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期刊跟踪：赵青元北京工商大学研究生
推文编辑：栏目助理-黄子璇吕梁学院本科生

Journal of Financial Stability

Volume 53 April 2021

跟踪：赵青元北京工商大学编辑：黄子璇吕梁学院

The Journal of Financial Stability （SSCI）provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.

CATALOGUE

[1]. Cross-border effects of prudential regulation: Evidence from the euro area.

[2]. The SKEW index: Extracting what has been left.

[3]. Stock exchange consolidation and cross-border investment: An empirical assessment.

[4]. Consumer defaults and social capital.

[5]. Insider pledging in the U.S.

[6]. CoMap: Mapping Contagion in the Euro Area Banking Sector.

[7]. The impact of organization capital on firm innovation.

[8]. Macroprudential policy and its impact on the credit cycle.

[9]. Inflation targeting and financial conditions: UK monetary policy during the great moderation and financial crisis.

[10]. Fintech: what’s old, what’s new?

[11]. Does political influence distort banking regulation? Evidence from the US.

[12]. The impact of the coronavirus crisis on the market price of risk.

[13]. How economic policy uncertainty affects the cost of raising equity capital: Evidence from seasoned equity offerings.

[14]. Financing firms in hibernation during the COVID-19 pandemic.

[15]. Lending pro-cyclicality and macroprudential policy: Evidence from Japanese LTV ratios.

本期摘要与关键词

ABSTRACT

1.Cross-border effects of prudential regulation: Evidence from the euro area

Fabio Franch

European Central Bank, Germany

Luca Nocciola

European Central Bank, Germany

Dawid Żochowski

European Central Bank, Germany

Abstract：Using the Prudential Instruments Database (Cerutti et al., 2017b) and a unique confidential database on balance sheet items of euro area financial institutions, we analyse cross-border spillovers from prudential regulation for 248 banks from 16 euro-area countries over the period 2007Q3–2014Q4. We find that foreign branches increase lending following the tightening of sector-specific capital buffers, loan-to-value (LTV) limits or reserve requirements on deposits in local currencies in the countries where their parent banks reside. We also find that cross-border spillovers through lending of branches are stronger than through subsidiaries, possibly because it is easier for branches to reallocate lending across different jurisdictions, as they do not need to meet prudential requirements at a solo level. Finally, we find that also euro-area domestic banks increase lending, in particular to the real sector, when LTV limits are tightened abroad.

Keywords：Prudential policy; Cross-border spillovers; International banking

2.The SKEW index: Extracting what has been left

Mattia Bevilacqua

Systemic Risk Centre, London School of Economics, Houghton Street, WC2A 2AE London, United Kingdom

Radu Tunaru

University of Sussex Business School, Jubilee, BN1 9SN Brighton, United Kingdom

Abstract：This study disentangles a measure of implied skewness that is related to downward movements in the U.S. equity index from the corresponding implied skewness that is associated with upward movements. A positive SKEW index is constructed from S&P 500 call options, whereas a negative SKEW index is constructed from the S&P 500 put options. We show that the positive SKEW is linked to market sentiment, whereas the negative SKEW is related to existing tail risk measures. The negative SKEW is proposed as a more objective prudent tail risk measure, and it is found to be able to predict recessions, market downturns, and uncertainty indicators up to one year in advance. The predictive power of the negative SKEW is also confirmed when we control for other tail risk measures and also out-of-sample.

Keywords：Implied skewness; Tail risk; Market downturns; Market sentiment; Financial stability

3.Stock exchange consolidation and cross-border investment: An empirical assessment

Maela Giofré

Department of Economics and Statistics “Cognetti de Martiis”, University of Turin, Lungo Dora Siena 100, 10153 Torino, Italy

Abstract：This paper investigates the effects of stock exchange consolidation on foreign portfolio holdings. Sharing a common stock exchange platform enhances cross-border investments, and the consolidation effect is particularly pronounced among member countries that are smaller in size and closer in geographical, cultural and economic terms. These findings survive different econometric specifications and outlier treatments. After accounting for endogeneity of the consolidation process, the effect of exchange consolidation on cross-border investment is confirmed.

