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Mitchell, Tanisha Raeann. "The financial crisis and banking sector stability : the case of USA and the Euro Zone." Thesis, University of Leicester, 2017. http://hdl.handle.net/2381/39877.
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The recent financial crisis continues to draw attention in the literature given its deep impact. This dissertation investigates three main areas associated with the crisis. Firstly it focuses on bank default prediction models asking whether structural or accounting models can better predict default. In the second instance we investigate the credit rating agencies culpability in the financial crisis by attempting to trace the transmission from sovereign debt ratings to bank credit ratings, an area that is sparse in the literature. Finally we investigate the classification of bank ratings using four statistical techniques altering the independent variables with financial variables and principal components to assess which statistical method and technique is better able to classify ratings. In the first instance the analysis compares accounting and structural default prediction models using a logit analysis to predict default. The paper uses panel data on US banks from the Federal Deposit Insurance Corporation database between 1993-2015 and the analysis is developed on 536 defaulted bank years and 25,614 non-defaulted bank years. The dissertation goes on to evaluate the impact of sovereign credit ratings on the ratings assigned to banks. Using data on Euro zone countries by credit rating agencies Moody's, Standard and Poor's and Fitch between 2003-2013, I find that multiple notch sovereign downgrades do influence bank downgrades particularly in the crisis period. The study suggests that while a bank's financial fundamentals do play an important role in rating assignments the rating change of the sovereign provides stimulus for the amount of notches the bank is downgraded by. In the final chapter the empirical results suggest that the multiple discriminant analysis statistical model is the better classifier of bank credit ratings for all three rating agencies.
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Gallagher, Emily A. "Money market funds, shareholder behavior, and financial stability." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010028.
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Fonds du marché monétaire, comportement des actionnaires et stabilité financièreIn the five business days following the default of Lehman Brothers in September 2008, U.S. prime money market funds (MMFs) experienced outflows totaling over 300 billion of dollars, representing 15% of their total assets. In order to generate cash to service outflows, some MMFs sold assets and stopped rolling their investments. Many have argued that these outflows exacerbated the financial crisis by contributing to a freezing of commercial paper markets. In 2010, in an effort to improve the resiliency of MMFs to withstand severe market stresses, the Securities and Exchange Commission (SEC) adopted a number of substantial reforms. Since 2010, many regulators have called for further reforms of MMFs, citing the eurozone crisis of 2011 as evidence that MMFs remain a financial stability concern. Over June, July and August 2011, MMFs experienced outflows of 162 billion of dollars, representing 10% of their total assets. Some contend that the size and timing of these outflows indicate that MMF investors continue to react to, and perhaps exacerbate, stresses in the financial markets. According to this view, yield sensitive investors incent MMFs to take risk through foreign bank investments and then cut and run once those risks escalate, resulting in a sudden loss of funding available to credit-worthy U.S. firms. Using the eurozone crisis of 2011 as an acid test, this thesis evaluates the validity of this narrative and, more broadly, the stability of U.S. MMFs after the 2008 financial crisis and resulting reforms. (...)
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Carias, Flores Marcos. "Challenges for Macroprudential Policy in the Euro Area : Cross-Border Spillovers and Governance Issues." Thesis, Bordeaux, 2019. http://www.theses.fr/2019BORD0067.
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Considérant les fragilités d’une union monétaire hétérogène, ainsi que l’incapacité de la politique monétaire unique pour stabiliser les cycles financiers nationaux, des nouveaux outils pour sauvegarder la stabilité financière sont de rigueur dans l’Union Economique et Monétaire (UEM). En réponse à la crise financière, les économies avancées ont fortifié la boite à outils avec l’approche macroprudentielle à la réglementation prudentielle ; à savoir la pratique de se servir des instruments prudentiel dans le but de protéger la santé du système financier dans sa globalité et l’économie réelle, et plus seulement la santé des banques individuellement. La politique macroprudentielle porte sur ses épaules la responsabilité de maîtriser le risque systémique dans l’Union, mais les hétérogénéités nationales qui la caractérisent entraînent des redoutables défis. Cette thèse a comme but d’enrichir le débat en examinant comment les hétérogénéités macrofinancières et institutionnelles peuvent conditionner la conduite des politiques macroprudentielles. Il s’agit d’un sujet souvent abordé dans la littérature macroéconomique d’après-crise, mais la réflexion est souvent fondée sur des prémisses ne prenant pas compte des complexités inhérentes aux concepts fondamentaux, tels que la stabilité financière elle-même. Plutôt que construire des modèles davantage sophistiqués visant à incorporer toutes les dimensions du phénomène, il est possible d’améliorer l’exercice de modélisation en portant en réévaluant les bases conceptuelles. Pour cette raison, le premier chapitre est dévoué à un survol critique de la littérature dans lequel on identifie plusieurs points de tension souvent ignorés, puis on les interprète dans le contexte de l’UEM. Sur la base des enseignements du chapitre I, le chapitre II aborde la question de s’il est souhaitable que les régulateurs se soucient de stabiliser le cycle financier national en présence d’effets de report transfrontaliers, tel que dans le régime en vigueur. Dans ce but, on se sert d’un modèle statique Néo-Keynésien à deux pays où l’utilisation du coussin de fonds propres contracyclique dans le cœur nuit à la stabilité financière de la périphérie via le marché interbancaire. En comparant une règle de stabilisation nationale à un régime où le régulateur du cœur internalise les effets de report, on cible des scénarios où le statu quo se révèle sous-optimal. Finalement, le chapitre III s’intéresse aux importantes divergences institutionnelles qui existent entre les régulateurs nationaux. En examinant l’information officielle, ainsi que les évaluations du FMI et du FSB, on documente les différences qualitatives dans le cadre de gouvernance à travers six axes : mécanismes de coordination, complétude des instruments, indépendance, fluidité du processus de décision, force du mandat légal, degré de transparence et recours à la communication. Sachant que les caractéristiques institutionnelles affectent la vitesse de réaction, on propose un index synthétique comparatif pour capturer quantitativement comment ces divergences institutionnelles sont susceptibles d’influencer le biais à l’inaction. On trouve que les pays sont inégalement protégés contre le biais d’inaction, mais qu’il existe différentes approches possibles pour créer des cadres de gouvernance résilientsGiven the fragilities of a heterogenous monetary union and the inability of the single monetary policy to lean against the wind of national financial cycles, new policies to defend financial stability in the European Monetary Union (EMU) are of the upmost importance. In response global financial crisis, advanced economies have supplemented their policy arsenal with a macroprudential approach to financial regulation, the practice of using prudential regulation to protect the health of the financial system and the economy as a whole, rather than just the health of individual institutions. Policymakers have unambiguously placed the task of containing systemic financial risk on the shoulders of macroprudential policy, but the national heterogeneities that characterize the Euro area pose significant challenges. The purpose of this thesis dissertation is to enrich the debate surrounding Euro area macroprudential policy by exploring how macrofinancial and institutional heterogeneity can condition its proper conduct. Macroprudential policy is a popular subject in post-crisis macroeconomics, but analysis is often built on premises that fail to acknowledge the complexities inherent to its most basic concepts, such as financial stability itself. Rather than building ever-more complex models that aim to incorporate all the dimensions of the phenomenon, the problem can be addressed by conducting a critical reflection on the field’s conceptual bases before formulating a model’s assumptions. In the first chapter, we conduct a critical review of the literature and identify several points of tension, interpreting their implications for the Euro area case. Based on the insights of chapter I, chapter II revisits the question of whether it is ideal for regulators to keep a narrow focus on national financial stabilization in the presence of cross-border spillovers, as is currently done. To do so, we build a static two-country New-Keynesian model where countercyclical capital regulation in the core affects financial stability in the periphery through the interbank market. By comparing national stabilization rules to a regime where the core regulator internalizes the spillover, we identify scenarios where the status quo is suboptimal. Finally, chapter III examines the significant institutional differences that exist among EMU national regulators. By reviewing official information , as well as assessment reports from the IMF and the FSB; we map the qualitative differences of national governance frameworks across six dimensions: presence of coordination mechanisms, completeness of instruments, independence, decision-making expeditiousness, strength of the legal mandate, use of communication and transparency. Given that institutional characteristics influence reactivity, we aim to quantify how this institutional heterogeneity affects the vulnerability to inaction bias through a comparative synthetic index. We find that countries are unequally protected against inaction bias, but there are several possible approaches to building robust governance frameworks
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Leroy, Aurelien. "Analyse des effets de la concurrence bancaire sur la stabilité et l'efficience : une perspective européenne." Thesis, Orléans, 2016. http://www.theses.fr/2016ORLE0503/document.
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L’expérience de la « Grande Récession » a conduit économistes et praticiens à porter une attention particulière àla stabilité financière,mais aussi, dans la perspective de sortie de crise, aux moyens de financer l’émergence d’unnouveau modèle de croissance plus durable.Dans ce contexte, notre thèse se propose d’apprécier l’influence de laconcurrence bancaire sur la stabilité et sur l’efficience, afin d’éclairer le débat sur le degré de concurrence optimalen Europe. À cet effet, on étudie, tout d’abord, les effets de la concurrence bancaire sur l’instabilité financière, ense saisissant du concept de risque systémique. Cela nous conduit à mener à bien deux études distinctes : l’uneportant sur la répartition du risque systémique entre entités financières, l’autre sur la procyclicité financière.Dansles deux cas, nous concluons à l’existence d’un lien positif entre concurrence et stabilité. Nous nous intéressonsensuite à la question de la stabilité en termes d’efficacité de la politique de stabilisationmonétaire. Dans ce cadre,on met en évidence que la concurrence bancaire améliore l’efficacité de deux canaux de transmission : le canal destaux d’intérêt et le canal du crédit bancaire. L’insuffisance de l’intégration bancaire européenne, dont témoignel’hétérogénéité de la concurrence, s’avère ainsi un facteur explicatif de la fragmentation observée de la zone euro.Finalement, nous considérons la possibilité que la croissance économique puisse être fonction de la concurrencebancaire. À cet effet, on montre d’abord que cette dernière aurait théoriquement deux effets contradictoires sur lacroissance économique, avant finalement, de faire valoir empiriquement que la concurrence bancaire exerce, enEurope, des effets négatifs sur la croissance économique, en particulier en freinant la croissance de la productivitéglobale des facteurs. Nos travaux accréditent donc l’idée que stimuler la concurrence conduit à un arbitrage entrestabilité et efficienceThe experience of the “Great Recession” has led economists and policymakers to pay particular attention tofinancial stability. It also lead them to think how to get out of this recession, and particularly on the meansof financing the emergence of a new, more sustainable growth model. In this context, this thesis studies theinfluence of bank competition on stability and efficiency in order to shed light on the debate about the optimallevel of bank competition in Europe. For this purpose, we first study the effects of bank competition on financialinstability by focusing on the concept of systemic risk. This leads us to undertake two distinct studies: onefocusing on the distribution of systemic risk between financial institutions; the other on financial procyclicality.In both cases, we conclude that a positive link between competition and stability does exist.We then focus on thequestion of stability in terms of the effectiveness of the monetary stabilisation policy. In this respect, we show thatbank competition improves the efficiency of two channels of monetary transmission: the interest rate and thebank lending channels. Therefore, the lack of European banking integration, highlighted by the heterogeneity ofbank competition, is one factor that explains the fragmentation that can be observed in the Eurozone. Finally, weconsider the possibility that economic growth may be a function of bank competition. To do this, we first showhow competition could impact economic growth in theory, and find two opposing effects. We then demonstrateempirically that bank competition has negative effects on economic growth, in particular by decreasing totalfactor productivity growth. Our work hence supports the idea that stimulating competition leads to a trade-offbetween stability and efficiency
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Zábražná, Adela. "Premena menovej politiky ECB v dôsledku finančnej a dlhovej krízy." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-136318.
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The thesis analyses the change of monetary policy of the European central bank during financial and sovereign debt crisis. Main focus of the thesis is given on the analysis of non-standard measures of monetary policy of the ECB. This thesis explains in detail how the ECB has responded to the various phases of the financial and debt crisis, starting with the period of financial turmoil, continuing with the intensification of the financial crisis and the sovereign debt crisis. Finally, the thesis compares these phases and assesses the impact of these non-standard measures.
