Michael Gelman, D. Greenberg, Zaheer Khan, Mosi Rosenboim
During normal times, strengthening the financial stability of banks is associated with contradictory effects on returns. In this paper, we establish that liquidity and capital ratios had a positive impact on bank returns during the first three years following the global financial crisis. Our results are robust to different endogeneity and robustness tests. We identify deposit franchise and risk management as two key channels through which stronger financial stability improved bank returns. Our study contributes to a better understanding of the time- varying effects of financial stability and of the benefits of liquidity and capital ratios during normal times and not only in crisis periods.
{"title":"Strengthening Bank Stability after the Crisis","authors":"Michael Gelman, D. Greenberg, Zaheer Khan, Mosi Rosenboim","doi":"10.2139/ssrn.3870723","DOIUrl":"https://doi.org/10.2139/ssrn.3870723","url":null,"abstract":"During normal times, strengthening the financial stability of banks is associated with contradictory effects on returns. In this paper, we establish that liquidity and capital ratios had a positive impact on bank returns during the first three years following the global financial crisis. Our results are robust to different endogeneity and robustness tests. We identify deposit franchise and risk management as two key channels through which stronger financial stability improved bank returns. Our study contributes to a better understanding of the time- varying effects of financial stability and of the benefits of liquidity and capital ratios during normal times and not only in crisis periods.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128471325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyses the factors that determine loan performance in online peer-to-peer lending. The basis of online peer-to-peer lending is to provide loans to individuals or businesses through online lending platforms that match lenders or investors with the borrowers. Unlike in traditional financial institutions, individual investors are the ones who assume the loan risk in peer-to-peer lending. These individual lenders suffer from a serious problem of information asymmetry. As a result, peer-to-peer lending platforms provide the lenders with various loan quality information along with assigned credit grades with a view to reducing the information asymmetry. By analysing 306,439 matured loans funded on the online peer-to-peer lending platform ‘Lending Club’, this study suggests that the platform-assigned credit grade is the most significant determinant of loan performance. In addition, loan amount, debt-to-income ratio, annual income, open credit lines, total credit lines and inquiries in the last 6 months were also found to be major determinants of loan performance.
{"title":"Online Peer-to-Peer Lending: Determinants of Loan Performance","authors":"Md Labib Sharar","doi":"10.2139/ssrn.3785323","DOIUrl":"https://doi.org/10.2139/ssrn.3785323","url":null,"abstract":"This paper analyses the factors that determine loan performance in online peer-to-peer lending. The basis of online peer-to-peer lending is to provide loans to individuals or businesses through online lending platforms that match lenders or investors with the borrowers. Unlike in traditional financial institutions, individual investors are the ones who assume the loan risk in peer-to-peer lending. These individual lenders suffer from a serious problem of information asymmetry. As a result, peer-to-peer lending platforms provide the lenders with various loan quality information along with assigned credit grades with a view to reducing the information asymmetry. By analysing 306,439 matured loans funded on the online peer-to-peer lending platform ‘Lending Club’, this study suggests that the platform-assigned credit grade is the most significant determinant of loan performance. In addition, loan amount, debt-to-income ratio, annual income, open credit lines, total credit lines and inquiries in the last 6 months were also found to be major determinants of loan performance.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116197486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
S. Rehman, Ikhlas Wani, Mir Khanam, Yasser Saleh Ali Almonifi
The major purpose of this article is to illustrate the rapid expansion of Islamic banking and finance in today's financial world. It tracks the performance of Islamic banking in more than 25 countries using various indicators and indexes from across the world. Muslims have been able to build a system without interest for mobilizing resources to finance economic activity and consumer demands for a very long period in Islamic history. During the height of Islamic culture and for centuries later, the system functioned admirably. As is well known, throughout the twelfth and thirteenth centuries, partnership and profit-sharing, established the foundation of business and industry in the Mediterranean region rather than interest-based borrowing and lending. However, when the world's economic center migrated to the West over the ages, western banks and financial institutions began to dominate, while the Islamic heritage remained dormant. The Muslim world accounts for almost 24.1 percent of the world's population (over 1.8 billion people). Islamic banking could be able to reach the bulk of global customers. Due to Muslims' desire to prevent war, there has been a significant resurgence of interest in creating a new version of the ancient Islamic banking system in recent years. As a result, there is a true surge and expansion in Islamic finance and business across the world. It has grown fast in the Middle East and South East Asia. These Islamic centers have acted as a springboard for the promotion of Islamic banking in Western business and financial markets. The findings of the paper hold the Islamic banking sector has made substantial progress in becoming a truly competitive and profitable global alternative to the traditional banking system.
