Journal of Financial Stability最新文献

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Unpacking the crisis: Impact of COVID-19 on global equity flows 解读危机：COVID-19对全球股权流动的影响

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-11-14 DOI: 10.1016/j.jfs.2025.101479

Zhisheng Li , Bingxuan Lin , Zhouyi Liu , H. Zafer Yüksel

This paper examines how the COVID-19 pandemic affected international equity flows through two different channels: a direct channel, capturing the real economic disruptions caused by rising infection rates, and an indirect channel, reflecting pandemic-related panic and uncertainty amplified by media coverage. Using high-frequency country/regional-level data for 66 economies—26 advanced and 40 emerging economies—between January 2020 and December 2022, we disentangle and quantify these two effects. Compared to the direct effect of pandemic, we show that the indirect panic-driven effect is stronger, and not simply a reflection of pandemic severity. The negative impact of panic on equity flows is more pronounced in the early months of 2020, and is partially offset by government interventions—particularly in advanced economies—while similar measures in emerging markets have limited impact. Taken together, our findings highlight the importance of distinguishing between real economic shocks and sentiment-driven dynamics of the pandemic, and offer practical insights for policymakers in preparing for future crisis.

本文考察了2019冠状病毒病大流行如何通过两个不同渠道影响国际公平流动：一个是直接渠道，反映了感染率上升造成的实际经济中断；另一个是间接渠道，反映了媒体报道放大的与大流行相关的恐慌和不确定性。利用2020年1月至2022年12月期间66个经济体（26个发达经济体和40个新兴经济体）的高频国家/地区数据，我们对这两种影响进行了梳理和量化。与大流行的直接影响相比，我们表明，间接的恐慌驱动效应更强，而不仅仅是大流行严重程度的反映。恐慌对股票流动的负面影响在2020年的头几个月更为明显，并被政府干预（尤其是在发达经济体）部分抵消，而新兴市场的类似措施影响有限。综上所述，我们的研究结果强调了区分实际经济冲击和情绪驱动的大流行动态的重要性，并为政策制定者准备应对未来危机提供了实际见解。

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引用次数: 0

A second-order finite difference method for the Black–Scholes model without far-field boundary conditions 无远场边界条件的Black-Scholes模型的二阶有限差分法

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-11-13 DOI: 10.1016/j.jfs.2025.101477

Jian Wang , Lin Wu , Xinpei Wu , Youngjin Hwang , Yunjae Nam , Soobin Kwak , Taehui Lee , Junseok Kim

We propose an explicit finite difference method for the Black–Scholes (BS) equation that avoids artificial far-field boundary conditions. The method uses an alternating direction explicit (ADE) update on a dynamically shrinking grid, thereby eliminating the need for boundary values at the far end of the domain. It effectively alleviates the stability constraints of the explicit format through the alternating direction advancement. Numerical experiments on European and cash or nothing options confirm second-order convergence and demonstrate a high level of efficiency. For example, repeatedly doubling time resolution from 160 to 1280 reduces pricing error from

7.45 \times 1 0^{- 1}

6.56 \times 1 0^{- 3}

, with observed convergence rates close to 2. This makes the method suitable for low-latency financial applications such as real-time pricing and risk management.

本文提出了一种避免人工远场边界条件的显式有限差分法求解Black-Scholes方程。该方法在动态收缩的网格上使用交替方向显式（ADE）更新，从而消除了对远端域边界值的需求。通过交替方向推进，有效缓解了显式格式的稳定性约束。对欧洲期权和“要么现金要么一无所有”期权的数值实验证实了二阶收敛性，并证明了高水平的效率。例如，将时间分辨率从160到1280反复翻倍，可以将定价误差从7.45×10−1降低到6.56×10−3，观察到的收敛率接近2。这使得该方法适用于低延迟的金融应用程序，如实时定价和风险管理。

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引用次数: 0

Fading familiarity: High-speed rail and the decline in retail investors' attention to local firms 熟悉度下降：高铁和散户投资者对本土公司的关注度下降

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-11-13 DOI: 10.1016/j.jfs.2025.101478

