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Financial cycle − A critical analysis of the methodology for its identification 金融周期——对其识别方法的批判性分析
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-09-01 DOI: 10.2478/jcbtp-2021-0026
Łukasz Kurowski
Abstract While the legitimacy of the concept of the financial cycle (as distinct from the business cycle) in research and economic policy after the experience of the global financial crisis raises no concerns, the methodology for its application has become a subject of discussion. The purpose of this article is to indicate which research methods dominate in identifying a financial cycle and which methodological traps accompany them. The low level of critical perspective on the methods used to identify cycles often results in conclusions that have no economic justification and may result in erroneous decisions in economic policy and central bank practice. The case study carried out in the article confirms that the key elements in identifying a financial cycle are part of a long-term series covering at least two lengths of the financial cycle. In addition, because the results may be sensitive to the type of filter used, it is important not to rely on a single variable but rather to build indexes that take into account a number of them (including those obtained using filtration methods).
虽然在经历了全球金融危机之后,金融周期(不同于商业周期)概念在研究和经济政策中的合法性没有引起关注,但其应用方法已成为讨论的主题。本文的目的是指出哪些研究方法在识别金融周期中占主导地位,以及伴随它们的方法陷阱。对用于识别周期的方法的低水平批判性观点往往导致没有经济理由的结论,并可能导致经济政策和中央银行实践中的错误决定。本文中进行的案例研究证实,识别金融周期的关键要素是涵盖至少两个金融周期长度的长期系列的一部分。此外,由于结果可能对所使用的过滤器类型很敏感,因此重要的是不要依赖单个变量,而是要构建考虑多个变量(包括使用过滤方法获得的变量)的索引。
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引用次数: 0
Measuring Sovereign Credit Risk of the EU countries 欧盟国家主权信用风险测度
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-09-01 DOI: 10.2478/jcbtp-2021-0030
Vojtěch Siuda, Milan Szabo
Abstract European countries have increased significantly their public debt since the Global Financial Crisis. The increasing trend and the high concentration of public debt in portfolios of financial institutions can lead to a financial turmoil we witnessed during the European Sovereign Debt Crisis. Financial stability authorities therefore look for models to measure the sovereign credit risk and develop“what-if”scenarios to assess a potential repercussion of a financial institution rescue or of an economic contraction on sovereign credit risk. The presented article introduces adjustments to the sovereign contingent claims analysis that is based on the Merton´s Credit Risk Model and the Black-Scholes option pricing techniques. The article proposes adjustments by introducing a new view on a stylised liability side of a central government balance sheet, seniority of its items, and a new proxy for risk measure of junior claims. We show reliable results using derived risk sensitivities for 20 EU countries with decent forward looking ability and propose potential stress-testing framework with an application for the Czech Republic.
摘要自全球金融危机以来,欧洲国家的公共债务大幅增加。公共债务在金融机构投资组合中的增加趋势和高度集中可能导致我们在欧洲主权债务危机期间目睹的金融动荡。因此,金融稳定当局寻找衡量主权信用风险的模型,并制定“假设”情景,以评估金融机构救助或经济收缩对主权信用风险产生的潜在影响。本文介绍了对基于默顿信用风险模型和Black-Scholes期权定价技术的主权或有债权分析的调整。这篇文章提出了调整建议,引入了一种新的观点,即中央政府资产负债表的风格化负债方面、其项目的优先级,以及初级索赔风险衡量的新代表。我们对20个具有良好前瞻性能力的欧盟国家使用衍生风险敏感性显示了可靠的结果,并提出了潜在的压力测试框架,并在捷克共和国进行了应用。
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引用次数: 1
Resilience and Path Dependency: Income Distribution Effects of GDP in Colombia 弹性与路径依赖:哥伦比亚GDP的收入分配效应
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-20 DOI: 10.2139/ssrn.3936467
A. Aysan, Dilek Demirbas, Mustafa Disli, M. Parra
Abstract This study examines the effect of GDP per capita on the Gini index, which measures income concentration, in Colombia. The methodology used is an econometric analysis of time series with data extracted from the Inter-American Development Bank and the World Bank. The econometric results suggest that, at least during the period studied here, there is no evidence that GDP per capita has been an explanatory variable of the behaviour of income distribution in Colombia. The results also align with the understanding that the problem of inequality in the distribution of income is not merely economic but concerns persistent matters such as political and historical issues.
