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Journal of Financial Stability

Volume 51 December 2020

一、目录

[1]. Watch out for bailout: TARP and bank earnings management

Yaoyao Fan，Yichu Huang，Yuxiang Jiang，Frank HongLiu

[2]. A zero-risk weight channel of sovereign risk spillovers

Karolin Kirschenmann, Josef Korte, Sascha Steffen

[3]. Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies

Krzysztof Jackowicz, Łukasz Kozłowski, Błażej Podgórski, Tadeusz Winkler-Drews

[4] . Policy uncertainty and bank stress testing

Paul H.Kupiec

[5]. The contribution of shadow insurance to systemic risk

Soon Heng Leong, Carlo Bellavite Pellegrini, Giovanni Urga

[6]. Labor unions and bank risk culture: evidence from the financial crisis

Dien Giau Bui, Yan-Shing Chen, Hsing-Hua Hsu, Chih-Yung Lin

[7]. Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area

Hannes Böhm, Stefan Eichler

[8]. A cautionary tale of two extremes: The provision of government liquidity support in the banking sector

Christina Bui, Harald Scheule, Eliza Wu

[9]. Environmental regulation and the cost of bank loans: International evidence

Amirhossein Fard, Siamak Javadi, Incheol Kim

[10]. Financial stability with sovereign debt

Ryuichiro Izumi

[11]. Supply chain hierarchical position and firms’ information quality

Xuelian Bai, Ruirui Fang, Elaine Henry, Nan Hu

[12]. Does low synchronicity mean more or less informative prices? Evidence from an emerging market

Mingsheng Li, Desheng Liu, Hongfeng Peng, Luxiu Zhang

二、题目、作者、作者单位、关键词

Watch out for bailout: TARP and bank earnings management

Yaoyao Fan

International Business School Suzhou, Xi’an Jiaotong-Liverpool University, China

Yichu Huang

School of Business, University of Aberdeen, UK

Yuxiang Jiang

Research Division, Galaxy Asset Management, China

Business School, East China University of Science and Technology, China

Frank HongLiu

School of Business and Economics, Loughborough University, UK

Abstract：We study the impact of the recent government bailout, called Trouble Asset Relief Program (TARP), on bank accounting quality. By adopting a difference-in-difference (DID) method, we find a significantly positive impact of TARP on earnings management of recipient banks, compared with their non-recipient peers. Further, we observe that TARP-recipient banks engage more in earnings-decreasing manipulation rather than earnings-increasing manipulation. This behavior is more obvious for those banks that voluntarily request for TARP funds. Also, participant banks change their accounting strategy to manipulate earnings upwards after TARP funds are paid back. Our findings confirm our hypothesis that TARP-recipient banks are motivated to manipulate downwards (or hide some earnings) to obtain further favorable treatment by the program administrators.

Keywords：Government bailout; TARP; Bank earnings management

A zero-risk weight channel of sovereign risk spillovers

Karolin Kirschenmann

Leibniz Centre for European Economic Research (ZEW), L7, 1, 68161 Mannheim, Germany

Josef Korte

Goethe University Frankfurt, Faculty of Economics and Business Administration, Grueneburgplatz 1, 60323 Frankfurt am Main, Germany

Sascha Steffen

Frankfurt School of Finance & Management, Adickesallee 32-34, 60322 Frankfurt, Germany

Abstract：European banks are exposed to a substantial amount of risky sovereign debt. “Missing capital” in the banking system resulting from the zero-risk weight exemption for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border crisis spillovers. Risks spill over from risky peripheral sovereigns to safer core countries, but not in the opposite direction nor for exposures to countries not exempted from risk-weighting. Unfunded non-domestic sovereign bond exposures primarily affect CDS spreads of non-GIIPS banks, while domestic sovereign-to-bank linkages are particularly important for GIIPS banks. Spillovers are attenuated when banks fund their sovereign bond exposures with capital.

Keywords：Sovereign debt; Sovereign risk; Bank risk; CDS; Contagion; Zero risk weight; Basel III; CRD; EBA capital exercise

Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies

Krzysztof Jackowicz

Department of Banking, Insurance and Risk, Kozminski University, Poland, Jagiellonska 59, 03-301 Warsaw, Poland

Łukasz Kozłowski

Department of Banking, Insurance and Risk, Kozminski University, Poland, Jagiellonska 59, 03-301 Warsaw, Poland

Błażej Podgórski

Department of Finance, Kozminski University, Poland, Jagiellonska 59, 03-301 Warsaw, Poland

Tadeusz Winkler-Drews

Department of Banking, Insurance and Risk, Kozminski University, Poland, Jagiellonska 59, 03-301 Warsaw, Poland

Abstract：In this study, we examine whether political connections affect market reactions to rating changes. Using a new and comprehensive dataset on ten advanced emerging markets, we find that political connections attenuate negative reactions linked to rating downgrades. This effect is shaped by political ties involving influential politicians and concerns all sample firms and a subsample of nonfinancial companies. Moreover, we establish that state-owned companies or companies with significant state ownership do not benefit from the mitigation effect of political connections.