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Quincey, Sylvio. "La supervision bancaire dans l'Union Européenne : essai de contribution pour une zone de supervision optimale." Thesis, Lyon 3, 2015. http://www.theses.fr/2015LYO30063.
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Pour le superviseur, une approche historique de la banque permet de mieux assimiler ses modes de fonctionnement. Elle sert aussi à mieux comprendre pourquoi ses acteurs, toujours dotés, à raison, de la confiance indispensable au développement des affaires, font preuve parfois d’un sur-optimisme conduisant à leur ruine. La mobilisation du droit : telle est ce qui guide l’action du contrôleur de banque. La dernière crise financière a provoqué une prise de conscience en Europe : l’impossibilité pour chaque pays membre de l’Union d’exercer individuellement une surveillance efficace sans une harmonisation totale. Ainsi est née l’idée puis la construction du MSU. Centralisée à Francfort, la supervision unique est en place depuis le 4 novembre 2014. Mais sa feuille de route porte sur un champ plus diversifiable encore. Par construction, le MSU possède les qualités d’efficacité et de pérennité requises. Mais aura-t-il la volonté de contribuer à la transformation de toute l’Union européenne en zone de supervision optimale ?For the supervisor, an historical approach of banks allows to better assimilate its ways of functioning. She also serves to better understand why her actors, always endowed of the confidence to develop business, sometimes, show an over-optimism leading to their ruin. The mobilization of the law guides the action of the banking control. The 2007-2008 crisis has provoked awareness in Europe: the impossibility for every member state of the Union to exercise individually an effective supervision without a total harmonization. So was born the construction of the MSU. Located in Frankfurt, the “supervision unique” has been working since November 4th, 2014. But the road map assigned to the supervision a new and more diversifiable field. For sure, the MSU is skilled enough, but is there a will to change the European Union into a “zone de supervision optimale”?
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Boaventura, Duarte Cristiano. "Unconventional Monetary Policies : Past, Present, and Future." Thesis, Sorbonne Paris Cité, 2019. http://www.theses.fr/2019USPCD007.
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Cette thèse aborde des aspects importants qui impliquent le passé, le présent et l’avenir des politiques monétaires non conventionnelles (PMNC) : son contexte historique et les débats conceptuels qui l’accompagnent; l’expérience des PMNC dans les économies avancées, avec le cas de la Zone Euro; les effets des PMNC dans les économies émergentes et ses liens avec la dette privée des entreprises; le processus de sortie des PMNC et l’avenir des cadres de politique monétaire. Premièrement, en rapportant plusieurs expériences historiques de la Banque d’Angleterre, de la Réserve Fédérale américaine et de la Banque du Japon, nous mettons en évidence que des politiques qui, après la crise de 2008, étaient considérées comme «non conventionnelles» avaient en fait déjà été adoptées à diverses occasions dans l’histoire. Deuxièmement, au niveau des débats conceptuels, nous analysons le cadre (objectifs, mesures, canaux de transmission, effets) des PMNC, en portant une attention plus détaillée aux taux d’intérêt nominaux négatifs, mesure qui n’a pas été appliqué avant 2008. Troisièmement, au regard de l’expérience des PMNC dans la zone euro, nous avons constaté que ces dernières étaient capables d’éviter un effondrement financier majeur après 2008 et d’apporter des améliorations partielles des indicateurs macroéconomiques. En particulier, les rendements souverains ont présenté des réponses différentes selon chaque programme d'achat d'actifs annoncé / mis en œuvre. Néanmoins, les PMNC n’ont été pas capables de résoudre touts seules les problèmes économiques de la zone euro, qui méritent le soutien de politiques supplémentaires (fiscales, industrielles, institutionnelles, de réglementation / supervision financières) pour assurer une trajectoire de croissance soutenue à moyen / long terme. Quatrièmement, en ce qui concerne les effets des PMNC dans les économies émergentes, nous avons observé le rôle important joué par les mesures d’assouplissement monétaire des principales banques centrales des économies avancées, associées à d’autres facteurs mondiaux, pour expliquer la hausse de la dette des entreprises. Ses implications pour la politique économique sont liées à la nécessité de renforcer la réglementation financière et les instruments macro et microprudentiels afin d'augmenter la résilience du système financier contre les crises. Enfin, le processus actuel de sortie des PMNC est asynchrone. Un séquençage progressif et une communication appropriée seront nécessaires pour éviter des perturbations majeures des marchés financiers internationaux. Les futurs cadres de politique monétaire pourraient tirer des leçons des expériences du passé et récentes et incorporer certaines PMNC dans leur boite à outils pour augmenter l’efficacité des politiques monétaires et réduire des préoccupations liées à stabilité financière, une fois que les défis posés par les marchés financiers sont devenus de plus en plus importantsThis thesis touches upon important aspects that involve the past, present and future of unconventional monetary policies (UMPs): their historical background and conceptual debate; the experience of UMPs in advanced economies, with the Euro area case; the effects of UMPs in emerging economies, and their links with corporate debt; the process of UMPs exit and the future of monetary policy frameworks. First, by reporting several historical experiences of the Bank of England, Federal Reserve System and Bank of Japan, we have observed that policies which after the 2008 crisis were considered to be “unconventional” had already been adopted in various occasions before. Second, on the conceptual debate, we analyzed UMPs framework (objectives, measures, transmission channels, and effects), with more detailed attention on nominal negative interest rates, measure which had not been implemented before 2008. Third, on UMPs experience in the Euro area, we observed that UMPs were capable of avoiding a major financial collapse after 2008, and managed partial improvements in macroeconomic indicators. In particular, sovereign yields have presented distinct responses according to each asset purchase program announced/implemented. However, UMPs were not able alone to solve all economic problems in the Euro area, which deserve the support of additional policies (fiscal, industrial, institutional, financial regulation/supervision) to ensure a sustained growth path in the medium/long term. Fourth, on UMPs effects in emerging economies, we have observed the important role of accommodative measures of the main advanced economies central banks, together with other global factors, to explain the rise of corporate debt. Its economic policy implications are related to the need for enhancement in financial regulation, macro and microprudential instruments to increase the resilience of the financial system against crises. Finally, the current process of UMPs exit is asynchronous, and gradual sequencing and proper communication will be required to avoid major disruptions in international financial markets. Future monetary policy frameworks may take lessons from past and recent experiences and incorporate some UMPs in their toolkits, in order to increase the effectiveness of monetary policies and reduce financial stability concerns, once the challenges posed by financial markets are increasingly higher
Esta tese aborda aspectos importantes que envolvem o passado, presente e futuro das políticas monetárias não convencionais (PMNCs): seu histórico e debate conceitual; a experiência das PMNCs nas economias avançadas, com o caso da Área do Euro; os efeitos das PMNCs nas economias emergentes e suas relações com a dívida corporativa; o processo de saída das PMNCs e o futuro dos arcabouços de política monetária. Primeiro, relatando várias experiências históricas do Banco da Inglaterra, do Federal Reserve System e do Banco do Japão, observamos que as políticas que, após a crise de 2008, eram consideradas “não convencionais” já haviam sido adotadas em várias ocasiões anteriores. Em segundo lugar, no debate conceitual, analisamos o arcabouço das PMNCs (objetivos, medidas, canais de transmissão e efeitos), com atenção mais detalhada sobre as taxas de juros nominais negativas, medida que não havia sido implementada antes de 2008. Em terceiro lugar, na experiência das PMNCs na Área do Euro, observamos que as PMNCs foram capazes de evitar um grande colapso financeiro após 2008 e resultaram em melhorias parciais nos indicadores macroeconômicos. Em particular, os rendimentos soberanos apresentaram respostas distintas de acordo com cada programa de compra de ativos anunciado / implementado. No entanto, as PMNCs não foram capazes de resolver sozinhas todos os problemas econômicos da Área do Euro, que merecem o apoio de políticas adicionais (fiscal, industrial, institucional, regulação/supervisão financeira) para assegurar uma trajetória de crescimento sustentado no médio/longo prazo. Quarto, sobre os efeitos das PMNCs nas economias emergentes, observamos o importante papel das medidas de acomodação monetária dos principais bancos centrais de economias avançadas, juntamente com outros fatores globais, para explicar o aumento da dívida corporativa. Suas implicações de política econômica estão relacionadas à necessidade de aprimoramento na regulação financeira, instrumentos macro e microprudenciais para aumentar a resiliência do sistema financeiro contra crises. Finalmente, o atual processo de saída das PMNCs é assíncrono, e um sequenciamento gradual e uma comunicação apropriada serão necessários para evitar grandes distúrbios nos mercados financeiros internacionais. Os futuros arcabouços de política monetária podem tirar lições de experiências passadas e recentes e incorporar algumas PMNCs nos seus instrumentos, a fim de aumentar a eficácia das políticas monetárias e reduzir os riscos de estabilidade financeira, uma vez que os desafios impostos pelos mercados financeiros são cada vez mais elevados
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Martínez, Sepulveda Juan Francisco. "Essays in financial stability under financial frictions." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:4e2a5663-c0a5-43dc-8fe7-f6fa05048e76.
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This thesis is a collection of essays where I explore and extend the study of the role of financial frictions for the determination of asset prices, financial stability, and economic resilience. The frictions included in the analysis are individual and aggregate uncertainty, agent heterogeneity, money, liquidity and default. The first essay is an empirical study that motivates my research objectives. This work starts with the exploration of the role of liquidity on asset prices, specifically on sovereign bonds of emerging countries. I present a comprehensive model where I developed a novel methodology for finding the role of liquidity in the determination of asset prices during the financial crisis. In the second essay, illuminated by the empirical findings, I apply and expand the general equilibrium theory of money, default and financial stability. The contributions at the theoretical level are the extension of two-period model with discrete state space to the infinite horizon dynamic stochastic setting, and the inclusion of liquidity restrictions. In the third essay, I further extend this framework, allowing for production technology and endogenous market liquidity. Given the theoretical setting, I have analyzed the responses of financial stability and economic performance variables to real and financial shocks. Finally, in the fourth essay I produce an empirical application of this work. I apply a novel semi-parametric financial stability metric, and evaluate its relevance for the determination of asset prices, in the presence of liquidity restrictions. As a result, this thesis suggest plausible explanations for financial and economic issues that conventional models have not dealt with adequately.
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Bakoush, Mohamed. "Essays on financial stability." Thesis, University of Southampton, 2019. https://eprints.soton.ac.uk/428060/.
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The thesis analyses dynamics of systemic risk and contagion in securitization, interbank and derivatives markets, and the subsequent implications for financial stability and macroprudential policy. In doing so, three distinctive lines of research are pursued. First, we examine the impact of securitization on bank stability and systemic risk. Following this, we analyse distress spillover from the OTC derivatives market into the interbank market, due to the interaction between margin procyclicality in OTC derivatives markets, and funding liquidity risk in the interbank market. Finally, we develop a macroprudential stress test, that explicitly links liquidity risk and solvency risk of banks, as well as account for interconnectedness among them. We provide evidence that securitization activities are destabilizing at both the individual bank level and the banking system level, and tend to increase commonality of asset returns among banks leading to increased interconnectedness and systemic risk. Moreover, we show that distress due to margin procyclicality in the OTC derivatives market can spillover to the interbank market leading to episodes of systemic liquidity risk. We also show that central clearing might increase the possibility of systemic liquidity risk due to tight margin requirements and the timing of cash flows required from banks. Further, using the proposed stress test, we effectively identify the systemic vulnerability of individual banks and the resilience of the banking system as a whole to economic shocks. The results of this thesis have far-reaching policy implications. First, given the current increasing pace in monetary policy tightening, our findings on the destabilizing effect of securitization activities are of great interest to policy makers in their attempts to revive securitization markets, as they provide a framework for regulators to think about the effects of securitization at both the bank level and the banking system level. Moreover, our findings on the negative consequences of margin requirements should inform regulators about the importance of striking the balance between limiting counterparty credit risk through tight margin requirements, and the side effect of increasing the possibility and magnitude of systemic liquidity crises. Finally, the proposed stress test provides an effective tool for the banking system supervisors to analyse the current state of the system stability and to monitor the evolution of contagion and systemic risk within the system.