摘要本研究考察了哥伦比亚人均国内生产总值对衡量收入集中度的基尼指数的影响。所使用的方法是利用美洲开发银行和世界银行的数据对时间序列进行计量经济分析。计量经济学结果表明,至少在本文研究期间,没有证据表明人均国内生产总值是哥伦比亚收入分配行为的解释变量。研究结果也符合这样一种理解,即收入分配不平等问题不仅是经济问题,而且涉及政治和历史问题等长期存在的问题。
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引用次数: 0
A Segmented and Observable Yield Curve for Colombia 哥伦比亚的分段可观测产量曲线
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0019
Carlos Castro-Iragorri, Juan Felipe Peña, Cristhian Rodríguez
Abstract Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.
摘要如下(Almeida,Ardison,Kubudi,Simonsen,&Vicente,2018),我们使用哥伦比亚的每日可观察债券价格和短期银行间利率,实现了收益率曲线的分段三因素Nelson-Sigel模型。每个分段(短期、中期和长期)的灵活估计提供了对经典Nelson-Sigel方法的改进,特别是在样本内和样本外预测性能方面。基于可观察债券价格的分段期限结构模型提供了一种更接近从业者需求的工具,可以复制市场报价,并允许在曲线的不同部分出现独立的局部冲击。
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引用次数: 0
Specificities of the Monetary Transmission Mechanism within the Bulgarian Currency Board Framework: The first five years 保加利亚货币发行局框架内货币传导机制的特点:头五年
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0014
Martin N. Pazardjiev, Aleksandar Vasilev
Abstract This paper presents an overview of the channels of monetary transmission and their manifestation in Bulgaria – a country in a currency board arrangement – in the first five years after the introduction of the regime. The presence of such a mechanism of transmission requires some form of macroeconomic discretion. The latter is approximated here with dynamics in the single fiscal account present on the balance sheet of the currency board.
摘要本文概述了货币传导渠道及其在保加利亚的表现,保加利亚是一个货币发行局安排的国家,在该制度引入后的前五年。这种传导机制的存在需要某种形式的宏观经济自由裁量权。后者在这里与货币发行局资产负债表上的单一财政账户的动态相近似。
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引用次数: 2
Does market competition affect all banks equally? Empirical evidence on Montenegro 市场竞争对所有银行的影响是否平等?关于黑山的经验证据
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0015
Nina Vujanović, N. Fabris
Abstract Bank stability is an important aspect of financial stability, especially in bank-centric systems like that of Montenegro. Hence, it is important to analyse risks affecting stability of both the banking and financial system as a whole. Rising competition among banks could pose a challenge and possibly change the level of credit risk, especially if the banks are small in size. This can affect both credit risk and financial stability. Small-sized banks could be the ones to react less nimbly to a changing market structure than bigger banks with stable market shares. This study tries to answer whether competition affects credit risk in Montenegro and whether banks differing in size react differently. Panel data techniques were applied to eleven banks which account for over 90 percent of the banking sector. The results indicate that market concentration could be particularly harmful when it comes to credit risk of small-sized banks, while large-sized banks are less affected. Overall, the increasing competition may positively affect credit risk in Montenegro.