Keywords：Shielding potential of political connections; Market reactions; Rating changes

Policy uncertainty and bank stress testing

Paul H.Kupiec

Resident Scholar, American Enterprise Institute, 1789 Massachusetts Avenue, NW, Washington, DC 20036, United States

Abstract：The accuracy of dynamic stress-test capital models remains undocumented. Three methodologies: a CLASS-style approach, Bayesian model averaging, and a Lasso specification are used to forecast the performance of 14 large US banks during the financial crisis. Individual bank models are calibrated using bank historical data while regulatory models are calibrated using representative bank data. Representative bank model forecasts differ dramatically from the forecasts from bank-specific models and from actual outcomes. The Lasso methodology is most accurate, but its superiority may be sample-specific and is only apparent ex post. The results highlight the policy uncertainty inherent in regulatory stress tests.

Keywords：Bank stress test model accuracy

The contribution of shadow insurance to systemic risk

Soon Heng Leong

Centre for Econometric Analysis, Faculty of Finance, Cass Business School, City University of London, UK

Carlo Bellavite Pellegrini

Department of Economic Policy, and Research Centre of Applied Economics, Catholic University, Italy

Giovanni Urga

Centre for Econometric Analysis, Faculty of Finance, Cass Business School, City University of London, UK

Department of Management, Economics and Quantitative Methods, University of Bergamo, Italy

Abstract：Shadow insurance is a regulatory loophole exploited by certain insurance groups to increase risk exposure, potentially destabilising the financial system. In this paper, we evaluate the contribution of shadow insurance to systemic risk of the global financial sector using a sample of 215 international insurance entities covering the 2004–2017 period. We detect shadow insurance by examining every reinsurance agreement on the Schedule S filings. Using both and measures, we find that the practice of shadow insurance is a significant driver of global systemic risk.

Keywords：Financial stability; Interconnectedness; Shadow banking activity; Size

Labor unions and bank risk culture: evidence from the financial crisis

Dien Giau Bui

College of Management, Yuan Ze University, Taoyuan, Taiwan

Yan-Shing Chen

Department of Finance, National Taiwan University, Taipei City, Taiwan

Hsing-Hua Hsu

Institute of Banking and Money, Nanjing Audit University, Nanjing, People’s Republic of China

Chih-Yung Lin

Department of Information Management and Finance, National Chiao-Tung University, Hsinchu City, Taiwan

Abstract：In this paper, we examine the effect of labor unions on bank performance during the recent financial crisis. Empirical evidence from the 314 largest global banks indicates that the stock returns and profitability of unionized banks are higher, and the default probabilities are lower than non-unionized banks. Moreover, unionized banks have lower tail risk in their stock returns, more tangible equity, more liquid assets, and better quality lending before the crisis than non-unionized banks. These finding show that unionized banks operate more conservatively and engage in less risk-taking. Our results imply that union preferences can shape the risk culture of banks.

Keywords：Financial crisis; Labor unions; Stock returns; Default probability; Risk-taking

Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area

Hannes Böhm

Halle Institute for Economic Research (IWH), TU Dresden, Germany

Stefan Eichler

Halle Institute for Economic Research (IWH), TU Dresden, Germany

Abstract：While the sovereign-bank loop literature has demonstrated the amplification between sovereign and bank risks in the Euro Area, its econometric identification is vulnerable to reverse causality and omitted variable biases. We address the loop's endogenous nature and isolate the direct bank-to-sovereign distress channel by exploiting the global, non-Eurozone related variation in banks’ stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone countries and take further precautions to remove Eurozone-related variation. We find that the transmission of instrumented bank distress to sovereign distress is around 50% smaller than the corresponding coefficient in the unadjusted OLS framework, confirming concerns on endogeneity. Despite the smaller relative magnitude, increasing instrumented bank distress is found to be an economically and statistically significant cause for rising sovereign fragility in the Eurozone.

Keywords：Sovereign-bank loop; Bank distress; Instrumental variable estimation; Bank exposures

A cautionary tale of two extremes: The provision of government liquidity support in the banking sector

Christina Bui

UTS Business School, The University of Technology Sydney, Ultimo NSW 2007, Australia

Harald Scheule

UTS Business School, The University of Technology Sydney, Ultimo NSW 2007, Australia

Eliza Wu

Discipline of Finance, University of Sydney Business School, University of Sydney, NSW 2006, Australia

Abstract：Using U.S. bank holding company data, we study the impact of the crisis liquidity programs initiated by the U.S. Federal Reserve on bank-specific information production. We find empirical evidence that following the receipt of liquidity support there was a pervasive decrease in bank stock price informativeness that increased market synchronicity and crash risk. Our findings further suggest that these effects are mainly driven by bank participation in the Discount Window (DW) and Term Auction Facility (TAF) programs. On the bright side, we confirm that the liquidity programs served their purpose in targeting and supporting illiquid banks with low core stable funding sources through the crisis.