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Freund, Christian [Verfasser]. "Financial System Stability / Christian Freund." Kiel : Universitätsbibliothek Kiel, 2017. http://d-nb.info/1135956936/34.
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Fouejieu, Azangue Armand. "Financial Stability and Inflation Stabilization." Thesis, Orléans, 2015. http://www.theses.fr/2015ORLE0503/document.
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La crise financière de 2008-2009 a conduit à reconsidérer la relation entre politique monétaire et stabilité financière, soulignant la nécessité pour les banques centrales d’être plus attentives aux risques financiers. Cette crise a également mis en évidence les limites du cadre de régulation (micro)prudentielle existant, renforçant ainsi l’importance d’une approche macroprudentielle visant à contenir le risque systémique. La présente thèse s’articule autour de ces questions. L’objectif est d’analyser dans quelle mesure un cadre de politique monétaire avec pour objectif principal la stabilité des prix (tel le ciblage d’inflation), pourrait accentuer le risque d’instabilité financière. Il s’agit en outre de souligner et discuter le rôle que peuvent jouer les politiques monétaire et macroprudentielle pour assurer et renforcer la stabilité du secteur financier (Chapitre I). Les résultats de l’analyse suggèrent que les banques centrales cibleuses d’inflation ont été mieux à même de contenir les conséquences de la récente crise financière (Chapitre II). Cependant, il semble que le risque d’instabilité financière soit plus fort au sein des pays émergents cibleurs d’inflation (comparé aux non-cibleurs), malgré les réponses des banques centrales aux déséquilibres financiers (Chapitre III). Ceci remet en cause l’efficacité de la stratégie du leaning against the wind. Nos conclusions montrent que cette stratégie génère un conflit d’objectif entre stabilité macroéconomique et stabilité financière. La mise en place d’un cadre macroprudentiel efficace, associé à une politique monétaire plus sensible aux risques financiers, permettrait de garantir un environnement économique globalement plus stable (Chapitre IV). Par ailleurs, il apparait que les pays émergents cibleurs d’inflation s’appuient sur le contrôle du taux de change pour faire face à la forte vulnérabilité de leur système financier aux chocs externes; ceci en dépit de l’exigence de flexibilité du change que requiert cette stratégie de politique monétaire (Chapitre V)The 2008/2009 global financial crisis has revived the debate on the concern for financial stability in themonetary policy-making, stressing the need to reconsider the role of central banks in ensuring financialstability. The crisis has also pointed some flaws in the existing (micro) prudential regulation and therelevance to move toward a broader regulatory framework aiming to prevent systemic risk. This thesis isbuilt upon these issues. It investigates the extent to which financial stability may be of particular concernin a context where the main monetary policy objective is inflation stabilization (typically, in an inflationtargeting regime –IT–). It further assesses how the macroprudential framework and monetary policy canbe articulated to ensure the best outcome in terms of macroeconomic and financial stability (Chapter I).The conclusions derived from this work suggest that, faced with the recent global financial turmoil,inflation targeting central banks have been more able to mitigate the shock, certainly thanks to higherpolicy credibility (Chapter II). However, we evidence that IT countries (especially in EMEs) are morefinancially vulnerable than their non-IT counterparts, despite central banks’ response to financial risks(Chapter III). Following the latter conclusion, we investigate more closely the effectiveness of the leaningagainst the wind strategy. We show that such a policy response generates trade-offs between thefinancial and macroeconomic stability objectives of the monetary authorities. The best stabilizationoutcome is achieved when an effective macroprudential framework is implemented, combined withhigher central bank’s concern with financial risks (Chapter IV). Furthermore, we show that in EMEsITers, foreign exchange interventions are used to mitigate their financial vulnerability to external shocks,although the IT regime requires a fully floating exchange rate regime (Chapter V)
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Riedle, Thorsten. "Empirical aspects of financial stability." Thesis, University of Kent, 2018. https://kar.kent.ac.uk/66808/.
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This thesis discusses the empirical aspects of financial stability and presents evidence that suggests that stock market bubbles and volatility are related, and that financial crises are also triggered by events related to non-financial sectors. Financial crises are predominantly related to boom episodes and asset price bubbles, which can seriously impact the financial system when they burst. This thesis draws upon the findings of previous papers and argues that the risk of financial instability (systemic risk) is formed during the boom phase and materialises on the eruption of crisis. In so doing, this study considers stock market bubbles as a potential source of risk for financial stability. The severe impact on the economy in the wake of the recent financial crisis has not only demonstrated the way in which trouble in a relatively small market can escalate into a serious crisis exerting economy-wide effects, but is also an example of the important role financial stability plays in the functioning of modern economies. Chapter 1 addresses factors that contribute to financial crises and policy tools to mitigate their effects. The Global Financial Stability Map (Map), summarising and graphically presenting underlying factors that may lead to a systemic threat, shows the complex interactions among different factors that affect each other and, in combination, are relevant to financial stability. In this connection, the importance of countercyclicality is addressed and the weaknesses of the Value at Risk (VaR) measure are discussed. Chapter 2 examines whether longer periods of low volatility influence the formation of bubbles, which are defined as the difference between current prices and an adaptive moving average of an alternate history of asset prices, and whether stock market bubbles increase the likelihood of stock market crashes. The regression analysis employed confirms that longer episodes of low realised volatility exerts a significant influence on the formation of stock market bubbles, which, in turn, significantly increase the likelihood of stock market crises. This relationship is referred to as volatility paradox. Furthermore, the bubble is incorporated to inflate Value at Risk, in order to generate a countercyclical capital buffer for extreme events. It is shown that the inflated VaR covers the majority of the extreme negative returns. This leads to the conclusion that the information content of bubbles should be taken into account while measuring risk in stock markets. The recent financial crisis revealed that even relatively small markets of the economy are capable of jeopardising financial stability, and the objective of Chapter 3 is to assess the contribution of both financial and non-financial sectors of an economy to systemic risk. For this purpose, the marginal systemic risk contribution, measured by ΔCoVaR of 10 sectors, is estimated for the US, the UK, and Germany, through the employment of quantile regressions. The estimated ΔCoVaRs are tested for significance and dominance in order to classify sectors as systemically relevant and to obtain a formal ranking of the sectors in terms of contribution to systemic risk. The outcomes reveal a weak link between VaR and CoVaR and significant externalities of sectors. Chapter 3 discusses the role of low volatility in excessive risk-taking and lending behaviour during booms as well as the deleveraging behaviour during bust episodes. It argues that countercyclical tools, which reduce such behaviour, can successfully mitigate financial crises. This line of argumentation is related to the countercyclical capital buffer discussed in Chapter 2, which is aimed at dampening the upward movements of asset prices. Taking into account the finding that real economy sectors also have significant effects on systemic risk, Chapter 3 proposes the application of macroprudential policy tools individually to those sectors in which bubbles emerge. Chapter 4 compares the realised volatility levels between international stock markets. Although the volatility patterns are fairly similar, the pairwise t-test reveals a significant difference between the volatility levels of national stock markets. A two component GARCH-MIDAS model is applied to decompose conditional volatility into a short-run and a long-run volatility component and to link macroeconomic variables directly with stock market volatility. The outcomes of the GARCH-MIDAS model indicate that stock market volatility is associated with macroeconomic variables, and that stock market volatility depends upon different variables in different countries. Realised volatility is found to explain a considerable proportion of conditional volatility. The Granger causality test reveals no significant causal relationship of volatility with illiquidity or with sentiment.
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Gerba, Eddie. "Financial cycles and macroeconomic stability." Thesis, University of Kent, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633646.
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We establish a set of US stylized facts on prices, quantities and balance sheets, assess the consistency of the current generation of financial DSGE models to these, and provide guidance on the challenges ahead. We mainly find four aspects which future financial friction models should take into acc~unt. The first is the profound shift in household financing structure, botli on the asset and liability side, which has meant that they have been left vulnerable. Second, the balance sheet of firms has become increasingly lever aged and coupled with more volatile and pro cyclical equity prices has rrieant that the balance sheet of firms has become ihcreasirlgly procyclical and volatile since the 1990's. The current generation of FA models do capture some aspects of this but produce excessively smooth results. Third, it would be of interest for policy makers to find the optimal level/percentage of foreign ownership of the Federal debt at which the debt portfolio is diversified, but the future government budget constraint and its stabilisation capacity is not put in danger by over-exposure to international shocks. Lastly, models might be extended to include a regime-switching mechanism and explore the effects on model dynamics and model stability when the economy goes from a low volatility-low correlation state to a high volatility-high correlation state. A wider implication of our findings is that accumulation of stocks might alter agents risk preferences, production technologies, or beliefs to such a degi'ee that the optimization problem that those agents face has transformed over time .. The economy is effectively in a different state of nature, and agents may face c;lifferent constraints. Future macroeconomic models need to take a different strategy to modelingthe long-run ratios, since these have increased over the long-run, and .this has had an effect on boththe frequency and the amplitude of the business cycles. Chapter 2 Following recent observations by policymakers of the Bank of England and others that low financial market confidence and pessimistic expectations about bank (and non-bank fii'm) profits over the next three years has lead to unusually low price-to-book ratios, we incorporate a market price mechanism in a general equilibrium framework. More specifically, we introduce an endogenous wedge between inarket and book value of capital, and make investment a function of the wedge in a standard financia1 accelerator model. The price wedge is driven by an information set containing expectations about the future state of the economy. The result is that the impulse responses to exogenous disturbances are some two to three times more volatile than in the benchmark financial accelerator model. Moreover, the model offers an improved matching in firm variables and financial rates to US data compared to the standard Bernanke, Gertler and Gilchrist (1999) model. We also derive a model based quadratic, loss function and measure the extent to which \ monetary policy can feed a bubble by further loosening the credit market frictions that entrepreneurs face. In addition, we take into account the possibility that policymakers have incomplete information about the current state of. the economy and therefore make errors type I and II in deciding what policy to implement. A policy that explicitly targets stock market developments can be shown to improve welfare in terms of miriimizing the consumption losses of consumers, even when we account for a degree of incomplete information of central bankers regarding the current state of the economy. To conclude, we find that for a monetary authority to be indifferent betweeri responding and not responding to stock market developments, the probability of an economy with a positive asset price wedge needs to be between 2 and 6 percent lower than the probability of an economy without a wedge. Chapter 3 Locating the appropriate degree of interaCtion between fiscal and monetary policy . plays remains a key issue in ensuring economic stability. Their joint impact is, however, still unclear. We use a Bayesian TVP-VAR model with a tight identification scheme to examine the interaction between the two policies between 1979 and 2013. We observe significant differences in the transrriission of shocks, in particular between the Great Recession and the Great Moderation. Monetary policy reacts more aggressively to stabilize the economy during Volcker, whereas fiscal policy does so during the Great Recession. Second, we find a high degree of interactions between monetary and fiscal policy. They behave as substitutes for both the spending and monetary policy shocks but as compliments for a taX, shock. Third, government revenues largely infhience decisions on spending, while spending does not influence tax decisions. Fourth, the spending multiplier is large and persistent, in particular during recessionary periods. We conclude that the spending stimuli are more effective in expanding output than tax cuts by as much as ?O percent. Under certain conditions regarding private agent expectations, spending increases can result in high and persistent growth.
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Gnagne, Jean Armand. "Three essays on financial stability." Doctoral thesis, Université Laval, 2018. http://hdl.handle.net/20.500.11794/31524.