Liu Desheng , Mingsheng Li , Xinran Wang , Ying Wang

Firms tend to attract disproportionately more attention from nearby investors, a phenomenon known as local attention bias. While both cognitive biases and market frictions have been proposed as key drivers of investor attention bias, direct evidence on the role of information acquisition costs, especially for retail investors in emerging markets, remains scarce. We address this gap by exploiting the staggered expansion of China’s high-speed rail (HSR) network as a quasinatural experiment that exogenously reduces geographic information frictions. Using province-level internet search activity as a proxy for retail investor attention, we find that HSR development is negatively associated with the proportion of attention that retail investors direct toward local firms. Robustness checks underscore the central role of information friction in shaping investor attention behavior. Increased intercity connectivity from HSR also boosts tourism, which emerges as a key channel for attenuating local attention bias. The effect is more pronounced for firms with lower information transparency and weaker corporate governance. Furthermore, HSR connections encourage firms to expand into nonlocal subsidiaries, reducing investment “home bias,” and lead to stronger stock return comovement, indicating improved information integration across regions. Our findings highlight how infrastructure development can reshape retail investor behavior and support broader economic integration.

公司往往会吸引附近投资者不成比例的更多关注，这种现象被称为“本地关注偏差”。虽然认知偏差和市场摩擦都被认为是投资者注意偏差的关键驱动因素，但关于信息获取成本作用的直接证据仍然很少，特别是对于新兴市场的散户投资者而言。我们通过利用中国高速铁路（HSR）网络的交错扩张作为一种准自然实验来解决这一差距，这种实验可以外生性地减少地理信息摩擦。使用省级互联网搜索活动作为散户投资者关注的代理，我们发现高铁发展与散户投资者对当地公司的关注比例呈负相关。稳健性检验强调了信息摩擦在塑造投资者关注行为中的核心作用。高铁增加的城际连接也促进了旅游业的发展，这是减轻当地注意力偏见的关键渠道。对于信息透明度较低、公司治理较弱的公司，这种影响更为明显。此外，高铁连接鼓励企业扩展到非本地子公司，减少投资“本土偏见”，并导致更强的股票回报波动，表明跨地区信息整合得到改善。我们的研究结果强调了基础设施发展如何重塑散户投资者的行为，并支持更广泛的经济一体化。

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引用次数: 0

Negative rates, monetary policy transmission and cross-border lending via international financial centers 负利率、货币政策传导和通过国际金融中心的跨境借贷

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-11-03 DOI: 10.1016/j.jfs.2025.101474

Desislava Andreeva , Andra Coman , Mary Everett , Maren Froemel , Kelvin Ho , Simon Lloyd , Baptiste Meunier , Justine Pedrono , Dennis Reinhardt , Andrew Wong , Eric Wong , Dawid Żochowski

We study the effects of negative interest rate policies (NIRP) on the transmission of monetary policy through cross-border lending. Using bank-level data from international financial centers (IFCs) – the United Kingdom and Hong Kong, as well as Ireland – we examine how NIRP in the economies where banks have their headquarters influences cross-border lending from financial-center affiliates. Outside of NIRP periods, tighter monetary policy in affiliates’ headquarter country is associated with a reduction in cross-border lending from the UK and Hong Kong to non-bank borrowers abroad. In contrast, we find evidence that NIRP impairs the bank-lending channel for cross-border lending to non-bank sectors from the UK and Hong Kong, especially for those banks that have only a weak deposit base in these IFCs – and are thus relatively more exposed to NIRP in their headquarters. Consistent with these IFC findings, using euro-area data that includes bank-level information for France, we find that NIRP also impairs headquarter-banks’ lending to bank borrowers in IFCs, which include their IFC affiliates.

