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Exposure to international crises: trade vs. financial contagion

Author identifies new patterns in countries’ economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, author develops an open economy model with two transmission channels that can be shocked separately: international trade and finance. The model is the first to include a government and heterogeneous firms that can default independently of one another and has a novel endogenous cost of sovereign default. 

Authors
Grant J.
Date
2016-11
Document Type
Research Paper
Source
European Systemic Risk Board (ESRB)

The different legal and operational structures of banking groups in the euro area, and their impact on banks’ resolvability

IN-DEPTH ANALYSIS by Willem Pieter de Groen

IN-DEPTH ANALYSIS by Rosa M. Lastra, Rym Ayadi, Rodrigo Olivares-Caminal, Costanza Russo

IN-DEPTH ANALYSIS by Dirk Schoenmaker

Categories
Date
2016-11
Document Type
Briefing Note
Source
European Parliament

Commission Regulation (EU) 2016/2067 on international accounting standards

Commission Regulation (EU) 2016/2067 of 22 November 2016 amending Regulation (EC) No 1126/2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 9 has been published in the Official Journal of the EU.

This Regulation shall enter into force on 19 December 2016.

Authors
European Commission
Date
2016-11
Document Type
Pre-Regulation and Regulation
Source
Official Journal of the European Union

Aggregate liquidity and banking sector fragility

As compared to non-banks, banks adopt relatively fragile balance sheet structures characterized by leverage, maturity mismatch, and asset diversification. This paper offers a new potential explanation for this observation, within a model where banks face lower aggregate (funding) liquidity risk than non-banks. This single difference between both provides banks with an incentive to adopt fragile balance sheets, even in the absence of tax distortions, moral hazard, or a special role for banks as liquidity providers. The model implies that banks engage in pro-cyclical risk-taking, are vulnerable to contagion, and will resist regulatory equity and liquidity requirements, while non-banks do not.

Authors
Mink M.
Categories
Date
2016-11
Document Type
Research Paper
Source
De Nederlandsche Bank

A theory of collateral for the lender of last resort

Authors build a model to analyze the optimal lending and collateral policy for the lender of last resort. Key to their theory is the idea that the central bank’s policy can impose an externality on private markets. On the one hand, lending against high-quality collateral protects the central bank from potential losses but it can adversely affect the pool of collateral in funding markets and impair their efficient functioning since the much needed high-quality collateral gets tied up with the central bank. On the other hand, lending against low-quality collateral exposes the central bank to counterparty risk but improves the pool of collateral in funding markets and can unlock frozen markets. Authors characterize the optimal policy for the central bank taking into account these trade-offs. They show that, contrary to what is generally accepted, it may be optimal for the lender of last resort to lend against low-quality collateral.

Authors
Various Authors
Date
2016-11
Document Type
Research Paper
Source
Social Science Research Network (SSRN)

Bank efficiency and regional growth in Europe: new evidence from micro-data

This paper examines whether European regions which incorporate banks with a higher intermediation quality grow faster and are more resilient to negative shocks than its less efficient peers. For this purpose, authors measure a bank’s intermediation quality by estimating its profit and cost efficiency while taking the changing banking environment after the financial crisis into account. Next, authors aggregate the efficiencies of all banks within a NUTS 2 region to obtain a regional proxy for financial quality in twelve European countries. Results show that relatively more profit efficient banks foster growth in their region. The link between financial quality and growth is valid both in the pre-crisis and post-crisis period. These results provide evidence to the importance of swiftly restoring bank profitability in euro area crisis countries through addressing high non-performing loans ratios and decisive actions on bank recapitalization.

Authors
Various Authors
Categories
Date
2016-11
Document Type
Research Paper
Source
European Central Bank (ECB)

Supervising financial regulators

How much discretion should local financial regulators in a banking union have in accommodating local credit demand? Author analyzes this question in an economy where local regulators privately observe expected output from high lending. They do not fully internalize default costs from high lending since deposit insurance cannot be priced fairly. Still, output net of default costs across the banking union is highest when local regulators are rewarded rather than punished. Regulators with lower current lending receive more discretion to allow higher lending in the future, but regulators with higher current lending may not experience any limit to their discretion.

Authors
Schroth J.
Categories
Date
2016-11
Document Type
Research Paper
Source
Bank of Canada

Monetary policy tradeoffs between financial stability and price stability

Authors analyze the impact of interest rate policy on financial stability in an environment where banks can experience runs on their short-term liabilities, forcing them to sell assets at fire-sale prices. Price adjustment frictions and a state-dependent risk of financial crisis create the possibility of a policy tradeoff between price stability and financial stability. Focusing on Taylor rules with monetary policy possibly reacting to banks’ short-term liabilities, authors find that the optimized policy uses the extra tool to support investment at the expense of higher inflation and output volatility.

Authors
Various Authors
Categories
Date
2016-11
Document Type
Research Paper
Source
Bank of Canada

Objective-setting and communication of macroprudential policies

Macroprudential policy faces a range of challenges that stem from the difficulty to quantify its principal objective, financial stability, and from the absence of an established analytical paradigm to guide its conduct. This report argues that adopting a systematic policy framework that channels policymaking through a set of predictable procedures can help address these challenges. A key element of an effective policy framework is a communication strategy that clearly explains how macroprudential actions can contribute to achieving financial stability. The report provides an overview of how objectives are set in macroprudential policy and how policy is communicated in practice. 

Authors
Committee on the Global Financial System
Date
2016-11
Document Type
Research Paper
Source
Bank for International Settlements (BIS)

Report on the macroprudential policy issues arising from low interest rates and structural changes in the EU financial system

The European Systemic Risk Board (ESRB) published a Report on the macroprudential issues arising from low interest rates and structural changes in the financial system of the European Union.

The Report analyses potential macroprudential issues arising from both a prolonged period of low interest rates and structural changes and discusses what impact these may have on financial markets and the real economy over a long-term horizon. The analysis in the Report takes a forward-looking and holistic approach by considering all major sectors in the financial system as well as cross-sectoral spillovers and contagion channels.

See also: press release, Annex A, Annex B, Annex C, Annex D, Annex E, Questions & Answers

Authors
European Systemic Risk Board - ESRB
Date
2016-11
Document Type
Pre-Regulation and Regulation
Source
European Systemic Risk Board (ESRB)
  • Last Update: Wednesday 30 November 2016, 14:19.

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