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Cette thèse s’intéresse à la stabilité financière. Nous considérons plusieurs modèles économétriques visant à offrir une meilleure compréhension des perturbations pouvant affecter les systèmes bancaires et financiers. L’objectif ici est de doter les institutions publiques et réglementaires d’un éventail plus large d’instruments de surveillance. Dans le premier chapitre, nous appliquons un modèle logit visant à identifier les principaux déterminants des crises financières. En plus des variables explicatives traditionnelles suggérées par la littérature, nous considérons une mesure des coûts de transactions (l’écart acheteur-vendeur) sur les marchés financiers. Nos estimations indiquent que des coûts de transactions élevés sont généralement associés à des risques accrus de crises financières. Dans un contexte où l’instauration d’une taxe sur les transactions financières (TTF) ferait augmenter les coûts de transactions, nos résultats suggèrent que l’instauration d’une telle taxe pourrait accroître les probabilités de crises financières. Dans le second chapitre, nous analysons la formation des risques financiers dans un contexte où le nombre de données disponibles est de plus en plus élevé. Nous construisons des prédicteurs de faillites bancaires à partir d’un grand ensemble de variables macro-financières que nous incorporons dans un modèle à variable discrète. Nous établissons un lien robuste et significatif entre les variables issues du secteur immobilier et les faillites bancaires. Le troisième chapitre met l’emphase sur la prévision des créances bancaires en souffrance (nonperforming loans). Nous analysons plusieurs modèles proposés par la littérature et évaluons leur performance prédictive lorsque nous remplaçons les variables explicatives usuelles par des prédicteurs sectoriels construits à partir d’une grande base de données. Nous trouvons que les modèles basés sur ces composantes latentes prévoient les créances en souffrance mieux que les modèles traditionnels, et que le secteur immobilier joue à nouveau un rôle important.The primary focus of this thesis is on financial stability. More specifically, we investigate different issues related to the monitoring and forecasting of important underlying systemic financial vulnerabilities. We develop various econometric models aimed at providing a better assessment and early insights about the build-up of financial imbalances. Throughout this work, we consider complementary measures of financial (in)stability endowing hence the regulatory authorities with a deeper toolkit for achieving and maintaining financial stability. In the first Chapter, we apply a logit model to identify important determinants of financial crises. Alongwiththetraditionalexplanatoryvariablessuggestedintheliterat ure, weconsider a measure of bid-ask spreads in the financial markets of each country as a proxy for the likely effect of a Securities Transaction Tax (STT) on transaction costs. One key contribution of this Chapter is to study the impact that a harmonized, area- wide tax, often referred to as Tobin Tax would have on the stability of financial markets. Our results confirm important findingsuncoveredintheliterature, butalsoindicatethathighertransactioncostsaregenerally associated with a higher risk of crisis. We document the robustness of this key result to possible endogeneity effects and to the 2008−2009 global crisis episode. To the extent that a widely-based STT would increase transaction costs, our results therefore suggest that the establishment of this tax could increase the risk of financial crises. In the second Chapter, we assess the build-up of financial imbalances in a data-rich environment. Concretely, we concentrate on one key dimension of a sound financial system by monitoring and forecasting the monthly aggregate commercial bank failures in the United States. We extract key sectoral predictors from a large set of macro-financial variables and incorporate them in a hurdle negative binomial model to predict the number of monthly commercial bank failures. We find a strong and robust relationship between the housing industry and bank failures. This evidence suggests that housing industry plays a key role in the buildup of vulnerability in the banking sector. Different specifications of our model confirm the robustness of our results. In the third Chapter, we focus on the modeling of non-performing loans (NPLs), one other dimension along with, financial vulnerabilities are scrutinized. We apply different models proposed in the recent literature for fitting and forecasting U.S. banks non-performing loans (NPLs). We compare the performance of these models to those of similar models in which we replace traditional explanatory variables by key sectoral predictors all extracted from the large set of potential U.S. macro-financial variables. We uncover that the latent-componentbased models all outperform the traditional models, suggesting then that practitioners and researchers could consider latent factors in their modeling of NPLs. Moreover, we also confirm that the housing sector greatly impacts the evolution of non-performing loans over time.
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FERRARI, MASSIMO. "FINANCIAL STABILITY AND UNCONVENTIONAL POLICIES." Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/35715.
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This thesis explores the relation between fiancial stability and macroeconomic policy. The first chapter tackles the topic of financial stability from the point of wiev of a the single bank. In that model banks take explicitly into account the probability of default of their counterparties on the interbank market. In this way, an endogenous constraint to the credit supply is defined. That constraint evolves along the business cycle. I show that monetary policy alone is not able to ease credit conditions during a crisis. The second chapter nests a complex network model inside a state-of-the-art DSGE model. Using the tools of network analysis it is possible to trace how contagion spreads between banks (i.e. what is the likelihood that the default of one bank spreds to other banks, how many institution are affected) and how its probability avolves following exogenous shocks. With this tool I test partial equilibrium macropolicy tools (i.e. direct lendings to banks) and the effectiveness of monetary policy during crisis. Finally, in the last chapter I analyze, with high frequency data, the impact of conventional and unconventional monetary policy surprises, finding that the response of markets to menetary policy increased over time.Questa tesi studia la relazione tra stabilità finanziaria e politica economica. Il primo capitolo della tesi affronta l'argomento della stabilità finanziaria dal punto di vista della singola banca. In quel modello ciascuna banca tiene esplicitamente in considerazine la probabilità di insulvenza delle sue controparti sul mercato interbancario. In questo modo si genera un vincolo endogeno all'offerta di credito. Tale vincolo evolve con il ciclo economico. Il modello mostra come la politica monetaria da sola non sia sufficiente a migliorare le condizioni del credito sui mercati finanziari dureante le crisi. Il secondo capitolo inserisce un modello di network all'interno di un mdoello DSGE standard. Analizzando il modello di network è possibile seguire come il contagio si diffonda tra le banche (qual è la probabilità che l'insolvenza di una banca si diffonda ad altre, qaule il numero di istituzioni coinvolte) e come tale probabilità evolva a seguito di shock esogeni. Con questi strumenti è possibile valutare politiche microeconomiche (per esempio prestiti diretti alle banche) e l'efficacia della politica moentaria durante le crisi. Infine, nell'ultimo capitolo, utilizzando dati ad alta frequenza, stimo l'impatto di shock di politica monetaria (convenzionali e non) trovando che la sensibilità dei mercati è aumentanta nel tempo.
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Guillemin, François. "Bank Disclosure and Financial Stability." Thesis, Besançon, 2016. http://www.theses.fr/2016BESA0004/document.
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Cette thèse examine l'impact de la transparence informationnelle des banques sur la stabilité financière pendant la période 1990-2013. Elle est composée de deux essais empiriques, un essai théorique, ainsi que d'une revue de la littérature. Le premier chapitre met en lumière la littérature existante, théorique et empirique, qui servira comme tremplin pour le reste de la dissertation, Le chapitre 2 teste les effets de la transparence informationnelle des banques sur les prix des swaps de crédit pendant la crise de la dette souveraine européenne, sut- la période 2010-2013. Les banques les plus transparentes sont les banques qui souffrent le moins de la volatilité des prix des swaps de crédit au moment des annonces de dégradation des notes des états. La transparence, via la gouvernance des marchés financiers participent à améliorer la stabilité financière. Le chapitre 3 teste, théoriquement, les incitations à retirer des déposants en présence d'ambiguïté et dans le cas où l'information est imparfaite. Les résultats montrent que plus leur degré de pessimisme génère une incitation supérieure à retirer leurs dépôts de l'institution dans laquelle ils ont déposés. La combinaison de l'ambiguïté et de l'asymétrie d'information ouvre la porte à de nouvelles perspectives en termes de transparence informationnelle de la part des banques en direction des déposants et participant ainsi à l'amélioration de la stabilité financière en évitant les paniques bancaires. Le chapitre 4 teste empiriquement les résultats obtenus dans le chapitre précédent. Nous testons l'attractivité, pour les déposants, des banques les plus transparentes sur la période 1990-2013 tout en prenant en considération l'ambiguïté. Les résultats confirment que l' ambiguïté a un effet négatif sur le montant des dépôts totaux des banques et que la transparence informationnelle peut activer des incitations au retrait chez les déposantsThis thesis tries to understand the relationship between banking disclosure and financial stability for several actors of bank's governance. Disclosure has a positive impact on financial market participant made possible by a reduction of the information premium. Regarding depositors, we decided to partially reject the hypothesis of perfect rationality by introducing the ambiguity notion. We were able to show that a negative relationship exists between ambiguity and deposit levels bath theoretically and empirically. Disclosure policies have therefore a negative impact on European total deposit empirically
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Rother, Simon [Verfasser]. "Essays on Financial Intermediation and Financial Stability / Simon Rother." Bonn : Universitäts- und Landesbibliothek Bonn, 2021. http://nbn-resolving.de/urn:nbn:de:hbz:5-63282.
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Kremen, V. "Macroprudential policy in the dilemma “Financial stability – financial development”." Thesis, Sumy State University, 2019. https://essuir.sumdu.edu.ua/handle/123456789/77590.
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Financial systems of all over the world had really faced with great shocks and
disbalances in the past decade. Since the financial crisis of 2008, the health of the
financial sector has become one of the hot topics in public debate and economic
research regardless of the development level of the country. Financial intermediaries
have suffered through a variety of things such as volatility in financial markets, utter
failures, asset bubbles, etc. So regulatory and supervisory authorities revise a set of
requirements to their providing capital adequacy, liquidity, effective risk
management, activities of systemic financial intermediaries, financial groups and
conglomerates. The main aim of this is to frame the policy response to these and
other threats, prevent the new wave of a financial crisis, enhancing competitiveness
and efficiency of the financial sector, providing well-designed financial supervision
and regulation.
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Luck, Stephan [Verfasser]. "Essays on Financial Stability / Stephan Luck." Bonn : Universitäts- und Landesbibliothek Bonn, 2016. http://d-nb.info/1084760053/34.
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Schempp, Paul [Verfasser]. "Essays on Financial Stability / Paul Schempp." Bonn : Universitäts- und Landesbibliothek Bonn, 2015. http://d-nb.info/1077266782/34.
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Arner, Douglas W. "Law, financial stability and economic development." Thesis, Queen Mary, University of London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.424378.
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Benelli, Roberto 1971. "Essays on institutions for financial stability." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/8406.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 2002.Includes bibliographical references (p. 150-155).
This thesis includes three essays on the interaction between financial market institutions and market liquidity, and its implications for financial stability. The first essay studies an overlapping generations model of a risky asset market in which some agents face a participation cost. Market participation, by affecting the size of the pool of potential holders of the risky asset, determines the liquidity of the asset market. This essay studies how the frictions that are associated with capital requirements on financial institutions affect their incentives to supply liquidity to the market. The participation decision generates a positive and a negative externality, and the interaction between the two externalities can give rise to multiple equilibria in participation, i.e. to "liquidity cycles". The second essay studies the complementary problem of the optimal design of incentive systems for financial institutions in the context of limited market liquidity. In a contract between a borrower and a lender, financial incentives are provided by requiring the borrower to finance a sufficiently large share of her investment project. In the states of nature in which many projects are liquidated simultaneously, liquidation in private contracts is excessive relative to the efficient (second-best) contract chosen by a planner who internalizes the externality working through the liquidation price. This essay studies whether capital requirements on the borrowers can implement the second best allocation, and if not what kind of policy instruments can implement it.
(cont.) The last essay presents a model of international lending that is built on a basic form of contractual incompleteness: foreign investors cannot commit to provide state-contingent or long-term finance to domestic entrepreneurs. This form of contractual incompleteness implies that there is excessive liquidation of socially viable projects in the competitive equilibrium that emerges in decentralized markets. Institutions that manage to limit liquidation have the potential to improve welfare.
by Roberto Benelli.
Ph.D.
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Garcia, Sanchez Pablo. "Essays on Macroeconomics and Financial Stability." Thesis, Toulouse 1, 2018. http://www.theses.fr/2018TOU10006/document.