{"title":"A Brief Review of Growth and Development in Islamic Banking","authors":"S. Rehman, Ikhlas Wani, Mir Khanam, Yasser Saleh Ali Almonifi","doi":"10.2139/ssrn.3867044","DOIUrl":"https://doi.org/10.2139/ssrn.3867044","url":null,"abstract":"The major purpose of this article is to illustrate the rapid expansion of Islamic banking and finance in today's financial world. It tracks the performance of Islamic banking in more than 25 countries using various indicators and indexes from across the world. Muslims have been able to build a system without interest for mobilizing resources to finance economic activity and consumer demands for a very long period in Islamic history. During the height of Islamic culture and for centuries later, the system functioned admirably. As is well known, throughout the twelfth and thirteenth centuries, partnership and profit-sharing, established the foundation of business and industry in the Mediterranean region rather than interest-based borrowing and lending. However, when the world's economic center migrated to the West over the ages, western banks and financial institutions began to dominate, while the Islamic heritage remained dormant. The Muslim world accounts for almost 24.1 percent of the world's population (over 1.8 billion people). Islamic banking could be able to reach the bulk of global customers. Due to Muslims' desire to prevent war, there has been a significant resurgence of interest in creating a new version of the ancient Islamic banking system in recent years. As a result, there is a true surge and expansion in Islamic finance and business across the world. It has grown fast in the Middle East and South East Asia. These Islamic centers have acted as a springboard for the promotion of Islamic banking in Western business and financial markets. The findings of the paper hold the Islamic banking sector has made substantial progress in becoming a truly competitive and profitable global alternative to the traditional banking system.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129092372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of monetary policy via financial markets. It has long been recognized that a standard two-sector New Keynesian model, where durable goods prices are flexible and non-durable and services sticky, does not generate the empirically observed sectoral comovement across expenditure categories in response to a monetary policy shock. We show that introducing financial frictions in a two-sector New Keynesian model can resolve its disconnect with the empirical evidence: a monetary tightening generates not only comovement, but also a rise in credit spreads and a deterioration in bank equity.
{"title":"Sectoral Comovement, Monetary Policy and the Credit Channel","authors":"F. Di Pace, C. Görtz","doi":"10.2139/ssrn.3869023","DOIUrl":"https://doi.org/10.2139/ssrn.3869023","url":null,"abstract":"Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of monetary policy via financial markets. It has long been recognized that a standard two-sector New Keynesian model, where durable goods prices are flexible and non-durable and services sticky, does not generate the empirically observed sectoral comovement across expenditure categories in response to a monetary policy shock. We show that introducing financial frictions in a two-sector New Keynesian model can resolve its disconnect with the empirical evidence: a monetary tightening generates not only comovement, but also a rise in credit spreads and a deterioration in bank equity.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127519493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Turkish Abstract: 2002 sonrasında bankacılık sektörünün büyüme sürecine girmesiyle birlikte finansal göstergelerde gelişme yaşanmaktadır. Önemli göstergelerden bazıları aktif büyüklüğü, kredi hacmi ve özkaynak karlılığıdır. Bir diğer önemli gösterge ise KMO’dur. 2006 yılsonunda %71,18 seviyesinde olan KMO, 2012 Mart ayında ilk kez %100’ü geçerek %100,38 oranına ulaşmış, 2018 Haziran ayında %123,9 oranı ile tarihi zirve yaptıktan sonra düşüş eğilimine girerek 2019 Eylül ayında %112 olmuştur. KMO’daki artış eğiliminin faiz oranları üzerinde baskı oluşturduğu düşünülmektedir. Bu amaçla, 2006/1-2019/9 dönemindeki aylık veriler kullanılarak Türkiye’de KMO ile seçilmiş faiz türleri arasındaki nedensellik ilişkisi incelenmiştir. Çalışma sonucunda, KMO ile mevduat faiz oranı arasında nedensellik ilişkisi bulunduğu belirlenmiştir. Dolayısıyla, Türkiye’de kredi faizlerindeki artışın önlenmesi için, KMO gelişiminin kontrol altında tutulmasına ve böylece temel fonlama kaynağı olan mevduat faizlerinin artışının önlenmesine yönelik tedbirler alınmalıdır.