摘要银行稳定是金融稳定的一个重要方面,尤其是在像黑山这样以银行为中心的体系中。因此,分析影响银行业和整个金融体系稳定的风险非常重要。银行之间日益激烈的竞争可能会带来挑战,并可能改变信贷风险水平,尤其是在银行规模较小的情况下。这会影响信贷风险和金融稳定。与市场份额稳定的大银行相比,小型银行可能对不断变化的市场结构反应不那么灵活。这项研究试图回答竞争是否会影响黑山的信贷风险,以及不同规模的银行是否会做出不同的反应。面板数据技术被应用于11家银行,这些银行占银行业的90%以上。研究结果表明,当涉及到小型银行的信贷风险时,市场集中可能特别有害,而大型银行受影响较小。总体而言,日益激烈的竞争可能会对黑山的信贷风险产生积极影响。
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引用次数: 5
How Do Bank Capital and Capital Buffer Affect Risk: Empirical Evidence from Large US Commercial Banks 银行资本和资本缓冲如何影响风险——来自美国大型商业银行的经验证据
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0016
Faisal Abbas, Z. Younas
Abstract This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative impact on total risk. In addition, the results showed that the relationship between bank asset risk and bank capital, risk-based capital and a capital buffer is negative in pre, amid and post-crisis periods. The findings also reveal that the result of bank capital, risk-based capital and a capital buffer is not similar in case of well, adequately, under, significantly under, and critically undercapitalized banks. Our conclusions have numerous implications for policymakers and regulators in the banking sector.
摘要本研究旨在通过对2002年至2018年美国商业银行的数据应用GMM,研究银行资本、基于风险的资本和银行资本缓冲对银行风险承担行为的影响。研究结果表明,银行资本对总风险具有正向影响。然而,基于风险的资本和资本缓冲对总风险有负面影响。此外,研究结果表明,在危机前、危机中和危机后,银行资产风险与银行资本、基于风险的资本和资本缓冲之间的关系为负。研究结果还表明,在资本充足、充足、不足、严重不足和严重不足的银行中,银行资本、基于风险的资本和资本缓冲的结果并不相似。我们的结论对银行业的决策者和监管机构有许多启示。
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引用次数: 11
A financial Stability Index for Jordan 约旦的金融稳定指数
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0018
Samer A. M. Al-Rjoub
Abstract Financial stability is an important part of the Central Bank of Jordan (CBJ) role in parallel with maintenance of monetary stability. The impact of the global financial crises from 2007-2009 and the economic slowdown has left the Jordanian banking sector in a generally weaker position than before. This paper constructs an index of financial stability of the Jordanian banking sector that will adequately reflects the effects of the crises in 2008-2009 and measure the resilience of the banking sector against negative shocks. The index is based on the aggregation of the fifteen announced soundness indicators into four main categories: (i) Capital Adequacy, (ii) Earnings and Profitability, and (iii) liquidity to build one aggregate composite index. Using two weighting schemes the Financial Stability Index (FSI) proved to be a good indicator of banking reactions to shocks and changing economic conditions. FSI is intuitively attractive as it could enable policy makers to better monitor the banking sector’s resilience to shocks and can help further in anticipating the sources and causes of financial stress to the system. The index of financial stability of the banking sector in Jordan shows that the banking system has been consciously resilient against shocks and negative economic conditions.