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La crise de 2008 et la récession qui l’a suivie ont modifié le consensus quant à la conduite de la politique économique (notamment monétaire). Elles nous ont rappelé que les déséquilibres financiers peuvent affecter durablement l’activité économique. De plus, elles nous ont montré que les instruments actuels de la politique économique ne garantissent pas toujours la stabilité financière. Ce constat nous invite à reconsidérer la politique monétaire et la régulation financière. Ainsi les politiques macro-prudentielles sont au centre du débat sur la politique économique. De plus, de nouvelles questions émergent à propos de l’influence de la politique monétaire sur la prise de risque des agents économiques. Cette influence est appelée le canal de la prise de risque de la politique monétaire. Dix ans après le début de la crise, les contours d’un nouveau cadre régulatoire visant à la stabilité du système économique et financier sont encore très ambigus. La connaissance quant aux instruments utiles et la manière de les mettre en place pour éviter l’accroissement des déséquilibres reste très limitée. De plus, les coûts économiques de ces instruments sont encore mal connus. En effet, la régulation financière contraint les comportements des agents économiques. Par conséquent, le risque d’imposer des coûts sur l’activité économique liée à la régulation ne peut pas être sous-estimé. De même, la relation entre la politique monétaire et le prix du risque financier est très incertaine. Pourtant, nous pouvons penser que les mesures prises par les banques centrales peuvent affecter les appréciations des risques, et ainsi avoir des conséquences sur la prise de risque des agents économiques. Si tel est le cas, ne pas tenir compte de ce phénomène peut exacerber les cycles d’expansion-récession. L’objectif de cette thèse est d’explorer la stabilité macroéconomique et financière. Mon travail est fondé sur les méthodes et techniques de la macroéconomie dynamique moderne. Concernant les principaux résultats, cette thèse montre l’utilité potentielle des politiques macroprudentielles. Plus particulièrement, elle met en lumière le fait que la régulation financière peut renforcer la résilience financière, réduire la volatilité macro-financière et lisser les fluctuations économiques de façon significative. De plus, cette thèse dévoile qu’une politique monétaire expansionniste peut effectivement générer un excès de confiance parmi les agents économiques, et ainsi augmenter la prise de risque et les déséquilibres financiers. En d’autres termes, mes résultats confirment empiriquement l’existence du canal de prise de risque de la politique monétaireThe 2008 crisis and the ensuing Great Recession shook the consensus on how to run economic policy. They reminded us that financial imbalances could significantly derail economic activity. In addition, they showed that existing policy tools did not guarantee macro-financial stability; thereby leading to a rethink of monetary policy and financial regulation. Such a reevaluation has prompted a call for macroprudential tools, i.e., those tools intended for limiting systemic risk and ensuring the resilience of the financial sector. Besides, it has raised new questions about monetary policy and its effects on the risk taking behavior of economic agents - the so-called risk taking channel. A decade from the beginning of the crisis, the contours of a new policy framework for economic and financial stability are still very unclear. Knowledge on which regulatory instruments and how to employ them to curb the buildup of imbalances is limited. Neither is much known about the costs of those instruments.Regulatory intervention constraints some behaviors and distorts the allocation of resources. Consequently, the risk of imposing insidious costs on economic growth must not be underestimated. Likewise, very little is known about the relationship between monetary policy and the perception and pricing of risk by market participants. Nonetheless, it is natural to think that the monetary policy stance may affect the risk taking behavior of economic units, by influencing the attitudes towards risk and the assessment of risks. If so, failure by monetary authorities to consider this phenomenon could exacerbate boom bust patterns. The aim of this thesis is to explore the path towards macroeconomic and financial stability. I have basedmy work on the modern dynamic macroeconomic methods and techniques. Specifically, the first essay develops a canonical real business cycle model to assess the macroeconomic consequences of bank capital requirements, arguably the most used prudential tool. The second essay zooms in on the banking sector, and proposes a structural dynamic model with a large number of heterogeneous banks. The model is employed to study the effectiveness of interbank exposure limits. Having analyzed regulatory intervention, the last essay uses time series econometrics to shed some light on the risk taking channel of monetary policy. It is my firm belief that macroeconomics models for financial stability analysis should consider nonlinear patterns such as state dependence, asymmetries and amplification effects. Under unusual conditions like financial booms or credit crunches, economic agents behave differently than during normal times. In other words, the inner workings of the macroeconomy become essentially nonlinear under abnormal circumstances. Therefore, local behavior around the long run equilibrium of the economy is unlikely to contain relevant information about what may happen in exceptional events. In consequence, I study macroeconomic policy exclusively through the lens of nonlinear frameworks and techniques. Regarding the main results, this thesis makes a strong case in favor of macroprudential regulation. I provide clear evidence suggesting that regulatory intervention can be a powerful tool to strengthen financial resilience, reduce economic volatility and smooth business cycles. In addition, this thesis shows that accommodative monetary policy can produce overconfidence among market participants; thereby increasing risk taking and contributing to the buildup of imbalances. In other words, it provides empirical evidence for the existence of a risk taking channel of monetary policy
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Lukášová, Klára. "Návrh na zajištění finanční stability podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2007. http://www.nusl.cz/ntk/nusl-221404.
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This thesis asses the financial health of the company in the years 2002 – 2005 at the basis of sesected methods of the financial analysis. It comprieses proposals of possible solutions of identified problems which should result in the improvement of financial situation and ensurance of financial stability of the firm in future years.
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Khametshin, Dmitry. "Essays in empirical banking and financial stability." Doctoral thesis, Universitat Pompeu Fabra, 2017. http://hdl.handle.net/10803/459159.
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In the first two chapters of this thesis, I study the effects of financial stability policies
on bank behavior. Thus, in the first chapter, I analyze whether liquidity provision
mechanisms may have unintended redistributive consequences for the credit
markets. I show that by accepting certain assets as collateral, the central bank can
significantly alter bank competition and, therefore, prices in the primary markets of
asset. The second chapter analyzes the efficacy of a central bank policy of hedger
of last resort. It demonstrates that by absorbing on its balance sheet part of the FX
risks, the central bank can affect funding costs of the domestic credit institutions
and, by doing so, support bank loan supply. The last chapter presents evidence on
the importance of asset encumbrance for credit risks of banks. It documents that
while in normal circumstances encumbrance is associated with smaller credit risk
premiums, it can be heavily priced in for financially-troubled banks.En els dos primers capítols d’aquesta tesi, estudio els efectes de les polítiques d’estabilitat financera sobre el comportament dels bancs. Així, en el primer capítol, analitzo si els mecanismes de subministrament de liquiditat poden tenir conseqüències redistributives no desitjades per als mercats de crèdit. Mostro que, mitjançant l’acceptació de certs actius com a garantia, el banc central pot alterar substancialment la competència bancària i, per tant, els preus als mercats d’actius primaris. El segon capítol analitza l’eficàcia de la política de cobertura d’últim recurs d’un banc central. Demostra que, absorbint en el seu balanç una part dels riscos associats als mercats de divises, el banc central pot influir sobre els costos de finançament de les entitats de crèdit domèstiques i, en fer-ho, recolzar el subministrament de préstecs bancaris. L’últim capítol presenta evidències sobre la importància del gravamen dels actius per als riscos crediticis dels bancs. Documenta que, si bé en circumstàncies normals el gravamen està associat a primes de risc de crèdit més petites, pot encarir-se molt per als bancs amb problemes financers.
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Kanngiesser, Derrick. "Essays on monetary economics and financial stability." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/664376.
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This dissertation consists of three chapters related to questions in monetary economics and financial stability. In the first chapter I develop a simple model of financial crises in which the key externalities are overinvestment ex ante and asset price deflation during the crisis. Constrained efficiency can be achieved through a capital tax before the crisis and through a subsidy on asset purchases during the crisis. In the second chapter I study the interaction of macropudential and monetary policy. I develop a New Keynesian DSGE model in which banks can fund their risky investment activities either with non-state-contingent debt or with state-contingent outside equity. In the third chapter, I revisit the effects of monetary policy shocks in the context of a time-varying coefficients VAR model. Conditional on a recursive identification scheme the effects of monetary policy shocks on output and prices have become weaker from around 1980 to 2010.Aquesta tesi consta de tres capítols relacionats amb qüestions d’economia monetària i estabilitat financera. En el primer capítol es desenvolupa un model senzill de crisi financera en qual les principals externalitats son la sobreinversió ex ante i la deflació dels preus dels actius durant la crisi. L’eficiència restringida es pot aconseguir a través d’un impost de capital abans de la crisi i a través d’una subvenció sobre la compra d’actius durant la crisi. En el segon capítol s'estudia la interacció de la política macroprudencial i monetària. Es desenvolupa un nou model keynesià de DSGE en qual els bancs poden financiar les seves activitats d’inversió amb risc, ja sigui amb deute o amb capital. En el tercer capítol, es revisen els efectes derivats dels xocs en la política monetària en el context d’un model VAR amb variables canviants al llarg del temps. Els efectes d’un xoc en la política monetària sobre la producció i els preus s’han tornat mes febles des de 1980 fins a 2010, sota les condicions d'un règim d’identificació recursiva.
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Fernandes, Rui. "Essays on financial stability and central banking." Thesis, University of Oxford, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.421829.
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Sedghi, Khorasgani Hossein. "Essays on financial stability in EMEAP countries." Thesis, University of Leicester, 2011. http://hdl.handle.net/2381/10069.
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This thesis analyses financial stability in eight members of the Executives’ Meeting of East Asia-Pacific Central Banks (EMEAP) economies. One of the factors that may increase financial imbalances (and hence it affects financial stability of an economy) is the accumulated outstanding debt of the economic agents. For example, the corporate sector’s outstanding debt can negatively affect activity of lenders and hence the capabilities of the economy. Since banks are important financial intermediaries in most financial systems, the financial status of banking sector is also important to analyse financial stability of a country. Macroeconomic conditions and financial system structure are some of the important factors that can affect financial conditions (financial soundness) of banks and hence the banking sector. Financial soundness of banks can secure the stability of the financial system. Chapter 2 shows that financial imbalances that arise from accumulated outstanding debt within the corporate sector have a negative effect on the technical capabilities (total factor productivity) of the economy. Therefore, monetary authority (central bank) should control over the debt level. To address this, chapter 2 focuses on the design of monetary policy rule for a small open economy in the context of a Dynamic Stochastic General Equilibrium (DSGE) model. This model is extended to show the effects of financial imbalances on the economy. Real exchange rate is another important factor that affects the firm’s real marginal cost, aggregate supply and aggregate demand as discussed in this chapter. The derived optimal monetary policy rule indicates that the monetary authority responds to financial imbalances through output gap when financial imbalances exist due to accumulated outstanding debt. Moreover, the optimal policy rule shows that the response of the monetary authority to exchange rate movements is indirect, through the domestic inflation and output gap. Chapter 3 describes the effect of the financial system structure on financial stability through investigating the financial soundness of the banking sector. Bank financial soundness is the measure of the stability of the financial system and is defined by return on assets, equity capital-asset ratio and return volatility. The first two items increase financial soundness, whereas return volatility decreases financial soundness of a bank. The structure of the financial system is described as market-based or bank-based. Given interrelations between financial sectors and between economies of the EMEAP countries, chapter 3 uses the global (infinite dimensional) vector autoregressive (VAR) model that has been proposed recently to estimate the generalised impulse responses of financial stability measure. Results show that the market-based financial system can increase financial stability through increasing financial soundness of the banking system. Chapter 4 uses nonperforming loans (NPLs) (as one of the main factors behind Asian financial crisis in 1997/8) to analyse financial soundness of banks. NPLs determine loans default rates that decreases banks’ financial soundness. Chapter 4 tests the resistance of the banking system of the EMEAP countries to large macroeconomic shocks (stresses) in a stress-test framework, computing frequency distributions of default rates in three main macroeconomic scenarios (baseline model, stressed real GDP growth and stressed real interest rate). Default rate indicates the possible loss of banks and hence it is an indicator of credit risk which weakens banks’ financial strength. The stress-test indicates that stressing real GDP growth with negative extreme shocks leads to an increase in frequency of higher default rates (in comparison with the baseline model), whereas positive shock to real interest rate may secure financial stability through increasing the frequency of lower default rates and decreasing frequency of higher default rate.
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Paul, Pascal. "Essays on financial stability and monetary policy." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:49999782-6173-4e2b-8645-cab0b1561595.