Keywords: Stock exchange consolidation; International Portfolio Investments; Stock market information

4.Consumer defaults and social capital

Brian Clark

Rensselaer Polytechnic Institute, 110 8th Street, Troy, NY 12180, United States

Iftekhar Hasan

Schools of Business, Fordham University, 1790 Broadway, 11th Floor, New York, NY 10019, United States

Helen Lai

Office of Credit Risk Management, Office of Capital Access, U.S. Small Business Administration, 409 3rd St SW, Washington, DC 20416, United States

Feng Li

Office of the Comptroller of the Currency, Economics Department, Enterprise Risk Analysis Division, 400 7th St SW, Washington, DC 20219, United States

Akhtar Siddique

Office of the Comptroller of the Currency, Economics Department, Enterprise Risk Analysis Division, 400 7th St SW, Washington, DC 20219, United States

Abstract：Using account level data from a credit bureau, we study the role that social capital plays in consumer default decisions. We find that borrowers in communities with greater social capital are significantly less likely to default on loans, even after adjusting for different levels of income and other characteristics such as credit scores. The results are strongest for potentially strategic defaults on mortgages; a one standard deviation increase in social capital reduces such defaults by 12.4 %. These results can be generalized to any mortgage default. Our results also indicate that the effect of social capital is most prominent among more creditworthy borrowers, suggesting that when given a choice, the social cost of defaulting is an important factor affecting default decisions. We find a similar impact of social capital on consumer defaults in other datasets with more detailed information on borrowers as well. Our results are robust to modeling and methodology choices, as well as controlling for other drivers of default such as wealth, income and amenities from homeownership. Our results suggest that increasing social capital via measures to build community cohesion such as promotion of owner-occupied home ownership may be one avenue to deter consumer default.

Keywords：Cultural economics; Financial economics; Financial institutions; Consumer behavior; Social capital

5.Insider pledging in the U.S.

Yinjie (Victor) Shen

Cleveland State University, 2121 Euclid Ave, Cleveland, OH 44115, United States

Wei Wang

Cleveland State University, 2121 Euclid Ave, Cleveland, OH 44115, United States

Fuzhao Zhou

The College at Brockport, State University of New York, 350 New Campus Dr, Brockport, NY 14420, United States

Abstract：Utilizing a hand-collected comprehensive dataset covering U.S. public traded firms from 2006 to 2014, we present descriptive evidence regarding insider pledging behavior in the U.S. and study its determinants. We find an insider’s propensity to pledge company stock is positively associated with her risk exposure and pledgeability of company stock, and negatively with the company’s corporate governance quality. These findings suggest that risk-averse corporate insiders pledge to hedge. Further, we find ISS’s denouncement of pledging in 2012 reduces insider pledging.

Keywords：Stock pledging; Insiders; Hedging; Determinants

6.CoMap: Mapping Contagion in the Euro Area Banking Sector

Giovanni Covi

Bank of England, Financial Stability Strategy and Risk Directorate, Stress Test Division, London, United Kingdom

Mehmet Ziya Gorpe

International Monetary Fund, Monetary and Capital Markets Department, Washington DC, United States

Christoffer Kok

European Central Bank, Macroprudential Policy and Financial Stability Directorate, Stress Test Modelling Division, Frankfurt am Main, Germany

Abstract：This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper, for the first time, documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology to study contagion potential of an exogenous default shock via counterparty credit and funding risks. We construct contagion and vulnerability indices measuring respectively the systemic importance of banks and their degree of fragility. Decomposing the results into the respective contributions of credit and funding shocks provides insights to the nature of contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We empirically confirm that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Keywords：Systemic Risk; Network Analysis; Interconnectedness; Large Exposures; Stress Test; Macroprudential Policy

7.The impact of organization capital on firm innovation

Bill Francis

Lally School of Management, Rensselaer Polytechnic Institute, Troy, NY 12180, United States

Suresh Babu Mani

Bank of America, 100 N Tryon St STE 170, Charlotte, NC 28202, United States

Zenu Sharma

The Peter J. Tobin College of Business, St John’s University, 8000 Utopia Parkway, Queens, NY 11439, United States

Qiang Wu

School of Accounting and Finance, The Hong Kong Polytechnic University, 11 Yuk Choi Rd, Hung Hom, Hong Kong

Abstract : We show that firms’ organization capital has a positive and economically important impact on innovation. Specifically, we find that firms with more organization capital have greater number of patents and receive more citations on their patents. The results are robust to alternative measures of organization capital and innovation, and endogeneity concerns. We also find that the ability to handle inherent difficulties associated with the innovation process and the reduction in managerial career concern threats are possible mechanisms through which organization capital affects firm innovation positively. These results provide strong evidence of the importance of a firm’s organization capital in their innovation process.

