature on estimating and forecasting core inflation in South Africa, with the focus still on measuring core inflation. This paper emphasises predicting core inflation using large time-varying parameter vector autoregressive models (TVP-VARs), factor augmented VAR, and structural break models using quarterly data from 1981Q1 to 2013Q4. We use mean squared forecast errors (MSFE)and predictive likelihoods to evaluate the forecasts. In general, we find that (i) small TVP-VARs consistently outperform all other models; (ii) models where the errors are heteroscedastic do better than models with homoscedastic errors; (iii) models assuming that the forgetting factor remains 0.99 throughout the forecast period outperforms models that allow for the forgetting factors to change with time; and (iv) allowing for structural break does not improve the predictability of core inflation. Overall, our results imply that additional information on the growth rate of the economy and interest rate is sufficient to forecast core inflation accurately, but the relationship between these three variables needs to be modelled in a time-varying (nonlinear) fashion. |
| Keywords: | Core inflation, forecasting, small- and large-scale vector autoregressive models, constant and time-varying parameters |
| JEL: | C22 C32 E27 E31 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201543&r=cba |
| By: | Dominique Guegan (Centre d'Economie de la Sorbonne); Bertrand K Hassani (Grupo Santander et Centre d'Economie de la Sorbonne); Kehan Li (Centre d'Economie de la Sorbonne) |
| Abstract: | One of the key lessons of the crisis which began in 2007 has been the need to strengthen the risk coverage of the capital framework. In response, the Basel Committee in July 2009 completed a number of critical reforms to the Basel II framework which will raise capital requirements for the trading book and complex securitisation exposures, a major source of losses for many international active banks. One of the reforms is to introduce a stressed value-at-risk (VaR) capital requirement based on a continuous 12-month period of significant financial stress (Basel III (2011) [1]. However the Basel framework does not specify a model to calculate the stressed VaR and leaves it up to the banks to develop an appropriate internal model to capture material risks they face. Consequently we propose a forward stress risk measure “spectral stress VaR” (SSVaR) as an implementation model of stressed VaR, by exploiting the asymptotic normality property of the distribution of estimator of VaRp. In particular to allow SSVaR incorporating the tail structure information we perform the spectral analysis to build it. Using a data set composed of operational risk factors we fit a panel of distributions to construct the SSVaR in order to stress it. Additionally we show how the SSVaR can be an indicator regarding the inner model robustness for the bank |
| Keywords: | Value at Risk; Asymptotic theory; Distribution; Spectral analysis; Stress; Risk measure; Regulation |
| JEL: | C1 C6 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:15052&r=cba |
| By: | Ghosh, Saibal |
| Abstract: | Employing data on Indian banks for 1992-2012, the article examines the impact of macroprudential measures on bank performance. It finds that state-owned banks tend to have lower profitability and soundness than their private counterparts. Next, it tests whether such differentials between state-owned and private banks are driven by macroprudential measures; it finds strong support for this hypothesis. |
| Keywords: | banking; macroprudential; capital adequacy; loan classification; provisioning; ownership; India |
| JEL: | G21 L51 P52 |
| Date: | 2013–09–25 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65212&r=cba |
| By: | Kathryn M. E. Dominguez (University of Michigan and NBER) |
| Abstract: | The relationships between exchange rates, capital controls and foreign reserves during the financial crisis suggest that reserve management plays a much more central role than has typically been emphasized in international finance models. Reserves seem to be especially important for non-EZ European countries, not only for those with currencies in the ERM II, but also for those European countries in intermediate regimes that hope to deter currency market pressure, and in so doing help to mitigate trilemma trade-offs. |
| Keywords: | foreign exchange reserves, global financial crisis, exchange market pressure |
| JEL: | F32 F41 |
| URL: | http://d.repec.org/n?u=RePEc:mie:wpaper:647&r=cba |
| By: | James H. Stock; Mark W. Watson |
| Abstract: | An important input to monetary policymaking is estimating the current level of inflation. This paper examines empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to construct indexes akin to core inflation, but with time-varying distributed lags of weights, where the sectoral weight depends on the time-varying volatility and persistence of the sectoral inflation series, and on the comovement among sectors. The model is estimated using U.S. data on 17 components of the personal consumption expenditure inflation index. The modeling framework is a dynamic factor model with time-varying coefficients and stochastic volatility as in del Negro and Otrok (2008); this is the multivariate extension of the univariate unobserved components-stochastic volatility model of trend inflation in Stock and Watson (2007). Our main empirical results are (i) the resulting multivariate estimate of trend inflation is similar to the univariate estimate of trend inflation computed using core PCE inflation (excluding food and energy) in the first half of the sample, but introduces food in the second half of the sample: early in the sample, food inflation was noisy and a poor indicator of trend inflation, but now food inflation is less volatile, more persistent, and a useful indicator; (ii) the model-based filtering uncertainty about trend inflation is substantially reduced by using the disaggregated series in a multivariate model, relative to computing the trend using only headline inflation; (iii) the multivariate trend and the univariate trend constructed using core measures of inflation forecast average inflation over the 1-3 year horizon more accurately than a variety of other benchmark inflation measures, although there is considerable sampling uncertainty in these forecast comparisons. |