本文研究了负利率政策（NIRP）对跨境借贷中货币政策传导的影响。利用来自国际金融中心（IFCs）——英国、香港和爱尔兰——的银行层面数据，我们研究了银行总部所在地经济体的负利率政策如何影响金融中心附属机构的跨境贷款。在负利率政策时期之外，附属公司总部所在国的货币政策收紧，与英国和香港向海外非银行借款人提供的跨境贷款减少有关。相比之下，我们发现有证据表明，NIRP损害了向英国和香港的非银行部门提供跨境贷款的银行贷款渠道，特别是那些在这些国际金融公司中存款基础薄弱的银行，因此它们在总部相对更容易受到NIRP的影响。与这些国际金融公司的调查结果一致，我们使用了包括法国银行级信息在内的欧元区数据，发现NIRP还损害了总部银行向国际金融公司（包括其国际金融公司附属公司）的银行借款人提供的贷款。

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引用次数: 0

Corporate lobbying and US federal grants: Information in exchange for compensation 企业游说和美国联邦拨款：用信息换取报酬

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-30 DOI: 10.1016/j.jfs.2025.101473

Rodrigo Londoño van Rutten

This paper examines the effect of firms’ lobbying activities on US federal grants. My model indicates that firms lobbying the granting agency during the grant allocation process have 7.04 times higher odds of getting a federal award. The main results are robust across lobbying measures and account for endogeneity concerns by employing instrumental variables and propensity score matching strategies. I also observe that federal grants are more responsive to lobbying expenditures to the granting agency when a firm’s information is more opaque. In addition, I find that firms receiving more federal grants tend to have lower costs of debt and higher CEO compensation without being able to show higher firm performance. Overall, these results appear consistent with the informational lobbying theory at the regulator level and self-serving behavior at the management level.

本文考察了企业游说活动对美国联邦拨款的影响。我的模型表明，在拨款分配过程中游说拨款机构的公司获得联邦奖励的几率要高出7.04倍。通过使用工具变量和倾向得分匹配策略，主要结果在游说措施中是稳健的，并解释了内生性问题。我还观察到，当一家公司的信息更不透明时，联邦拨款对拨款机构的游说支出反应更积极。此外，我发现接受更多联邦拨款的公司往往有更低的债务成本和更高的首席执行官薪酬，但却无法表现出更高的公司绩效。总体而言，这些结果与监管层的信息游说理论和管理层的自我服务行为一致。

引用次数: 0

Intelligent financial system: How AI is transforming finance 智能金融系统：人工智能如何改变金融

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-29 DOI: 10.1016/j.jfs.2025.101472

I. Aldasoro , L. Gambacorta , A. Korinek , V. Shreeti , M. Stein

At the core of the financial system is the processing and aggregation of vast amounts of information into price signals that coordinate participants in the economy. Throughout history, advances in information processing, from simple book-keeping to artificial intelligence (AI), have transformed the financial sector. We use this framing to analyze how generative AI (GenAI), emerging AI agents and, more speculatively, artificial general intelligence will impact finance. We focus on four functions of the financial system: financial intermediation, insurance, asset management, and payments. We also assess the implications of advances in AI for financial stability and prudential policy. Moreover, we investigate potential spillover effects of AI on the real economy, examining both an optimistic and a disruptive AI scenario. To address the transformative impact of advances in AI on the financial system, we propose a framework for upgrading financial regulation based on well-established general principles for AI governance.

金融体系的核心是将大量信息处理和汇总成价格信号，以协调经济中的参与者。纵观历史，信息处理的进步，从简单的簿记到人工智能（AI），已经改变了金融部门。我们使用这一框架来分析生成式人工智能（GenAI）、新兴人工智能代理以及更有推测性的通用人工智能将如何影响金融。我们关注金融体系的四个功能：金融中介、保险、资产管理和支付。我们还评估了人工智能的进步对金融稳定和审慎政策的影响。此外，我们研究了人工智能对实体经济的潜在溢出效应，研究了乐观和破坏性的人工智能情景。为了应对人工智能进步对金融体系的变革性影响，我们提出了一个基于成熟的人工智能治理一般原则的金融监管升级框架。

引用次数: 0

Quantitative easing, bank lending, and aggregate fluctuations 量化宽松、银行贷款和总体波动

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-27 DOI: 10.1016/j.jfs.2025.101470

