New Economics Papers
on Financial Markets
Issue of 2012‒06‒13
four papers chosen by

  1. Basel I, II, III – we want it all at once By Cousin, Violaine
  2. The Financial Crisis and the Changing Dynamics of the Yield Curve By Morten L. Bech; Yvan Lengwiler
  3. The U.S.-Dollar Supranational Zero-Coupon Curve By Francisco Rivadeneyra
  4. Financial Mergers and Their Consequences By Scherer, F. M.

  1. By: Cousin, Violaine
    Abstract: The complexity of Basel II and III has reached China as well. In a revolutionary turn within seven years, the Chinese bank regulator has introduced capital adequacy as the tool of choice for supervision and ensured that banks in the process remain focused on implementing all the bits of the internationally developed Basel Accords. Will it make Chinese banks really more resilient?
    Keywords: bank; regulation; Basel II and III; China
    JEL: G38 G28
    Date: 2012–05–19
  2. By: Morten L. Bech; Yvan Lengwiler (University of Basel)
    Keywords: term structure of interest rates, financial crisis, interest rate dynamics, LSAP, unconventional monetary policy
    JEL: E43 E52
    Date: 2012
  3. By: Francisco Rivadeneyra
    Abstract: The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a cross-section of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show the expected pattern of interest rates over the U.S. business cycle. The author computes the spreads relative to the U.S. Treasury zero-coupon yields data of Gürkaynak, Sack and Wright (2007). The average spread for this period is equal to 44 basis points; it increases during recessions and narrows during expansions. Also, the slope of the term structure of spreads shows a countercyclical pattern.
    Keywords: Financial markets; Asset pricing
    JEL: G12 G15
    Date: 2012
  4. By: Scherer, F. M. (Harvard University)
    Abstract: This paper, written for a Columbia Law School - American Bar Association conference, analyzes the massive merger wave that has led to substantially increased concentration of banking activity in the United States. One consequence is the rise of banks "too big to fail." The structural changes have also been associated with a striking increase in financial institutions' share of all U.S. corporate profits along with employee compensation out of line with norms for individuals of comparable ability. Data on concentration in well-defined banking markets are quite scarce, but fragmentary evidence suggests appreciable monopoly pricing power potential in some product markets. Mergers that lead to concentration have for decades been the focus of antitrust activity. But a review of the record shows an emphasis on mergers that raise local banking market concentration and nearly total neglect of other important lines, on which data are lacking. If antitrust actions were to be taken against the concentration of power in those lines, offsetting advantages in the form of realized scale economies would have to be weighed. A review of the most recent evidence suggests that difficult tradeoffs might be confronted.
    Date: 2012–05

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