| JEL: | E31 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21282&r=cba |
| By: | Ghosh, Saibal; Kumar, Rakesh |
| Abstract: | The paper utilizes state-level data on household dependence on informal finance for an extended time span to examine whether it is impacted by a monetary contraction. The analysis suggests a substitution effect such that borrowing from moneylenders declines, whereas landlords and relatives turn out to be the preferred financing choices. In addition, the evidence also supports a hierarchy among these preferred financing choices. This suggests that monetary policy needs to take on board its impact on the hitherto neglected informal sector. |
| Keywords: | informal finance; monetary policy; India |
| JEL: | E52 O17 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65243&r=cba |
| By: | Silke Tober |
| Abstract: | Two recent proposals for overcoming the euro area crisis make the case for monetary financing of the public sector. Watt (2015) proposes that the ECB finances public investment directly, Pâris and Wyplosz (2014) contend that public debt may be effectively restructured by burying parts of it in the balance sheet of the Eurosystem. Both proposals place the ECB at the center of matters generally considered to be fiscal in order to circumvent existing fiscal and political constraints. This paper argues that neither monetary debt retirement nor monetary financing of EU investment are a free lunch. Both proposals fudge the line between monetary and fiscal policy thereby ignoring valid reasons for separating these two macroeconomic policy areas. All monetary policy measures impact on government finances; whether monetary policy actions cross the fiscal policy line, however, depends primarily on the underlying motivation of the action. In the case of the two proposals the motivation is unambiguously fiscal. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:imk:wpaper:152-2015&r=cba |
| By: | Stergios Skaperdas (Department of Economics, University of California-Irvine University) |
| Abstract: | The long-running Greek public debt crisis has been accompanied by an information war that has obscured what has occurred. The misconceptions, self- deceptions, and myths associated with the crisis have been at least partly responsible for the obviously inadequate response to the crisis and for the damage to the economies and societies of primarily Greece but also of other Eurozone countries. I argue against seven such myths about the effects of default, the primary cause of the crisis, the likely effects of an exit from the eurozone, the bargaining power of the Greek government in its negotiations with the EU/ECB/IMF troika, and others. I also discuss the context of the wider slippage of democracy in the European Union and future prospects. |
| Keywords: | Eurozone; Greece; Debt; Default |
| JEL: | D70 E50 H50 H60 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:irv:wpaper:141511&r=cba |
| By: | Rangan Gupta (Department of Economics, University of Pretoria); Alessia Paccagnini (Department of Economics, Università degli Studi Milano - Bicocca); Charles Rahal (Department of Economics, University of Birmingham) |
| Abstract: | We propose a comparison between a group of nested and non-nested atheoretical and theoretical models in forecasting the inflation rate for South Africa, an inflation-targeting country. In a pseudo real-time environment, our results show that for shorter horizons, the atheoretical models, such as Vector Error Correction Models, with and without factors, perform better, while for longer horizons, theoretical (DSGE based) models outperform their competitors. |
| Keywords: | Inflation, South Africa, Structural, Atheoretical, Factors, DSGE |
| JEL: | C11 C32 C52 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201547&r=cba |
| By: | Agnès Bénassy-Quéré (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics, CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS) |
| Abstract: | The euro, in spite of having many of the required attributes put forward by the theoretical literature and past experience, has failed to fulfill all the criteria that would enable it to rival the dollar as an international currency. This does not mean that the euro cannot achieve a status similar to that of the dollar; however, the window of opportunity may not last much more than a decade before the renminbi overtakes the euro. European monetary unification has never explicitly sought for its currency to gain an international status. This makes sense insofar as the key elements required for the euro to expand internationally are also those to be pursued internally: GDP growth; a fiscal backing to the single currency; a deep, liquid and resilient capital market; and a unified external representation of the euro area. |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-01163926&r=cba |
| By: | Naveen Srinivasan (Madras School of Economics); Vidya Mahambare (Great Lakes Institute of Management, Chennai); M. Ramachandran (Professor, Department of Economics, Pondicherry University) |
| Abstract: | The build up of international reserves by many Asian countries over the last decade or so has attracted widespread interest and debate. This paper seeks to make a contribution to this discussion from the point of view of India. The empirical results are designed to identify the extent to which the accumulation of reserves in India has been driven by two motives which are commonly identified with respect to the recent accumulation of reserves by the Asian EMEs, namely a demand to have insurance against external shocks and a demand to have a high level of export competitiveness, so as to have export-led growth. Our results provide evidence in support of both the motives in explaining India’s international reserves accumulation strategy, although, their relative importance does seem to vary overtime depending on external factors. This in turn offers some helpful insights into the causes and likely future path of the global imbalances. |
| Keywords: | Reserve accretion; Capital controls; Exports competitiveness |
| JEL: | E58 F31 F32 |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:mad:wpaper:2015-103&r=cba |