English Abstract: There has been a development in financial indicators with the banking sector come up with the growth process after 2002. Some of the important indicators are asset size, loan volume, and return on equity. One of the other important indicators is LDR. LDR was at the level of 71.18% as of 2006 end, exceeding 100% for the first time in March 2012 and reached 100.38%, after peaking at the level of 123.9% in June 2018, it entered into a downward trend and became 112% in September 2019. It is thought that the increasing trend in LDR puts pressure on interest rates. For this aim, causality relationship between LDR and selected interest rate types is examined in Turkey by using monthly data for the period of 2006/1-2019/9. As a result of the study, it is defined that there is a causality relationship between LDR and deposit interest rate. Therefore, necessary precautions should be taken to keep the development of LDR under control and hence prevent the increase of deposit interest rates, which is the main source of funding, in order to prevent the increase in the loan interest rate in Turkey.
{"title":"Kredi/Mevduat Oranı (KMO) Gelişiminin Kredi Faiz Oranlarına Etkisi: Nedensellik Analizi ile Türkiye Üzerine Bir İnceleme [The Effects of Loan to Deposit Ratio (LDR) Development on Loan Interest Rates: An Examination upon Turkey by Causality Analysis]","authors":"M. Kartal, Abdurrahman Çeti̇n, Ömer Faruk Tan","doi":"10.2139/ssrn.3862085","DOIUrl":"https://doi.org/10.2139/ssrn.3862085","url":null,"abstract":"<br>Turkish Abstract: <br>2002 sonrasında bankacılık sektörünün büyüme sürecine girmesiyle birlikte finansal göstergelerde gelişme yaşanmaktadır. Önemli göstergelerden bazıları aktif büyüklüğü, kredi hacmi ve özkaynak karlılığıdır. Bir diğer önemli gösterge ise KMO’dur. 2006 yılsonunda %71,18 seviyesinde olan KMO, 2012 Mart ayında ilk kez %100’ü geçerek %100,38 oranına ulaşmış, 2018 Haziran ayında %123,9 oranı ile tarihi zirve yaptıktan sonra düşüş eğilimine girerek 2019 Eylül ayında %112 olmuştur. KMO’daki artış eğiliminin faiz oranları üzerinde baskı oluşturduğu düşünülmektedir. Bu amaçla, 2006/1-2019/9 dönemindeki aylık veriler kullanılarak Türkiye’de KMO ile seçilmiş faiz türleri arasındaki nedensellik ilişkisi incelenmiştir. Çalışma sonucunda, KMO ile mevduat faiz oranı arasında nedensellik ilişkisi bulunduğu belirlenmiştir. Dolayısıyla, Türkiye’de kredi faizlerindeki artışın önlenmesi için, KMO gelişiminin kontrol altında tutulmasına ve böylece temel fonlama kaynağı olan mevduat faizlerinin artışının önlenmesine yönelik tedbirler alınmalıdır.<br><br>English Abstract: <br>There has been a development in financial indicators with the banking sector come up with the growth process after 2002. Some of the important indicators are asset size, loan volume, and return on equity. One of the other important indicators is LDR. LDR was at the level of 71.18% as of 2006 end, exceeding 100% for the first time in March 2012 and reached 100.38%, after peaking at the level of 123.9% in June 2018, it entered into a downward trend and became 112% in September 2019. It is thought that the increasing trend in LDR puts pressure on interest rates. For this aim, causality relationship between LDR and selected interest rate types is examined in Turkey by using monthly data for the period of 2006/1-2019/9. As a result of the study, it is defined that there is a causality relationship between LDR and deposit interest rate. Therefore, necessary precautions should be taken to keep the development of LDR under control and hence prevent the increase of deposit interest rates, which is the main source of funding, in order to prevent the increase in the loan interest rate in Turkey.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128639229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-08DOI: 10.18601/17941113.N19.04
Yuly Andrea Franco