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This thesis consists of three self-contained chapters. Chapter I. The first chapter develops a dynamic general equilibrium model which includes financial intermediation and endogenous financial crises. Consistent with the data, financial crises occur out of prolonged (credit) boom periods and are initiated by a moderate adverse shock. The mechanism which gives rise to boom-bust episodes around financial crises is based on an interaction between the maturity mismatch of the financial sector and an agency problem which results in procyclical lending. I show how to model these features in a tractable way, giving a realistic representation of the financial sector's balance sheet and its lending behavior. The chapter provides empirical evidence on the behavior of the U.S. financial sector's market leverage which is (i) acyclical, (ii) rose mildly prior to the Great Recession, and (iii) increased sharply during the crisis; the model is consistent with these empirical facts. It also predicts and replicates the Great Recession, when confronted with a historical series of structural shocks. Finally, the framework is extended to include price rigidities, nominal debt contracts, and monetary policy. Within this version, I analyze the impact of monetary policy on financial stability and show that a U-shaped pattern of the policy target rate is most likely to increase financial instability. Chapter II. The second chapter models the economy as a time varying vector autoregression, consisting of economic and financial variables. The interest lies in the time varying response of these variables to a monetary policy shock. Monetary policy shocks are identified as the surprise component in policy announcements extracted from price changes in Federal Funds futures around such announcements. These monetary policy surprises enter the model as an exogenous variable. The framework is used to obtain evidence on the time varying response of stock prices to the monetary policy surprises. Stock prices always persistently decrease following a monetary tightening and more strongly than fundamentals imply - with an increase in risk-premia accounting for the difference. However, the response of stock prices varies over time. They decrease less during a boom and a perceived bubble period than during a recession. The findings suggest that so-called "leaning against the wind policies" may be ineffective since stock prices are less responsive during periods when such policies would disinflate asset bubbles using contractionary monetary policy. Chapter III. The third chapter augments a monetary dynamic general equilibrium model with a bubble as considered in [Miao_Wang_2015]. A bubble may exist in firms' stock market values and firms borrow against their inflated stock market values. Within this framework, I analyze the relation between monetary policy and the bubble. I find that contractionary monetary policy decreases the bubble which tightens borrowing constraints and amplifies the reaction of investment and output. These results are in contrast to the ones in Gali (2014) who considers a bubble of the classic rational type and finds that contractionary monetary policy can increase bubbles.
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Kotak, Akshay. "Essays on financial intermediation, stability, and regulation." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:112b32a7-fa60-4baa-a325-15e014798cea.
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Modern banking theories provide a host of explanations for the existence of intermediaries, highlight their important influence on economic growth, delineate the risks inherent in the services they provide, and illustrate the market failures and real costs of bank failures that precipitate the need for regulation and oversight of the sector. This thesis is a collection of three essays that looks at three of these key aspects of financial intermediaries - the development of financial intermediaries, the function of the lender of last resort that has emerged as an important part of the safety net afforded to financial intermediaries, and the occurrence of financial crises. The first chapter of this thesis provides an introduction to the academic literature on financial intermediation covering different theories put forward to explain their emergence, and highlighting the risks inherent in their operation. It emphasizes the crucial functions they perform in the economy and makes a case for regulation and oversight of the sector to reduce the incidence and alleviate the effects of financial crises. The second chapter seeks to determine the policy and institutional factors that influence the development of financial institutions as measured across three dimensions - depth, efficiency, and stability. Applying the concept of the financial possibility frontier, developed by Beck and Feyen (2013) and formalized by Barajas et al. (2013b), we determine key policy variables affecting the gap between actual levels of development and benchmarks predicted by structural variables. Our dynamic panel estimation shows that inflation, trade openness, institutional quality, and banking crises significantly affect financial development. We also assess the impact of the policy variables across the different dimensions of development thereby identifying complementarities and potential trade-offs for policy makers. The third chapter models the role of the lender of last resort (LoLR) in a general equilibrium framework. We allow for heterogeneous agents and a risk-averse banking sector, and incorporate the frictions of endogenous default, liquidity, and money. Adverse supply shocks in monetary endowments trigger default, leading to deterioration in the value of bank assets, and subsequent bank illiquidity in some states of the world. LoLR intervention is then assessed with regards to its economy-wide effect on welfare, bank profitability, and the level of default. The results provide a justification for constructive ambiguity. The fourth chapter aims to provide an explanation for the incidence of financial crises by combining insights from agency theory and Minsky's financial instability hypothesis (Minsky, 1992) in a model with endogenous default. Our theoretical model shows that the probability of a financial crisis increases as the quality of shareholder information decreases. We then develop a measure for the quality of shareholder information following Simon (1989) and show that the market-wide quality of shareholder information: i) is poor (with no trend) in the Pre-SEC period (1840 to 1934); ii) improves substantially following the SEC reforms; and iii) gradually declines starting in the 1960s/70s until it is now back to pre-SEC levels. This matches up with the standard list of US financial crises (as in Reinhart and Rogoff 2009; Reinhart 2010) and supports our hypothesis that the likelihood of a financial crisis increases with deterioration in the quality of shareholder information.
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Ben, Hadj Saifeddine. "Essays on risk management and financial stability." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E003/document.
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La thèse analyse la question de la stabilité du système financier international dans son ensemble et plus précisément comment améliorer sa résilience. Chaque chapitre se focalise sur un type d'acteur dans ce système complexe, à savoir les banques, les organismes de supervision et les régulateurs internationaux. Le premier chapitre introduit de nouvelles techniques d'optimisation pour accélérer le calcul de mesure de risque dans les banques et les institutions financières. Il propose également une étude théorique pour valider les algorithmes d'optimisation proposés. Le second vise à quantifier l'externalité négative générée par les activités d'une banque ou d'une d'institution financière. Finalement, le dernier chapitre concerne la coopération entre régulateurs nationaux en présence de coûts de coordination en proposant une analyse qui s'appuie sur la théorie des jeuxWe first investigate the computational complexity for estimating quantile based risk measures, such as the widespread Value at Risk for banks and Solvency II capital requirements for insurance companies, via nested Monte Carlo simulations. The estimator is a conditional expectation type estimate where two stage simulations are required to evaluate the risk measure: an outer simulation is used to generate risk factor scenarios that govern price movements and an inner simulation is used to evaluate the future portfolio value based on each of those scenarios. The second essay considers the financial stability from a macro perspective. Measuring negative externalities of banks is a major challenge for financial regulators. We propose a new risk management approach to enhance the financial stability and to increase the fairness of financial transactions. The basic idea is that a bank should assume as much risk as it creates. Any imbalance in the tails of the distribution of profit and losses is a sign of the bank's failure to internalize its externalities or the social costs associated with its activities. The aim of the third essay is to find a theoretical justification toward the mutual benefits for members of a bonking union in the context of a strategic interaction model. We use a unique contagion dynamic that marries the rich literature of game theory, contagion in pandemic crisis and the study of collaboration between regulators. The model is focused toward regulating asset classes, not individual banks. This special design addresses moral hazard issues that could result from government intervention in the case of crisis
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Xue, Wenjun. "Financial Sector Development, Economic Growth and Stability." FIU Digital Commons, 2018. https://digitalcommons.fiu.edu/etd/3715.
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My dissertation investigates financial sector development, economic growth and stability through the analysis of Chinese and international evidence. My first chapter is the introduction. The second chapter investigates the effects of Chinese financial and fiscal policies on the Chinese economic recovery in the 2008 economic stimulus Plan, covering the period from the Great Recession to 2014. This chapter explores the effects of the increase in bank credit growth with significant strain of banking health on firm-level output, employment and investment. The results demonstrate that the increase in government expenditure due to the fiscal policies has the significant effects on the very same firm-level indicators. The effects of such policies are shown to depend on firm characteristics such as size, liability ratio, profitability, ownership and industry. Regarding the dynamic effects of the policies, it is documented that the roles of Chinese financial and fiscal policies are effective but temporary on the Chinese economic recovery within about 2 years.
In the third chapter, I investigate the effects of financial sector development on the growth volatility by using the data of 50 countries. The empirical results show that the aggregate growth volatility declines from 1997 to 2014 in the global perspective while the advanced countries have much smaller growth volatility than the developing countries. Using the dynamic panel threshold model, I find that financial sector development significantly reduces growth volatility, especially in its lower regime. Financial sector development magnifies the shock of inflation volatility towards growth volatility in its higher regime. My results reveal the importance of keeping financial sector development at an optimal level, which is beneficial to reduce aggregate fluctuations and dampen the inflation shocks.
The fourth chapter examines the asymmetric roles of bank credit on the business cycle by using international evidence. The empirical results present that bank credit is pro-cyclical and amplifies the business cycle. This effect is larger in the economic peak and trough, which forms a U-shaped curve. The U-shaped influences are robust for alternative financial factors, including M2 supply and stock price. This paper contributes to explore the distinct roles of bank credit on the economy in different business cycle phases.
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Jiang, B. "Financial stability of banking system in China." Thesis, Nottingham Trent University, 2014. http://irep.ntu.ac.uk/id/eprint/27925/.
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This thesis aims at investigating the financial stability of China's banking system. Since the banking system is one of the most important financial intermediaries in the financial systems, the financial soundness of banks could secure the stability of the whole financial system. Two of the factors that may significantly increase imbalance of the banking system, and hence affect financial stability of an economy is the accumulated non-performing loans of banks and the macro-economic turbulences. This fact raises the questions of how macroeconomic condition, as a determinant of systemic distress, can be assessed more comprehensively and consistently, and what the implications are for modelling it within an integrated credit risk framework. The aim of this thesis is addressing these issues. We develop a framework for macro stress-testing of China's banking system. Our estimates of the correlations between banks' stability indicators and macroeconomic factors establish significant relationships between the non-performing loan ratio and key macro-economic variables, such as GDP growth, the retail price index, the unemployment rate, total fixed investment, the money supply, interest rates and exchange rates. Further, results from the macro stress tests show that robustness, or otherwise, of the banking system is highly dependent on the source of the potential risk. Our value-at-risk tests suggest that (at a 99% confidence level) the Chinese banking system is robust with respect to interest rate shocks. However, GDP growth and exchange rate shocks exhibit a profound negative effect, indicating that significant losses become likely. We also examine the determinants of non-performing loan ratio for regional China‘s banking system, using data from 2002 to 2011 for 31 regions in China. Our estimations suggest that the non-performing loan ratio worsens with decreasing economic growth, shrinking export and property market depression. Further, with the help of a probit model, we identify the leading indicators of banking distress and estimate the banking distress probability for regional China. Moreover, this study provides an overview of banking system stability in the geographical distribution of these indicators. The findings show there are significant relationships between the regional banking distress indicator and key macroeconomic variables, such as GDP growth, the consumer price index, the unemployment rate, and house price. Based on the findings, we designed an early-warning system to monitor banking stability of regional China. These results should prove informative for policymakers and regulators alike, regarding awareness of loss-limitation in China‘s banking system, the banking distress signals and macro-prudential perspectives to monitor the potential risk exposure of the banking system in China's regions.
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Venter, Zoë. "Essays on monetary policy and financial stability." Doctoral thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/21658.