Matthew Schaffer , Nimrod Segev

This paper suggests a new channel through which central bank Quantitative Easing (QE) policies can amplify aggregate fluctuations. By significantly increasing excess reserve holdings in the banking sector, QE policies reduce liquidity risk and increase banks’ lending potential. Thus, disturbances that increase credit demand generate a stronger increase in lending, further amplifying the shock’s impact. We offer empirical evidence supporting this mechanism by utilizing two sources of variation in the US during the COVID-19 pandemic. First, we use cross-bank variation in mortgage-backed security (MBS) holdings to measure banks’ exposure to QE policies. Second, we use cross-state variation in the per capita Economic Impact Payments (EIP) to quantify the local aggregate demand shock stemming from pandemic-related fiscal relief. Bank-level analysis reveals that while QE is associated with an overall increase in reserves, its impact on credit expansion depends on the magnitude of the economic stimulus payments. Additionally, state-level evidence suggests increases in credit expansion and house prices following the shock were larger in states with greater banking sector exposure to QE. The results, therefore, suggest that QE amplified the impact of government stimulus programs during COVID-19.

本文提出了央行量化宽松（QE）政策放大总波动的新途径。通过大幅增加银行部门的超额准备金，量化宽松政策降低了流动性风险，增加了银行的放贷潜力。因此，增加信贷需求的动荡会产生更强劲的贷款增长，从而进一步放大冲击的影响。我们利用COVID-19大流行期间美国的两个变异来源，提供了支持这一机制的经验证据。首先，我们使用抵押贷款支持证券（MBS）持有量的跨银行差异来衡量银行对量化宽松政策的敞口。其次，我们使用人均经济影响支付（EIP）的跨州差异来量化与大流行相关的财政救济所产生的地方总需求冲击。银行层面的分析表明，虽然量化宽松与储备的总体增加有关，但其对信贷扩张的影响取决于经济刺激支出的规模。此外，州级证据表明，在银行业受量化宽松影响较大的州，信贷扩张和房价在冲击后的增幅更大。因此，研究结果表明，在2019冠状病毒病期间，量化宽松放大了政府刺激计划的影响。

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引用次数: 0

CEO-employee pay disparity, risk-taking incentives, and financial reporting choices ceo与员工薪酬差距、冒险激励和财务报告选择

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-25 DOI: 10.1016/j.jfs.2025.101476

Han Dai , Dahlia Robinson , Yi Shen

Section 953b of the Dodd-Frank Act mandates the disclosure of CEO-employee pay ratios for public companies beginning in fiscal year 2017. Using hand-collected data on CEO-employee pay ratios, we investigate the association between CEO-employee pay disparity and risk-taking behaviors at both the executive and firm levels. We find that higher pay ratios are associated with greater CEO risk-taking incentives, less conservative financial reporting, more frequent merger and acquisition activities, and marginally higher risk disclosure on 10-K filings. Robustness tests and heterogeneity analyses reveal stronger effects in firms with weaker governance, lower transparency, male CEOs, and less R&D-intensive environments. We also show that the SEC’s 2017 mandatory pay ratio disclosure rule significantly reduced CEO Vega, suggesting that transparency may constrain CEO’s risk-taking incentives. Our findings highlight the behavioral implications of internal pay inequality and provide important insights into how compensation structure shapes executive incentives and corporate decision-making.

《多德-弗兰克法案》（Dodd-Frank Act）第953b条规定，从2017财年开始，上市公司必须披露ceo与员工的薪酬比率。本文利用手工收集的ceo与员工薪酬比率数据，从高管和公司两个层面考察了ceo与员工薪酬差距与风险行为之间的关系。我们发现，较高的薪酬比率与CEO更大的冒险激励、更不保守的财务报告、更频繁的并购活动以及10-K文件中略高的风险披露有关。稳健性检验和异质性分析显示，在治理较弱、透明度较低、男性ceo和研发密集型环境较低的公司中，效果更强。我们还发现，美国证券交易委员会2017年的强制性薪酬比率披露规则显著降低了首席执行官的Vega，这表明透明度可能会限制首席执行官的冒险激励。我们的研究结果强调了内部薪酬不平等的行为含义，并为薪酬结构如何影响高管激励和公司决策提供了重要见解。

引用次数: 0

Real effects of bank shocks 银行冲击的真实影响

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-24 DOI: 10.1016/j.jfs.2025.101475