El proceso de optimización de portafolio busca encontrar el mejor de estos a través de las variables de riesgo y retorno, el modelo clásico de Mar-kowitz ha trabajado dicha selección bajo el portafolio de media-varianza, el cual ha sido constantemente criticado por trabajar bajo datos históricos, no contemplar el estado del mercado, su baja diversificación, entre otros. Buscando generar aportes a este modelo, se destaca el trabajo realizado por Fischer Black y Robert Litterman, quienes combinan la asignación de activos financieros basados en el supuesto de equilibrio y la opinión del inversor con respecto al rendimiento futuro de los activos. Sin embargo, debido a los hechos latentes de incertidumbre, ambigüedad, vaguedad y subjetividad que se presentan durante el proceso de optimización de por-tafolio, se propone el uso de técnicas difusas para su modelación, a fin de abrir nuevos caminos frente al tratamiento de la realidad. Este artículo es resultado del trabajo de grado de la maestría en Finan-zas (Aplicación de técnicas difusas al modelo de selección de portafolio Black-Litterman: Caso Colombia índice Coleqty), el cual propone evaluar los aportes del proceso de optimización de portafolio en el modelo Black- Litterman bajo técnicas difusas en las acciones del índice Coleqty de Co-lombia, operando el resultado del rendimiento y riesgo bajo funciones de pertenencia triangular y trapezoidal, para obtener así diferentes portafolios en cuanto su diversificación, los cuales se comparan con los indicadores de desempeño Sharpe, Treynor y Alfa de Jensen, destacando el portafolio con mejor rendimiento y menor riesgo, es decir, se determinará cuál es el mejor proceso de optimización de portafolio, si el Black-Litterman clásico o el Black-Litterman con técnicas difusas.
{"title":"Black-Litterman con técnicas difusas: caso índice Coleqty (Black-Litterman with Fuzzy Techniques: Case Index Coleqty)","authors":"Yuly Andrea Franco","doi":"10.18601/17941113.N19.04","DOIUrl":"https://doi.org/10.18601/17941113.N19.04","url":null,"abstract":"El proceso de optimización de portafolio busca encontrar el mejor de estos a través de las variables de riesgo y retorno, el modelo clásico de Mar-kowitz ha trabajado dicha selección bajo el portafolio de media-varianza, el cual ha sido constantemente criticado por trabajar bajo datos históricos, no contemplar el estado del mercado, su baja diversificación, entre otros. Buscando generar aportes a este modelo, se destaca el trabajo realizado por Fischer Black y Robert Litterman, quienes combinan la asignación de activos financieros basados en el supuesto de equilibrio y la opinión del inversor con respecto al rendimiento futuro de los activos. Sin embargo, debido a los hechos latentes de incertidumbre, ambigüedad, vaguedad y subjetividad que se presentan durante el proceso de optimización de por-tafolio, se propone el uso de técnicas difusas para su modelación, a fin de abrir nuevos caminos frente al tratamiento de la realidad. Este artículo es resultado del trabajo de grado de la maestría en Finan-zas (Aplicación de técnicas difusas al modelo de selección de portafolio Black-Litterman: Caso Colombia índice Coleqty), el cual propone evaluar los aportes del proceso de optimización de portafolio en el modelo Black- Litterman bajo técnicas difusas en las acciones del índice Coleqty de Co-lombia, operando el resultado del rendimiento y riesgo bajo funciones de pertenencia triangular y trapezoidal, para obtener así diferentes portafolios en cuanto su diversificación, los cuales se comparan con los indicadores de desempeño Sharpe, Treynor y Alfa de Jensen, destacando el portafolio con mejor rendimiento y menor riesgo, es decir, se determinará cuál es el mejor proceso de optimización de portafolio, si el Black-Litterman clásico o el Black-Litterman con técnicas difusas.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131208758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-08DOI: 10.18601/17941113.N19.06
John Freddy Moreno Trujillo
Se consideran modelos de mercado en donde se incorpora un factor de liquidez asociado a la dinámica de los precios y a las estrategias de negociación de los agentes. Se estudia el caso en el cual el factor de liquidez es una función determinística del precio y otro en donde este factor es estocástico descrito por un proceso Cox-Ingersoll-Ross. Se consideran diferentes tipos de estrategias de negociación y se establecen de forma explícita las ecuaciones diferenciales estocásticas para la dinámica de los precios, así como las ecuaciones diferenciales parciales no lineales de valoración de activos contingentes correspondientes.