金融稳定是约旦中央银行(CBJ)与维持货币稳定并行作用的重要组成部分。2007-2009年全球金融危机和经济放缓的影响使约旦银行业处于比以前更脆弱的地位。本文构建了约旦银行业金融稳定性指数,该指数将充分反映2008-2009年危机的影响,并衡量银行业抵御负面冲击的弹性。该指数是基于15个已公布的稳健性指标的汇总,分为四大类:(i)资本充足率,(ii)收益和盈利能力,以及(iii)流动性,以建立一个综合综合指数。使用两种加权方案,金融稳定指数(FSI)被证明是银行业对冲击和不断变化的经济状况的反应的良好指标。金融稳定指数直观上具有吸引力,因为它可以使政策制定者更好地监测银行业对冲击的抵御能力,并有助于进一步预测金融系统压力的来源和原因。约旦银行业的金融稳定指数表明,银行体系有意识地抵御冲击和负面经济状况。
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引用次数: 8
Analysis of the Impact of Macroeconomic Stability on the Level of Global Competitiveness of Western Balkan Countries 宏观经济稳定对西巴尔干国家全球竞争力水平的影响分析
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0012
N. Milović, Mijat Jocović, Nikola Martinović
Abstract Competitiveness, as a complex concept, can be observed in different ways, from the perspective of an individual, group, company and/or state. The subject of this paper deals with competitiveness of national economies observed through factor analysis, with a particular focus on the level of macroeconomic stability. Through the application of the Analytical-Hierarchical Process (AHP) method, special attention has been paid to the comparative ranking of Western Balkan countries. The ranking has been made in relation to macroeconomic stability and the positions of countries in the ranking of the World Economic Forum, based on the Global Competitiveness Index, for three defined periods of time. The paper identifies key factors that affect the competitiveness of Western Balkan countries. Research findings show that macroeconomic stability has a strong impact on the level of global competitiveness of national economies.
竞争力是一个复杂的概念,可以从个人、群体、公司和/或国家的角度以不同的方式来观察。本文的主题涉及通过因素分析观察到的国家经济的竞争力,特别侧重于宏观经济稳定水平。通过应用层次分析法,特别注意了西巴尔干国家的比较排名。排名是根据宏观经济稳定性和各国在世界经济论坛排名中的位置,根据全球竞争力指数,在三个确定的时期内进行的。本文确定了影响西巴尔干国家竞争力的关键因素。研究结果表明,宏观经济稳定对一国经济的全球竞争力水平具有重要影响。
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引用次数: 3
Profitability Determinants of Big European Banks 欧洲大型银行盈利能力的决定因素
IF 1.4 Q1 Economics, Econometrics and Finance Pub Date : 2021-05-01 DOI: 10.2478/jcbtp-2021-0013
V. Karadzic, Nikola Đalović
Abstract The subject of research in this paper is the profitability of the biggest banks in the European financial market, some of which operate in Montenegro. The profitability of banks is influenced by a large number of factors, including internal banking and external macroeconomic factors. The aim of this paper is to use statistical and econometric methods to examine which factors and with what intensity affect the profitability of large banks in Europe. The empirical analysis used highly balanced panel models with annual data on 47 large banks from 14 European countries over the period 2013-2018. Three static panel models were estimated and evaluated (pooled ordinary least squares, model with fixed effects and model with random effects), as well as dynamic model utilizing general methods of moments. The POLS model was chosen as the best, confirming that all macroeconomic factors have a statistically significant impact on the profitability of big banks, while the impact of internal factors, which are controlled by the bank’s management, is not significant. GDP growth rate, inflation rate and market concentration have a positive effect on profitability, while the membership of the European Union has a negative impact on profit, meaning that banks with headquarters outside the EU are more profitable.
本文研究的主题是欧洲金融市场上最大的银行的盈利能力,其中一些银行在黑山开展业务。影响银行盈利能力的因素很多,包括银行内部和外部宏观经济因素。本文的目的是使用统计和计量经济学的方法来检查哪些因素和什么强度影响欧洲大型银行的盈利能力。实证分析使用了高度平衡的面板模型,其中包括2013-2018年期间来自14个欧洲国家的47家大型银行的年度数据。对三种静态面板模型(混合普通最小二乘模型、固定效应模型和随机效应模型)以及利用一般矩量方法的动态模型进行了估计和评价。POLS模型被选为最佳模型,证实所有宏观经济因素对大银行盈利能力的影响在统计上都是显著的,而由银行管理层控制的内部因素的影响并不显著。GDP增长率、通货膨胀率和市场集中度对盈利能力有正影响,而欧盟成员国身份对利润有负影响,即总部设在欧盟以外的银行盈利能力更强。
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引用次数: 6
期刊
Journal of Central Banking Theory and Practice
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