Keywords : Organization capital; Innovation; Patents; Citations

8.Macroprudential policy and its impact on the credit cycle

Selien De Schryder

Ghent University, Sint-Pietersplein 5, 9000 Ghent, Belgium

Frederic Opitz

Ghent University, Sint-Pietersplein 5, 9000 Ghent, Belgium

Abstract：We identify a novel set of macroprudential policy shocks and estimate their effects on credit cycle variables in a panel of 13 EU countries between 1999 and 2018. We find that a typical macroprudential policy tightening shock reduces bank credit-to-GDP by 2.4% points and household credit-to-GDP by 2.2% points over a period of four years. The non-financial corporations and total credit-to-GDP ratios, however, do not react significantly. Using state-dependent local projections, we further find that the effects on the credit-to-GDP ratios are stronger in credit cycle upturns than in downturns. We also detect a sizable leakage of firm credit from the banking to the non-banking sector next to a shift from household to firm credit.

Keywords：Macroprudential policy; Effectiveness; State dependency; Credit cycle

9.Inflation targeting and financial conditions: UK monetary policy during the great moderation and financial crisis

Sheng Zhu

The Asset Management Exchange (Ireland) Limited, Ireland

Ella Kavanagh

Cork University Business School, University College Cork, Ireland

Niall O’Sullivan

Cork University Business School and Centre for Investment Research, University College Cork, Ireland

Abstract：In this paper, we investigate the interest rate setting behaviour of the Bank of England (BoE) over the 16 year period covering both the Great Moderation and the 2008−9 Global Financial Crisis and Great Recession. We contribute to the literature by using the BoE’s own inflation projections in our estimations. Also, we develop a novel measure of the output gap to encapsulate the array of real variables that the Monetary Policy Committee of the BoE reviews. In order to assess the BoE’s responsiveness to financial markets, we estimate a new financial conditions index that covers a wide range of financial indicators that feature in the Inflation Report. Our study provides some new insights into the BoE’s monetary policy behaviour. We show that the BoE was concerned not only with price stability but also output, employment and financial conditions during the Great Moderation. In contrast to previous studies, we find that the BoE responds relatively less to financial conditions and relatively more to inflation projections when the 2008−9 Global Financial Crisis and Great Recession period is included.

Keywords：Monetary policy; Financial conditions; Economic activity index

10.Fintech: what’s old, what’s new?

Arnoud Boot

University of Amsterdam and CEPR, Netherlands

Peter Hoffmann

European Central Bank, Germany

Luc Laeven

European Central Bank and CEPR, Germany

Lev Ratnovski

European Central Bank, Germany

Abstract：We study the effects of technological change on financial intermediation, distinguishing between innovations in information (data collection and processing) and communication (relationships and distribution). Both follow historical trends towards an increased use of hard information and less in-person interaction, which are accelerating rapidly. We evaluate more recent innovations, such as the combination of data abundance and artificial intelligence, and the rise of digital platforms. We argue that the rise of new communication channels can lead to the vertical and horizontal disintegration of the traditional bank business model. Specialized providers of financial services can chip away activities that do not rely on access to balance sheets, while platforms can interject themselves between banks and customers. We discuss limitations to these challenges to the traditional bank business model, and the resulting policy implications.

Keywords：Financial intermediation; Financial innovation; Fintech; Information; Communication

11.Does political influence distort banking regulation? Evidence from the US

Panagiota Papadimitri

Portsmouth Business School, University of Portsmouth, Portsmouth, UK

Fotios Pasiouras

Montpellier Business School, Montpellier, France

Gioia Pescetto

Portsmouth Business School, University of Portsmouth, Portsmouth, UK

Ansgar Wohlschlegel

University of Swansea, UK

Abstract：This study examines the interplay between political influence and regulatory decision-making. Political influence is captured based on whether a bank is headquartered in a state where an elected official holds a chair position on a congressional committee related to the banking and financial services industry. Using data of US commercial banks over the period 2000–2015, we show that our measure of political influence reduces a bank's probability of receiving a formal regulatory enforcement action. Results are robust to the use of alternative model specifications and the sample restrictions. However, we find that various bank and environmental characteristics are important conditional factors.