{"title":"Dinámica de precios y valoración de activos contingentes en mercados con riesgo de liquidez (Price Dynamics and Valuation of Contingent Assets in Markets with Liquidity Risk)","authors":"John Freddy Moreno Trujillo","doi":"10.18601/17941113.N19.06","DOIUrl":"https://doi.org/10.18601/17941113.N19.06","url":null,"abstract":"Se consideran modelos de mercado en donde se incorpora un factor de liquidez asociado a la dinámica de los precios y a las estrategias de negociación de los agentes. Se estudia el caso en el cual el factor de liquidez es una función determinística del precio y otro en donde este factor es estocástico descrito por un proceso Cox-Ingersoll-Ross. Se consideran diferentes tipos de estrategias de negociación y se establecen de forma explícita las ecuaciones diferenciales estocásticas para la dinámica de los precios, así como las ecuaciones diferenciales parciales no lineales de valoración de activos contingentes correspondientes.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127056803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-08DOI: 10.18601/17941113.N19.02
Carmen Verónica Barón-Tinjacá
Spanish Abstract: El desarrollo de un área de conocimiento a través de la investigación requiere establecer cómo ha sido su evolución, identificar hacia dónde se han orientado los esfuerzos investigativos y cotejar los diferentes enfoques que se han dado a un determinado problema. Dentro del campo de las finanzas corporativas, la estructura de capital ha sido un tema desarrollado con múltiples enfoques, sin que aún tengamos sobre ella una teoría de general aceptación. Teniendo en cuenta estas aseveraciones, se considera importante conocer cuáles son las últimas tendencias en la investigación sobre la estructura de capital. Este artículo presenta los resultados del análisis bibliométrico de las últimas tendencias en la investigación sobre estructura de capital, decenio comprendido entre los años 2009 al 2018, lo que permite hacer un diagnóstico de su avance y sirve de fuente de referencia para futuras investigaciones. Además, incluye una comparación de este periodo con los nueve años anteriores, entre los años 2000 y 2008, destacando las diferencias en el análisis cuantitativo de las poblaciones de cada uno de estos periodos. Para el desarrollo investigativo, cuyo resultado es el presente artículo, se utilizó la bibliometría como metodología de investigación. El proceso investigativo partió de la revisión histórica de las teorías sobre estructura de capital, incluida en el marco teórico, continuó con el proceso bi-bliométrico y terminó con el análisis y la comparación de resultados. Como resultado de este proceso se encontró que las últimas tendencias en la investigación sobre estructura de capital se encuentran compuestas en gran parte por el análisis y la verificación de los determinantes de la estructura de capital, y por la confirmación o refutación de teorías anteriores en diferentes tipos de empresas o sectores económicos.
English Abstract: The development of an area of knowledge through research requires establishing how its evolution has been, identifying where research efforts have been directed and comparing the different approaches that have been given to a certain problem. Within the field of Corporate Finance, capital structure has been a subject developed with multiple approaches, without yet having a generally accepted theory about it. Taking into account these assertions, it is considered important to know what the latest trends in capital structure research are. This article presents the results of the bibliometric analysis of the latest trends in research on capital structure, the decade between 2009 and 2018, allowing a diagnosis of its progress to be made and serving as a reference source for future research. It also includes a comparison of this period with the previous 9 years, between 2000 and 2008, highlighting the differences in the quantitative analysis of the populations of each of these periods. For the research development, the result of which is the present article, bibliometrics was used as a re