Keywords：Bank crash risk; Crisis liquidity programs; Bank liquidity; Market discipline; Stock return synchronicity

Environmental regulation and the cost of bank loans: International evidence

Amirhossein Fard

Department of Business and Economics, Texas Lutheran University, 1000 W Court St. Seguin, TX, 78155, United States

Siamak Javadi

Department of Economics and Finance, Robert C. Vackar College of Business & Entrepreneurship, University of Texas Rio Grande Valley, United States

Incheol Kim

Department of Economics and Finance, Robert C. Vackar College of Business & Entrepreneurship, University of Texas Rio Grande Valley, United States

Abstract：Using a sample of 27 countries between 1990 and 2014, we find that banks charge higher interest rates and adjust other contractual features of their loans when lending to firms facing more stringent environmental regulations. Our evidence suggests that lenders’ concerns about the increase in environmental liabilities resulting from regulations is driving the results. Specifically, we show that firms facing such regulations have fewer participants in their loan syndicates, higher bankruptcy risk, and lower credit ratings, despite reducing their leverage. Overall, our results indicate that the observed higher loan spread is the result of environmentally sensitive lending practices by banks.

Keywords：Environmental regulations; Business risk; Bank loan contracting

Financial stability with sovereign debt

Ryuichiro Izumi

Department of Economics, Wesleyan University, Middletown, CT, USA

Abstract：Are government guarantees or financial regulation a more effective way to prevent banking crises? I study this question in the presence of a negative feedback loop between the fiscal position of the government and the health of the banking sector. I construct a model of financial intermediation in which the government issues, and may default on, debt. Banks hold some of this debt, which ties their health to that of the government. The government's tax revenue, in turn, depends on the quantity of investment that banks are able to finance. I compare the effectiveness of government guarantees, liquidity regulation, and a combination of these policies in preventing self-fulfilling bank runs. In some cases, a combination of the two policies is needed to prevent a run. In other cases, liquidity regulation alone is effective and adding guarantees would make the financial system fragile.

Keywords：Bank runs; Sovereign default; Feedback loop; Government guarantees; Liquidity regulation

Supply chain hierarchical position and firms’ information quality

Xuelian Bai

School of Accounting, Capital University of Economics and Business, 121 Zhangjialukou, Huaxiang, Beijing, 100070, PR China

Ruirui Fang

School of Management, Xi’an Jiaotong University, 28 Xianning W Rd, Xi'an, Shaanxi, 710049, PR China

Elaine Henry

School of Business, Stevens Institute of Technology, 1 Castle Point Terrace, Hoboken, NJ, 07030, United States

Nan Hu

School of Management, Xi’an Jiaotong University, 28 Xianning W Rd, Xi'an, Shaanxi, 710049, PR China

Abstract：This study examines the relation between a firm’s supply chain hierarchical position and its information quality. We predict that firms located in a more upstream position within the supply chain network are exposed to greater demand variance, thereby leading to decreased quality of reported earnings and greater uncertainty in the public information available to investors. Consistent with this prediction, we find that firm’s vertical position in the supply chain network is negatively associated with its information quality (i.e., poorer earnings quality and higher stock return synchronicity). Our results are robust to the matched sample analysis, residual analysis, and alternative measures of information quality. We further show that the positive relation between firm’s hierarchical position and stock return synchronicity is more pronounced for firms facing higher information asymmetry. Overall, our findings suggest that a more upstream position in the supply chain network entails not only operational costs associated with amplified demand uncertainty but also costs related to the quality of reported information on which capital providers and other stakeholders rely.

Keywords：Supply chain hierarchy; Bullwhip effect; Demand uncertainty; Earnings quality; Stock return synchronicity

Does low synchronicity mean more or less informative prices? Evidence from an emerging market

Mingsheng Li

Bowling Green State University, Bowling Green, OH 43403, United States

Desheng Liu

Qilu University of Technology (Shandong Academy of Sciences), Jinan 250353, China Hongfeng Peng

Shandong University of Finance and Economics, Jinan 250014, China

Luxiu Zhang

University of Jinan, Jinan 250002, China

Abstract：We investigate a controversial and hotly debated issue of whether low stock return synchronicity (SRS) means more or less informative stock prices using three exogenous events: an anti-corruption campaign launched by the Chinese Government, a stock market crash in China, and firms’ public exposure of fraud. Investigating the changes in SRS associated with these events helps mitigate endogenous issues since these events have distinctive relationships with companies’ stock price informativeness. Our results show that firms’ SRS declines significantly after the anti-corruption campaign aiming to improve corporate governance and after firms’ public exposure of fraud. The SRS is substantially higher during and after the stock market crises. Firms located in more developed regions have lower SRS than those in less developed regions. These results consistently indicate an inverse relationship between the SRS and stock price informativeness.

Keywords：Stock return synchronicity; Stock price informativeness; Chinese markets;

会计前沿期刊跟踪栏目

跟踪人：赵青元北京工商大学

完成时间：2020年12月2日

编辑人员：孟丹河北工业大学

完成时间：2020年12月17日

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