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Doutoramento em EconomiaBy focusing on the relationship between financial stability and monetary policy for the cases of Chile, Colombia, Japan, Portugal and the UK, this thesis aims to add to the existing literature on the fundamental issue of the relationship between financial stability and monetary policy, a traditional topic that gained importance in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. As the zero-lower bound loomed and the reach of traditional monetary policy narrowed, policy makers realised that alternative frameworks were needed and hence, macroprudential policy measures aimed at targeting the financial system as a whole were introduced. The second chapter looks at the relationship between monetary policy and financial stability, which has gained importance in recent years as Central Bank policy rates neared the zero-lower bound. We use an SVAR model to study the impact of monetary policy shocks on three proxies for financial stability as well as a proxy for economic growth. Monetary policy is represented by policy rates for the EMEs and shadow rates for the AEs in our chapter. Our main results show that monetary policy may be used to correct asset mispricing, to control fluctuations in the real business cycle and also to tame credit cycles in the majority of cases. Our results also show that for the majority of cases, in line with theory, local currencies appreciate following a positive monetary policy shock. Monetary policy intervention may indeed be successful in contributing to or achieving financial stability. However, the results show that monetary policy may not have the ability to maintain or re-establish financial stability in all cases. Alternative policy choices such as macroprudential policy tool frameworks which are aimed at targeting the financial system as a whole may be implemented as a means of fortifying the economy. The third chapter looks at the institutional setting of the countries in question, the independence of the Central Bank, the political environment and the impact of these factors on financial Abstract stability. I substantiate the literature review discussion with a brief empirical analysis of the effect of Central Bank Independence on credit growth using an existing database created by Romelli (2018). The empirical results show that there is a positive relationship between credit growth and the level of Central Bank Independence (CBI) due to the positive and statistically significant coefficient on the interaction term between growth in domestic credit to the private sector and the level of CBI. When considering domestic credit by deposit money banks and other financial institutions, the interaction term is positive and statistically significant for the case of the UK for the third regression equation. A number of robustness checks show that the coefficient is positive and statistically significant for a number of cases when implementing a variety of estimation methods. Fluctuations in credit growth are larger for higher levels of CBI and hence, in periods of financial instability or ultimately financial crises, CBI would be reined back in an effort to re-establish financial stability. Based on the empirical results, and in an effort to slow down surging credit supply and to maintain financial stability, policy makers and governmental authorities should attempt to decrease the level of CBI when the economy shows signs of overheating and credit supply continues to increase. The fourth chapter looks at the interaction between macroprudential policy and financial stability. The unexpected interconnectedness of the global economy and the economic blight that occurred as a result of this, recapitulated the need to implement an alternative policy framework aimed at targeting the financial system as a whole and hence, targeting the maintenance of financial stability. In this chapter, an index of domestic macroprudential policy tools is constructed and the effectiveness of these tools in controlling credit growth, managing GDP growth and stabilising inflation growth is studied using a dynamic panel data model for the period between 2000 and 2017. The empirical analysis includes two panels namely an EU panel of 27 countries and a Latin American panel of 7 countries, the chapter also looks at a case study of Japan, Portugal and the UK. Our main results find that a tighter macroprudential policy tool stance leads to a decrease in both credit growth and GDP growth while, a tighter macroprudential policy tool stance results in higher inflation in the majority of cases. Further, we find that capital openness plays a more important role in the case of Latin America, this may be due to the region’s dependence on foreign capital flows and exchange rate movements. Lastly, we find that, in times of higher perceived market volatility, GDP growth tends to be higher and inflation growth tends to be lower in the EU. In the other cases, higher levels of perceived market volatility result in higher inflation, higher credit growth and lower GDP Abstract growth. This is in line with expectations as an increase in perceived market volatility is met with an increased flow of assets into safer markets such as the EU. This thesis establishes a relationship between financial stability and monetary policy by studying the response of Chile, Colombia, Japan, Portugal and the UK in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. In short, the results of the work conducted in this thesis may be summarised as follows. Our results show that monetary policy contributes to the achievement of financial stability. Still, monetary policy alone is not sufficient and should be reinforced by less traditional policy choices such as macroprudential policy tools. Secondly, we find that the level of CBI should be reined in in times of surging credit supply in an effort to maintain financial stability. Finally, we conclude that macroprudential policy tools play an important role in the achievement of financial stability. These tools should complement traditional monetary policy frameworks and should be adapted for each region.
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Špíšková, Marcela. "Návrh na zajištění finanční stability podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2007. http://www.nusl.cz/ntk/nusl-221541.
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Master`s thesis analyses financial situation of the firm FABORY – CZ and views its financial health. The task of this master`s thesis is to propose solutions leading to the ensuring of financial stability of the company.
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Smejkalová, Helena. "Návrh na zajištění finanční stability podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2007. http://www.nusl.cz/ntk/nusl-221565.
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The first part of master`s thesis deals with proposal for providing a financial stability of a company. Second part is an application of the analysis to a particular company and designs with result in recovery of problematic spheres and improvement which should improve financial circumstances of the company
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Käfer, Benjamin [Verfasser]. "The Interaction between Financial Stability and Financial Institutions: Some Reflections / Benjamin Käfer." Kassel : Kassel University Press, 2016. http://d-nb.info/1125910100/34.
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Eberendu, I. "Plane frame stability analysis based on the inelastic zone method." Thesis, City University London, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.356007.
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Molík, Vladimír. "Návrh na zajištění finanční stability podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2007. http://www.nusl.cz/ntk/nusl-221471.
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This thesis assesses the financial health and the problematic areas of the company in the years 2003 - 2006 on the basis of selected methods of financial analysis. It comprises proposals of solutions of identified problems which should result in improvement if financial situation of the company and its stability fin future years.
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Schlaepfer, Alain. "Essays on uncertainty, monetary policy and financial stability." Doctoral thesis, Universitat Pompeu Fabra, 2016. http://hdl.handle.net/10803/393734.
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In the first chapter, I examine both theoretically and empirically how income uncertainty affects the effectiveness of monetary policy. I consider income risk from potential unemployment, and find that monetary policy has a smaller influence on aggregate demand when unemployment risk is high. I build on the fact that saving arising from a precautionary motive has a smaller interest elasticity. As a consequence, aggregate demand reacts less to the interest rate when uncertainty is high. The second chapter links the build-up of financial risk that led to the recent financial crisis to the preceding period of exceptionally low macroeconomic volatility. The degree of stability that a country has enjoyed before 2007 predicts robustly how much it suffered from the crisis, a result that also holds for individual firms. In the final chapter, I connect this period of low volatility to the conduct of monetary policy. Building on a stylized model, I show empirically that monetary policy may have been `too successful' in stabilizing inflation, as this has contributed to excessive financial risk taking.En el primer capítol, aquesta Tesi Doctoral estudia com la incertesa en els ingressos afecta l'eficàcia de les polítiques monetàries. Considerant el risc en els ingressos de la desocupació potencial, la investigació conclou que les polítiques monetàries tenen una influència menor en la demanda agregada quan el risc de desocupació és elevat. Parteixo del fet que l’estalvi sorgit de motius preventius té una menor elasticitat respecte el tipus d'interès. Com a conseqüència, la demanda agregada reacciona menys als tipus d’interès quan la incertesa és alta. En el segon capítol s’enllaça el risc financer que va precedir la crisi financera recent amb el període precedent caracteritzat per una volatilitat macroeconòmica baixa. El grau d’estabilitat que un país va gaudir abans del 2007 prediu de forma robusta el grau en què va patir durant la crisi econòmica, un resultat que també es manté quan s’analitzen les empreses. En l’últim capítol de la Tesi, connecto aquest període de volatilitat baixa amb la manera en què s’han desenvolupat les polítiques monetàries. A través d’un model, mostro com les polítiques monetàries han estat massa “exitoses” en estabilitzar la inflació, la qual cosa ha contribuït en una excessiva aversió al risc financer.
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Roure, Calebe de [Verfasser]. "Current topics in financial stability / Calebe de Roure." Frankfurt am Main : Frankfurt School of Finance & Management gGmbH, 2017. http://d-nb.info/1151234095/34.
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Kubelec, Christopher J. "Macroeconomic policy and stability in international financial markets." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/2458/.
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This thesis examines two key areas where macroeconomic policy and stability in international financial markets intersect. Part one examines the extent to which economic policy can limit the development of misalignments in exchange rates, without sacrificing policy tools that are needed to maintain internal macroeconomic balance. This issue is addressed in a model where endogenous exchange rate fluctuations are generated by traders selecting alternative forecasting strategies on the basis of an ‘evolutionary fitness rule’, in the spirit of work by Brock and Hommes (1997, 1998). In this setting it is shown how, by changing the relative profitability of available strategies, sterilized intervention can coordinate traders onto strategies based on macroeconomic fundamentals. Empirical evidence in support of the model is provided based on data from interventions by the Japanese authorities in the 1990’s. In addition, simulations of the estimated model are used to calculate confidence intervals for the ex ante probability that interventions of a given size will be effective in pricking bubbles in the exchange rate. Part two moves on to examine the implications for macroeconomic policy of the exponential growth in recent years of the use of financial derivatives. A theoretical model is developed which demonstrates how firms’ use of derivatives for risk management purposes, while increasing the robustness of the financial system to shocks, at the same time reduces the impact of monetary policy on the macroeconomy. This effect arises because the agency costs, which enhance the impact of monetary policy through the credit channel, are reduced by firms’ usage of hedging instruments, in particular interest rate swaps. Using quarterly data on total outstanding swap contracts from 1990, empirical evidence is then presented to show how increased usage of derivatives may have influenced the impact of monetary policy in the United States.
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Jia, Pengfei. "Macroprudential regulation and financial stability in open economies." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/macroprudential-regulation-and-financial-stability-in-open-economies(0ab575bf-ff47-4de8-9ff5-03053c2f4e54).html.
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In the aftermath of the global financial crisis, researchers and policymakers have shown a renewed interest in the role of capital controls as a macroprudential instrument as well as the international dimensions of macroprudential policies. This thesis discusses macroprudential regulation and financial stability in open economies. Chapter 1 studies the performance of time-varying capital controls on cross-border bank borrowing in an open-economy, dynamic stochastic general equilibrium model with credit market frictions and imperfect capital mobility. The model is parameterized for a middle-income country and is shown to replicate the stylized facts associated with a fall in world interest rates (capital inflows, real appreciation, credit boom, asset price pressures, and output expansion). A capital controls rule, which is fundamentally macroprudential in nature, is defined in terms of either changes in bank foreign borrowing or cyclical output. An optimal, welfare-maximizing rule is established numerically. In addition, the optimal simple rule is shown to perform well relative to the Ramsey policy. The analysis is then extended to solve jointly for optimal countercyclical reserve requirements and capital controls rules. These instruments are complements in the sense that both are needed to maximize welfare. At the same time, a more aggressive credit-based reserve requirement rule also induces less reliance on capital controls. Thus, at the margin, countercyclical reserve requirements and capital controls are partial substitutes in maximizing welfare. Chapter 2 evaluates, using a game-theoretic approach, the benefits of coordinating macroprudential policy (in the form of reserve requirements) in a two-country model of a currency union with credit market imperfections. Financial stability is first defined in terms of the volatility of the credit-to-output ratio. The gains from coordination are measured by comparing outcomes under a centralized regime, where a common regulator sets the required reserve ratio to minimize union-wide financial volatility, and a decentralized (Nash) regime, where each country regulator sets that ratio to minimize its own policy loss. Experiments show that, under asymmetric real and financial shocks, the gains from coordination are significant at the union level. Moreover, these gains are higher when the common and national regulators have asymmetric preferences with respect to output stability, when financial markets are more integrated, and when the degree of asymmetry in credit markets between members is larger.
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Galanis, Giorgos. "Heterogeneous economies : implications for inequality and financial stability." Thesis, University of Warwick, 2017. http://wrap.warwick.ac.uk/92769/.
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In the first chapter we explore the relationship between income inequality and the Utilitarian ethic in a dynamic environment with endogenous preferences. Classical Utilitarians, like Bentham, believed that utilitarian principles are compatible with egalitarian ones. Although this claim is not uncontroversial, this relation holds for a utilitarian distribution of a given good among people, with identical concave utilities and exogenously set preferences. This idea breaks down if the preferences are different. In this paper we allow for endogenous preferences influenced by the existence of habits. We show how the inclusion of habit formation, studied in a dynamic environment, has egalitarian implications for a classical utilitarian distribution. Based on this result we are able to argue that Bentham’s positive views of decreasing inequality due to different consumption habits are consistent with his normative views regarding distribution. The second chapter explores the question of whether long-term income inequality consistent with equality of opportunity (EOp) ethic. In order to provide an answer we study the effectiveness of intergenerational EOp policies in an environment with two social groups and infinite generations of individuals, where the outcomes of one generation define the circumstances of the next. Circumstances in this paper have to do either with different preferences among individuals from different social groups or with both resources and preferences due to these resources. We show that in the former case EOp policies reduce inequality and also the EOp policy is the same as the Utilitarian one. In the latter case, inequality is not reduced and its level depends on the relative population of the two social groups. The third chapter studies an economy where privately informed hedge funds trade a risky asset in order to exploit potential mispricings. Hedge funds are allowed to have access to credit, by using their risky assets as collateral. We analyse the role of the degree of heterogeneity among hedge funds’s demand for the risky asset in the emergence of clustering of defaults. We find that fire-sales caused by margin calls is a necessary, yet not a sufficient condition for defaults to be clustered. We show that when the degree of heterogeneity is sufficiently high, poorly performing hedge funds are able to obtain a higher than usual market share at the end of the leverage cycle, which leads to an improvement of their performance. Consequently, their survival time is prolonged, increasing the probability of them remaining in operation until the downturn of the next leverage cycle. This leads to the increase of the probability of poorly and high-performing hedge funds to default in sync at a later time, and thus the probability of collective defaults.