摘要:通过研究发展一个知识领域需要确定它是如何发展的，确定研究努力的方向，并比较针对特定问题的不同方法。在公司财务领域，资本结构已经成为一个有多种方法发展的主题，但我们还没有一个普遍接受的理论。考虑到这些假设，了解资本结构研究的最新趋势被认为是很重要的。本文介绍了2009年至2018年十年资本结构研究最新趋势的文献计量分析结果，对其进展进行诊断，并作为未来研究的参考来源。此外，它还包括这一时期与前9年(2000年至2008年)的比较，突出了每个时期人口定量分析的差异。本文采用文献计量学作为研究方法，对文献计量学的发展进行了研究。研究过程从资本结构理论的历史回顾开始，包括在理论框架中，继续进行文献计量过程，并以结果的分析和比较结束。由于这个过程被发现资本结构研究的最新趋势都由大部分由分析和核查资本结构的决定因素,以及确认或否定以往的理论在不同类型的企业或经济部门。English Abstract: The development of an area of knowledge through research需要建立how its evolution has been,确定在研究努力得到杜加德和comparing The不同办法而给予某些problem。在公司财务领域，资本结构已经通过多种方法发展起来，但尚未得到普遍接受的理论。考虑到所审议的这些assertions, it is important to know what the latest资本结构研究的趋势。本文介绍了2009年至2018年十年资本结构研究最新趋势的文献计量分析结果，对其进展进行诊断，并作为未来研究的参考来源。报告还将这一时期与前9年(2000年至2008年)进行了比较，突出了在对每一时期的人口进行定量分析方面的差异。对于研究发展，即本文所述的结果，文献计量学被用作一种研究方法。研究过程始于对资本结构理论的历史回顾，包括在理论框架内，继续进行文献计量过程，并以结果的分析和比较结束。这一过程的结果是，资本结构研究的最新趋势在很大程度上是基于对资本结构决定因素的分析和验证，以及对不同类型的资本、公司或经济部门的先前理论的确认或反驳。
{"title":"Últimas tendencias en la investigación sobre estructura de capital (periodo 2009-2018) (Latest Trends in Research on Capital Structure (Period 2009-2018))","authors":"Carmen Verónica Barón-Tinjacá","doi":"10.18601/17941113.N19.02","DOIUrl":"https://doi.org/10.18601/17941113.N19.02","url":null,"abstract":"<b>Spanish Abstract:</b> El desarrollo de un área de conocimiento a través de la investigación requiere establecer cómo ha sido su evolución, identificar hacia dónde se han orientado los esfuerzos investigativos y cotejar los diferentes enfoques que se han dado a un determinado problema. Dentro del campo de las finanzas corporativas, la estructura de capital ha sido un tema desarrollado con múltiples enfoques, sin que aún tengamos sobre ella una teoría de general aceptación. Teniendo en cuenta estas aseveraciones, se considera importante conocer cuáles son las últimas tendencias en la investigación sobre la estructura de capital. Este artículo presenta los resultados del análisis bibliométrico de las últimas tendencias en la investigación sobre estructura de capital, decenio comprendido entre los años 2009 al 2018, lo que permite hacer un diagnóstico de su avance y sirve de fuente de referencia para futuras investigaciones. Además, incluye una comparación de este periodo con los nueve años anteriores, entre los años 2000 y 2008, destacando las diferencias en el análisis cuantitativo de las poblaciones de cada uno de estos periodos. Para el desarrollo investigativo, cuyo resultado es el presente artículo, se utilizó la bibliometría como metodología de investigación. El proceso investigativo partió de la revisión histórica de las teorías sobre estructura de capital, incluida en el marco teórico, continuó con el proceso bi-bliométrico y terminó con el análisis y la comparación de resultados. Como resultado de este proceso se encontró que las últimas tendencias en la investigación sobre estructura de capital se encuentran compuestas en gran parte por el análisis y la verificación de los determinantes de la estructura de capital, y por la confirmación o refutación de teorías anteriores en diferentes tipos de empresas o sectores económicos. <br><br><b>English Abstract:</b> The development of an area of knowledge through research requires establishing how its evolution has been, identifying where research efforts have been directed and comparing the different approaches that have been given to a certain problem. Within the field of Corporate Finance, capital structure has been a subject developed with multiple approaches, without yet having a generally accepted theory about it. Taking into account these assertions, it is considered important to know what the latest trends in capital structure research are. This article presents the results of the bibliometric analysis of the latest trends in research on capital structure, the decade between 2009 and 2018, allowing a diagnosis of its progress to be made and serving as a reference source for future research. It also includes a comparison of this period with the previous 9 years, between 2000 and 2008, highlighting the differences in the quantitative analysis of the populations of each of these periods. For the research development, the result of which is the present article, bibliometrics was used as a re","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133256126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-08DOI: 10.18601/17941113.N19.03
Ana María Rendón-González