Keywords：Political influence; Congressional committees; Banking supervision; Enforcement actions

12.The impact of the coronavirus crisis on the market price of risk

Manthos D.Delis

Montpellier Business School, France

Christos S.Savva

Department of Commerce, Finance and Shipping, Cyprus University of Technology, Cyprus

Panayiotis Theodossiou

Department of Commerce, Finance and Shipping, Cyprus University of Technology, Cyprus

Abstract：We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness on the market price of risk. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our model using the flexible skewed generalized error distribution, for which we derive the distribution of returns and the likelihood function. Using S&P 500 Index returns from January 1980 to mid-October 2020, our results show that the coronavirus crisis generated a deeply negative reaction in the skewness and total market price of risk, more negative even than the subprime and the October 1987 crises.

Keywords：Finance; Asset pricing; Risk and return; Skewness; Financial instability; Coronavirus crisis; Subprime crisis

13.How economic policy uncertainty affects the cost of raising equity capital: Evidence from seasoned equity offerings

Yue-Cheong Chan

School of Accounting and Finance, The Hong Kong Polytechnic University, Hong Hum, Kowloon, Hong Kong

Walid Saffar

School of Accounting and Finance, The Hong Kong Polytechnic University, Hong Hum, Kowloon, Hong Kong

K.C. John Wei

School of Accounting and Finance, The Hong Kong Polytechnic University, Hong Hum, Kowloon, Hong Kong

Abstract：Economic policy uncertainty (EPU) increases the cost of raising equity capital, especially when the economy is weak. A one standard deviation increase in the EPU index developed by Baker, Bloom, and Davis (2016) is associated with a 43 basis point increase in the price discount of seasoned equity offerings (SEOs) during the 2000−2014 period. The cross-sectional analysis shows that the EPU effect on SEO discounts is stronger for firms with greater dependence on government spending, less informative stock price, or a smaller EPU beta. Moreover, there are fewer SEO activities in periods when there is a high degree of policy uncertainty.

Keywords：Economic policy uncertainty; Seasoned equity offerings; SEO discounts

14.Financing firms in hibernation during the COVID-19 pandemic

Tatiana Didier

World Bank

Federico Huneeus

Yale University and Central Bank of Chile

Mauricio Larrain

School of Management, Pontificia Universidad Católica de Chile

Sergio L. Schmukler

World Bank, 1818 H St. NW, Washington, DC 20433

Abstract：The coronavirus (COVID-19) pandemic halted economic activity worldwide, hurting firms and pushing many of them toward bankruptcy. This paper discusses four central issues that have emerged in the academic and policy debates related to firm financing during the downturn. First, the economic crisis triggered by the pandemic is radically different from past crises, with important consequences for optimal policy responses. Second, it is important to preserve firms’ relationships with key stakeholders (e.g., workers, suppliers, customers, and creditors) to avoid inefficient bankruptcies and long-term detrimental economic effects. Third, firms can benefit from “hibernation,” incurring the minimum bare expenses necessary to withstand the pandemic while using credit to remain alive until the crisis subdues. Fourth, the existing legal and regulatory infrastructure is ill-equipped to deal with an exogenous systemic shock like a pandemic. Financial sector policies can help channel credit to firms, but they are hard to implement and entail different trade-offs.

Keywords：Cash crush; Coronavirus; Credit risk; Financial policies; Firm relationships

15.Lending pro-cyclicality and macroprudential policy: Evidence from Japanese LTV ratios

Arito Ono

Faculty of Commerce, Chuo University, 742-1 Higashinakano, Hachioji, Tokyo 192-0393, Japan

Hirofumi Uchida

Graduate School of Business Administration, Kobe University, 2-1 Rokkodai, Nada, Kobe 657-8510, Japan

Gregory F. Udell

Kelley School of Business, Indiana University, East 10th Street, Bloomington, 47405, IN, USA

Iichiro Uesugi

Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo 186-8603, Japan

Abstract：Using unique micro data compiled from the real estate registry in Japan, we examine more than 400,000 loan-to-value (LTV) business loan ratios to draw implications for caps on LTV ratios as a macroprudential policy measure. We find that the LTV ratio exhibits counter-cyclicality, behavior that would have severely impeded the efficacy of a simple LTV cap had it been imposed. We also find that borrowers obtaining high-LTV loans are more risky but grew faster than those with lower LTV loans, which implies that a simple fixed cap on LTV ratios might inhibit growing (albeit risky) firms from borrowing.

Keywords：LTV ratios; Pro-cyclicality; Macroprudential policy; Bubble

会计前沿跟踪栏目

期刊跟踪：赵青元北京工商大学研究生

推文编辑：栏目助理-黄子璇吕梁学院本科生

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