Vivek Sharma

This paper studies how bank-firm lending relationships shape the macroeconomic effects of banking sector shocks. I develop a dynamic general equilibrium model in which collateral-constrained entrepreneurs borrow from banks through endogenously persistent credit relationships, modeled using a deep habits in banking framework. A negative repayment shock to bank loans triggers a sharp rise in credit spread and a contraction in bank lending and investment. However, the persistence embedded in credit relationships accelerates recovery – as spread normalizes, credit and output rebound. In contrast, when lending relationships are absent, the same shock generates a milder initial downturn but a more prolonged slowdown, as high spread persists and credit remains depressed. These findings highlight a fundamental trade-off in financial crises – relationship lending amplifies short-run effects but stabilizes recovery. The results underscore the importance of preserving bank-firm ties during financial shocks – through potential mechanisms such as credit guarantees, liquidity provision, or regulatory flexibility – as a means to support faster post-crisis normalization.

本文研究银行-企业借贷关系如何影响银行业冲击的宏观经济效应。我开发了一个动态一般均衡模型，在这个模型中，抵押品受限的企业家通过内生的持续信贷关系从银行借款，并使用银行框架中的深层习惯进行建模。银行贷款的负还款冲击引发信贷息差急剧上升，银行贷款和投资收缩。然而，信贷关系中的持续性加速了复苏——随着利差正常化，信贷和产出反弹。相反，当贷款关系不存在时，同样的冲击会产生较温和的最初低迷，但会导致更长的放缓，因为高息差持续存在，信贷仍然低迷。这些发现凸显了金融危机中的一种基本权衡——关系贷款放大了短期效应，但稳定了复苏。研究结果强调了在金融冲击期间通过信用担保、流动性提供或监管灵活性等潜在机制保持银行与企业关系的重要性，这是支持危机后更快正常化的一种手段。

引用次数: 0

Systemic risk in centralised interbank networks 集中式银行间网络的系统性风险

IF 4.2 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability

Pub Date : 2025-10-14 DOI: 10.1016/j.jfs.2025.101471

Mario Eboli

In this paper, I investigate the relationship between centralisation and systemic resilience in two-tiered interbank networks. Using flow network theory, I characterise the systemic contagion thresholds of stylised Core–Periphery (CP) and Star-Core–Periphery (SCP) networks, focusing on two fundamental contagion channels: common exposures and direct balance-sheet default contagion. Both network typologies are benchmarked against the maximally centralised star networks. The results demonstrate that centralisation when embedded within a modular two-tiered structure, enhances systemic resilience against shocks by reducing aggregate interbank exposures and constraining the spread of contagion across regions of the network. However, this stability comes at a cost. The obtained results highlight a fundamental trade-off between efficiency and risk concentration posed by the centralisation of interbank networks. While the centralisation of interbank exposures facilitates more efficient liquidity reallocations among banks and attenuates the spread of decentralised shocks, it simultaneously amplifies the vulnerability of the network to distress at the hub nodes. Indeed, the two-tiered modular structure of CP and SCP appears particularly exposed to the risk of systemic crises if all hub nodes, i.e. all banks in the core, suffer an exogenous solvency shock. The consequent policy implications for real-world core–periphery networks underscore the importance of reducing the likelihood of common shocks to core banks penalising them for holding overlapping and correlated portfolios.

在本文中，我研究了两层银行间网络中集中化与系统弹性之间的关系。利用流动网络理论，我描述了程式化的核心-外围（CP）和星-核心-外围（SCP）网络的系统传染阈值，重点关注两个基本传染渠道：共同风险敞口和直接资产负债表违约传染。这两种网络类型都以最大集中式星型网络为基准。研究结果表明，当集中化嵌入模块化两层结构时，通过减少银行间总风险敞口和限制传染在网络各区域的传播，可以增强系统抵御冲击的能力。然而，这种稳定性是有代价的。获得的结果突出了银行间网络集中化带来的效率和风险集中之间的基本权衡。虽然银行间风险敞口的集中化促进了银行间更有效的流动性再分配，并减弱了分散冲击的传播，但它同时也放大了网络对枢纽节点困境的脆弱性。事实上，如果所有枢纽节点（即核心的所有银行）遭受外源性偿付能力冲击，CP和SCP的双层模块化结构似乎特别容易受到系统性危机的风险。由此产生的对现实世界核心-外围网络的政策影响，突显了降低核心银行因持有重叠且相关的投资组合而遭受共同冲击的可能性的重要性。

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