Spanish Abstract: Dada la alta popularidad que han venido ganando los fondos de inversión colectiva (FIC) y su creciente participación en el mercado financiero, tanto en monto de inversiones como en número de inversionistas, es necesario contar con herramientas que permitan una adecuada y oportuna identificación de los riesgos, con el fin de prevenir una afectación a la estabilidad del sistema financiero. Sin embargo, la literatura en cuanto a alertas tempranas de estos fondos es escasa, ya que la mayoría de trabajos están enfocados en el sector bancario. El objetivo de este documento es desarrollar un indicador de alerta temprana que permita la identificación de vulnerabilidades de los FIC, con una ventana de tiempo suficiente a fin de que los hacedores de política implementen medidas para su contención. Para la consecución del objetivo planteado, se adaptará al escenario de los FIC en Colombia una medida de alerta temprana ampliamente conocida en el sector bancario, como es el caso del Indicador de Riesgo Sistémico Doméstico (d-SRI) del Banco Central Europeo. Los resultados obtenidos muestran que ante un choque de una desviación estándar en el indicador de alertas tempranas de los FIC (IATE FIC), se espera una caída de 1,4 puntos porcentuales en el crecimiento trimestral del valor neto de los FIC (VNF) en los seis meses posteriores a la ocurrencia del choque. Los hallazgos encontrados en el presente trabajo representan un avance importante en la detección de vulnerabilidades de los fondos de inversión y pueden ser de gran ayuda para los hacedores de política en la toma de decisiones ante escenarios de incertidumbre en el comportamiento futuro de la industria de FIC
English Abstract: Given the high popularity that collective investment funds (CIFs) have been gaining and their growing participation in the financial market, both in terms of the amount of investments and the number of investors, it is necessary to have tools that allow for adequate and timely identification of risks, in order to prevent an effect on the stability of the financial system. However, there is a lack of literature on early warnings for these funds, since most of the papers are focused on the banking sector. This document aims to develop an early warning indicator that allows the identification of CIF vulnerabilities, with enough time of anticipation for poli¬cymakers to implement measures for their containment. In order to achieve this objective, a widely known early warning measure in the banking sector, such as the European Central Bank’s Domestic Systemic Risk Indicator (d-SRI), will be adapted to the CIF scenario in Colombia. The results obtained show that in the event of a shock of one standard deviation in the CIF early warning indicator (IATE FIC), a drop of 1.4 percentage points in the quarterly growth of the fund’s net value (FNV) is expected in the six months following the occurrence of the shock. The findings showed in this work represent
[Abstract:鉴于高人气已经赚了集体投资基金(cif)和金融市场日益增长的参与人数,无论是在投资金额,需要工具,使投资者充分和及时识别风险,以防止过度哭闹金融系统的稳定。然而，关于这些基金的早期预警的文献很少，因为大多数工作都集中在银行业。本文件的目的是开发一个早期预警指标，允许识别FIC漏洞，并为政策制定者实施遏制措施提供足够的时间窗口。为了实现这一目标，将采用银行业广泛采用的早期预警措施，如欧洲央行的国内系统风险指标(d-SRI)，以适应哥伦比亚的FIC情景。结果表明驻一个标准差冲突的早期预警指标的cif(眼睛cif)年下降1.4个百分点,预计增长的季度净值cif (VNF)后六个月内发生碰撞。发现的残骸在本工作的一大进步占发现漏洞的投资基金可以很有用的内容,在政策决策面对未来不确定性行为的场景FICEnglish行业Abstract:给予the high popularity that集体投资基金(CIFs)而gaining及其成长》participation in the financial market, both in terms of the of investments and the number of investors, it is必要to have tools allow for适当和及时识别风险,in order to防止an effect on the stability) of the financial system。然而，关于这些基金的早期预警的文献很少，因为大多数论文都集中在银行业。本文件的目的是制定一项早期预警指标，以便查明CIF漏洞，并有足够的时间使决策者能够采取措施遏制这些漏洞。为实现这一目标，银行部门的一项众所周知的早期预警措施，如欧洲中央银行的国内系统风险指标(d-SRI)，将适用于哥伦比亚的CIF情景。The成果获得show that in The event of a冲击of one standard deviation in The CIF预警指标(眼睛CIF) a drop of 1.4 points in The季刊》,其背景是growth of The value fund的net (FNV) is expected in The 6个月以下二of The冲击。本文所显示的调查结果是在发现投资基金的脆弱性方面取得的重要进展，并可极大地帮助决策者在CIF行业未来行为不确定的情况下作出决定。