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Cao, Zhili. "Systemic risk measures, banking supervision and financial stability." Thesis, Toulouse 1, 2013. http://www.theses.fr/2013TOU10014/document.
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Cette thèse analyse les sources d’inefficacité qui peuvent générer un risque systémique au sein du système financier et étudie les différentes mesures associées. Le premier article présente une revue de la littérature sur le risque systémique et la politique macroprudentielle : 1) les effets négatifs de la procyclicité pour le système financier dans son ensemble ainsi que pour l’économie réelle; 2) le risque de contagion entre institutions financières. Le second article de la thèse propose une nouvelle mesure du risque systémique visant à capturer efficacement l’importance systémique de chaque institution financière au sein d’un système donné. Le troisième article de la thèse analyse la structure de la dette des banques. Les banques choisissent la maturité de leur dette à court et/ou long terme. Les externalités négatives générées par l’excès de financement de court terme n’apparaissent que lorsque la probabilité d’un choc macroéconomique est suffisamment largeThis thesis analysis the inefficiencies which may trigger the systemic risks in the financial system and studies the related measures to quantify such risks. The first article surveys the systemic risk in the financial system and the related macro-prudential policy: 1) the pro-cyclicality effect is harmful to the whole financial system as well as to the real economy; 2) the contagion risk among financial institutions. The second article of thesis proposes a new systemic risk measure to efficiently capture the systemic importance of each financial institution within a given system. The term systemic risk refers to the contagion risk to which each bank contributes to the financial system. The third article of thesis analysis the debt structure in the banking sector. Banks choose their debt maturity structure by weighting short term against long term debt. The externalities caused by over borrowing in short term debt exist only when the probability of macro shock is large
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Roddy, Jackie Ann. "Retention Strategies for Financial Stability in Community Colleges." ScholarWorks, 2016. https://scholarworks.waldenu.edu/dissertations/2687.
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Tennessee education leaders must improve their student retention strategies to increase financial stability and enhance the state's ability to support businesses and jobs through a well-educated workforce. The focus of this qualitative multiple case study was on 6 Tennessee community colleges where leaders had demonstrated successful strategies for retaining students resulting in increased revenues and financial stability. The advocacy/ participatory worldview provided a conceptual framework for identifying and comparing themes regarding Tennessee higher education leaders' retention strategies. Data collection included interviews and review of organizational retention reports on strategies as well as college, state, and federal findings on retention. Federal government websites contained information about Tennessee community colleges having the highest retention rates. Methodological triangulation provided the opportunity to identify similarities in retention strategies used by the community college leaders. Using the concept of classical data analysis, responses were categorized according to the program, activity, or initiative college administrators used to increase retention. Based on mind mapping of the clusters of information, findings revealed 3 primary themes: effects of retention on college revenues; challenges in retaining at-risk students; and strategies for retaining students, including new student orientation, counseling and advising, tutoring, and freshman seminars. The potential for social change includes the opportunity to increasing the college-educated workforce to provide more opportunities for local business leaders and find viable applicants to fill open positions and enhance the economic sustainability of local communities.
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Asık, Gunes. "Empirical essays on employment, financial development and stability." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/1077/.
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This thesis is a collection of essays on the important problems in developing countries and aims to contribute to the empirical literature on the i) financial services sector expansion and its implications on formal employment, i) impact of early retirement incentives on labour force participation rates and finally on the iii) effectiveness of stabilization funds on reducing the boom and bust cycles in light of fluctuating international commodity prices. Chapter 1 investigates the role of financial services expansion, especially the impact of increase in consumer credits on the reduction of informal employment. I argue that liberalization should naturally lead to a decline in the share of informal employment due to the fact that international firms are less likely to employ informally and consumers whose borrowing constraints are relaxed due to more credit availability are more likely to prefer goods that are paid with consumer credits. I test this hypothesis by exploiting the regional variation in Turkey. Due to the possible endogeneity problem, I employ several instruments and find positive impact of consumer services expansion on formal employment. Two unique datasets that I explore for for possible instruments are i) the religiosity and political tendencies surveys of 2011 and 2013, and ii) regional Armenian population loss data between 1914-1917 in the former Ottoman Empire that preceded the Turkish Republic. The exogenous variation that I seek to explore accordingly are; i) Islam bans all sorts of interest charges in financial transactions and therefore residents of more conservative regions are on average less likely to demand consumer credits, and ii) Armenians were the trading and artisan class of the Empire and therefore the main users of the financial instruments and when they perished. Chapter 2 is about the impact of a Social Security System that allowed women and men to retire as early as 38 and 44 years old on labour supply decisions in Turkey. Before the pension reform of 1999, the Law 3774, dated 1992 brought incentives to those individuals who several conditions to retire at a much earlier age than the conventional 60-65 years window. Using the Statistics on Income and Living Condition (SILC) panel dataset between 2007-2010 in a Fuzzy Regression Continuity Design, we find that these incentives let to an average decline of about 16.9 hours in weekly hours worked by men aged 44-52 and 20.6 hours decline in weekly hours worked by women who are aged between 39-49 in a bandwidth of three years around the eligible age for retirement. Moreover, we find that the entitlement for retirement after 44 years old reduced the probability of labour force participation of men by about 28% to 37% while we did not find a statistically meaningful impact on the participation decisions of women. Chapter 3 explores whether sovereign wealth or stabilization funds created by governments in oil rich countries are effective in reducing volatility and ensuring a counter-cyclical or acyclical fiscal policy in line with the optimal fiscal policy literature or whether they are just another government account in practise. The existing literature on the effectiveness of stabilization funds suffers from endogeneity problems, namely i) the endogeneity between gdp and government expenditures and ii) the endogenity of the decision to establish stabilization funds. In this paper, I contribute to the literature by addressing both of these problems by using a series of Two Stage Least Square Estimations and find positive evidence in favour of stabilization funds in reducing volatility and pro-cyclicality of the fiscal policy in oil rich countries. The findings are relevant for the wider discussion of the procyclicality in developing countries, as one third of the countries which are documented to improve fiscal policy cyclicality seem to be the ones that are resource rich and have a stabilization fund in place.
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Tsopanakis, Andreas. "Essays on financial stability, systemic risk and the spillover effects of financial crises." Thesis, University of Glasgow, 2014. http://theses.gla.ac.uk/5496/.
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This thesis investigates in depth several aspects of economic activity through an aggregated metric, which aims to account for the inherent distressful characteristics of the financial system. This work is strongly motivated by the extraordinary evolution of the financial and economic landscape and the induced fragility within its foundations, especially during the last years. Chapter 1 provides an overview of the theoretical considerations on the topics discussed in this thesis. Additionally, the motivations and a brief presentation of the thesis contents are provided. Chapter 2 empirically investigates the leading indicator properties of the aggregate systemic risk indices to the real economy. In order to do that, I construct a series of financial stress indices for 25 countries. The countries are bundled into three groups (OECD, Asian, Latin American countries) and, apart from the national indexes, regional and a global index are computed. In order to do this, a number of variables from the banking sector, financial and capital markets and the foreign exchange market of each country, have been used for the implementation of these indicators. The indexes are successful early warning indicators, accurately capturing previous financial stress periods, while the financial turmoil of 2007-2009 is, without doubt, the most severe one. Forecasting exercises indicate the improved ability of indices-enhanced models to successfully predict the evolution of economic activity. Chapter 3 investigates the interrelations and financial interconnections of the Eurozone economies. Financial stress indices are constructed for, both, countries and their four most important financial markets (banking, money, equity and bond). Using VAR models, a number of innovative conclusions are reached, such that: 1) not all peripheral countries (and especially Greece and Portugal) should be blamed for the crisis exacerbation 2) there is clear evidence of stronger interdependencies between banking and bond markets and 3) a degree of segregation (in terms of financial stress interdependence) between peripheral and core Eurozone economies. The last essay aims to the deeper empirical investigation of potential crosscovariances and spillover effects between the Eurozone economies and financial markets. Full, asymmetric GARCH-BEKK models are estimated, both on a market (or 3 country) wide level and, then, with the full spectrum of Euro Area markets. In other words, we complete an empirical examination, both “within” and “between” Eurozone economies and markets. The results reveal a number of interesting insights: on country wide level, there is strong volatility transmission channel from the most heavily hit, from the crisis, economies towards the rest. Additionally, the crucial importance and role on this transmission from the banking and bond markets is underlined. Contrary to common wisdom, Greece is not the main propagator of volatility uncertainty, while it is between the most important receivers of volatility risk. The same holds for other peripheral economies, while the importance of money market is also evident in the large, “between”, empirical approach.
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Kučera, Jan. "Návrh na zajištění finanční stability podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223414.
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Aidi, Wafa. "Effects of the financial liberalization process on financial stability : Theorical dimensions and empirical investigations." Thesis, Toulon, 2014. http://www.theses.fr/2014TOUL2007.
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Cette thèse démontre que la dynamique d’intégration peut expliquer l’instabilité financière d’une économie. Sur le plan théorique, nous analysons les éventuelles non-linéarités dans l’effet de la libéralisation financière sur la stabilité externe. Sur le plan empirique, nous proposons les modèles à seuil comme alternative aux modèles linéaires conventionnelles. Notre thèse se subdivise en 4 chapitres. Le premier chapitre revisite le débat sur la nature de l’effet exercé par l’intégration financière sur la stabilité externe. Le second chapitre analyse l’intégration financière et la structure d’intermédiation dans les régions les plus assujettis à des sévères crises. Les crises financières majeures se sont survenues au sein de dynamiques non-optimales d’intégration. Le troisième chapitre présente deux modélisations régionales de la relation Intégration financière/Pressions spéculatives. La première démontre que la libéralisation financière accroit les pressions spéculatives au-delà d’un degré seuil. En outre, l’évolution au sein d’une dynamique non-optimale d’intégration accroit les tensions de change dès les premières étapes d’intégration. La seconde recherche préconise que l’effet « pressions spéculatives » du processus d’intégration dépend de la matrice (dynamique d’intégration/ structure financière). Les économies basées sur les crédits bancaires semblent être moins vulnérable aux tensions de change. Le dernier chapitre s’intéresse à l’effet de la dynamique d’intégration sur la vulnérabilité des économies du Moyen-Orient et d'Afrique du Nord aux crises de change. Le premier essai démontre que le maintien d’une dynamique optimale d’intégration retarde le changement structurel dans l’effet de la libéralisation financière sur les tensions de change. Le second essai signale que l’excès de la libéralisation financière constitue un déterminant de la stabilité de change. Désormais ce n’est plus le choix de la séquence d’intégration qui détermine la stabilité de change mais plutôt c’est le maintien d’une dynamique optimale d’intégration. Notre réflexion peut fournir les fondements d’une théorie de dynamique optimale d’intégrationThis thesis demonstrates that the integration dynamics can explain exchange instabilities. Theoretically, we discuss the possible non-linearity in the effect of financial liberalization. Empirically, we suggest the threshold models as an alternative to traditional linear models. Our thesis is divided into 4 chapters. The first chapter re-examines the debate on the financial liberalization impacts on external stability. The second chapter analyses the financial integration and the intermediation structure in the regions the most impacted by severe financial crises. These crises have been produced within non-optimal integration dynamics. Chapter three analyses two regional investigations of the relationship between financial integration and speculative pressures. The first analysis demonstrates that the financial integration increases the speculative pressures once the degree of financial liberalization exceeds a specific threshold. The second investigation suggests that the effect “exchange instabilities” of the financial integration process depends on the matrix financial structure versus liberalization dynamics. The bank-dominated systems seem to be less financially vulnerable than the market-dominated ones. The final chapter focuses on the effect of integration dynamics on MENA economies 'vulnerability to exchange crises. The first investigation suggests that the preservation of an optimal liberalization dynamic has delayed the structural break in the relationship between speculative pressures and financial liberalization. The second investigation outlines that the excess of financial liberalization constitutes an important determinant of exchange stability. It is no longer the choice of integration sequence which determines exchange imbalances, but rather the preservation of an optimal dynamic of integration. As a final contribution, our investigations can provide specific theoretical guidelines related to the optimal dynamic of integration