{"title":"Indicador de alerta temprana para la detección de vulnerabilidades de los fondos de inversión colectiva (FIC) (Early Warning Indicator for Detection of Vulnerabilities of Collective Investment Funds (FIC))","authors":"Ana María Rendón-González","doi":"10.18601/17941113.N19.03","DOIUrl":"https://doi.org/10.18601/17941113.N19.03","url":null,"abstract":"<b>Spanish Abstract:</b> Dada la alta popularidad que han venido ganando los fondos de inversión colectiva (FIC) y su creciente participación en el mercado financiero, tanto en monto de inversiones como en número de inversionistas, es necesario contar con herramientas que permitan una adecuada y oportuna identificación de los riesgos, con el fin de prevenir una afectación a la estabilidad del sistema financiero. Sin embargo, la literatura en cuanto a alertas tempranas de estos fondos es escasa, ya que la mayoría de trabajos están enfocados en el sector bancario. El objetivo de este documento es desarrollar un indicador de alerta temprana que permita la identificación de vulnerabilidades de los FIC, con una ventana de tiempo suficiente a fin de que los hacedores de política implementen medidas para su contención. Para la consecución del objetivo planteado, se adaptará al escenario de los FIC en Colombia una medida de alerta temprana ampliamente conocida en el sector bancario, como es el caso del Indicador de Riesgo Sistémico Doméstico (d-SRI) del Banco Central Europeo. Los resultados obtenidos muestran que ante un choque de una desviación estándar en el indicador de alertas tempranas de los FIC (IATE FIC), se espera una caída de 1,4 puntos porcentuales en el crecimiento trimestral del valor neto de los FIC (VNF) en los seis meses posteriores a la ocurrencia del choque. Los hallazgos encontrados en el presente trabajo representan un avance importante en la detección de vulnerabilidades de los fondos de inversión y pueden ser de gran ayuda para los hacedores de política en la toma de decisiones ante escenarios de incertidumbre en el comportamiento futuro de la industria de FIC<br><br><b>English Abstract:</b> Given the high popularity that collective investment funds (CIFs) have been gaining and their growing participation in the financial market, both in terms of the amount of investments and the number of investors, it is necessary to have tools that allow for adequate and timely identification of risks, in order to prevent an effect on the stability of the financial system. However, there is a lack of literature on early warnings for these funds, since most of the papers are focused on the banking sector. This document aims to develop an early warning indicator that allows the identification of CIF vulnerabilities, with enough time of anticipation for poli¬cymakers to implement measures for their containment. In order to achieve this objective, a widely known early warning measure in the banking sector, such as the European Central Bank’s Domestic Systemic Risk Indicator (d-SRI), will be adapted to the CIF scenario in Colombia. The results obtained show that in the event of a shock of one standard deviation in the CIF early warning indicator (IATE FIC), a drop of 1.4 percentage points in the quarterly growth of the fund’s net value (FNV) is expected in the six months following the occurrence of the shock. The findings showed in this work represent","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125241211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes’s valuable insights about interest rate dynamics. The Keynesian approach to interest rate dynamics can be readily incorporated in the benchmark models of the long-term interest rate. This paper modifies several benchmark interest rate models. In these modified models the long-term interest rate is related to the short-term interest rate and a Wiener process. The Keynesian approach to interest rate dynamics can be useful in addressing theoretical and policy issues.
{"title":"A Keynesian Approach to Modeling the Long-Term Interest Rate","authors":"Tanweer Akram","doi":"10.2139/ssrn.3860237","DOIUrl":"https://doi.org/10.2139/ssrn.3860237","url":null,"abstract":"There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes’s valuable insights about interest rate dynamics. The Keynesian approach to interest rate dynamics can be readily incorporated in the benchmark models of the long-term interest rate. This paper modifies several benchmark interest rate models. In these modified models the long-term interest rate is related to the short-term interest rate and a Wiener process. The Keynesian approach to interest rate dynamics can be useful in addressing theoretical and policy issues.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131840342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：