Do banks propagate debt market shocks?

Over the years, U.S. banks have increasingly relied on the bond market to finance their business. This created the potential for a link between the bond market and the corporate sector whereby borrowers, including those that do not rely on bond funding, became exposed to the conditions in the bond market. We investigate the importance of this link. Our results show that when the cost to access the bond market goes up, banks that rely on bond financing charge higher interest rates on their loans. Banks that rely exclusively on deposit funding follow bond financing banks and increase the interest rates on their loans, though by smaller amounts. Further, banks pass the bond market shocks predominantly to their risky borrowers that have access to the bond market and to their borrowers that do not have access to the bond market. These results show that banks propagate shocks to the bond market by passing them through their loan policies to their borrowers, including those that do not use bond financing.Banks and banking ; Banks and banking - Costs ; Bond market

Banking and commerce: a liquidity approach

This paper looks at the advantages and disadvantages of mixing banking and commerce, using the "liquidity" approach to financial intermediation. Adding a commercial firm makes it easier for a bank to dispose of assets seized in a loan default. This "internal market" increases the liquidity of such assets and improves the bank's ability to perform financial intermediation. More generally, owning a commercial firm may act either as a substitute or a complement to commercial lending. In some cases, a bank will voluntarily refrain from making loans, choosing to become a nonbank bank in an unregulated environment.Nonbank financial institutions ; Bank liquidity

Liquidity standards and the value of an informed lender of last resort

Funding agency: Spanish government (grant nr: ECO2011-26308 and ECO2014-59262)We consider a dynamic model in which receiving support from the lender of last resort (LLR) may help banks to weather investor runs. We show the need for regulatory liquidity standards when the underlying social trade-offs make the uninformed LLR inclined to support troubled banks during a run. Liquidity standards increase the time available before the LLR must decide on supporting the bank. This facilitates the arrival of information on the bank's financial condition and improves the efficiency of the decision taken by the LLR, a role that can be modified but not replaced with the use of capital regulation.authorsversionpublishe

CLO trading and collateral manager bank affiliation

This paper investigates whether the institutional affiliation of a collateralized loan obligation (CLO) manager influences the manager's access to information and risk appetite. We find that CLO managers affiliated with banks start to sell off their positions in loans arranged by their bank well before the onset of default. In contrast, CLO managers affiliated with nonbanks do not lower their exposures to distressed loans. These findings are consistent with bank-affiliated CLO managers being more risk averse, but they could also derive from them having access to valuable information. On close inspection, we find that although bank-affiliated CLO managers are averse to holding any distressed loans, they are also more aggressive at divesting distressed loans arranged by their parent bank, suggesting that they benefit from an information wedge. Besides helping us understand CLO managers’ trading activities, our findings highlight a potential limit to banks’ ability to originate loans and distribute them via their affiliated CLOs.authorsversionpublishe

Bank capital, borrower power, and loan rates

We examine how bank capital and borrower bargaining power affect loan spreads. Consistent with previous studies, higher bank capital has a negative impact on loan rates, but borrower cash flow has a significant effect on this impact: Compared with high-capital banks, low-capital banks charge more for borrowers with low cash flow, but offer greater marginal discounts as these borrowers' cash flow rises. These effects are largely focused on more bank-dependent borrowers. We find some evidence that low-capital banks charge a higher premium for bank-dependent borrowers' systematic risk, but not for their total equity risk or default risk. Received January 27, 2015; editorial decision July 7, 2018 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.authorsversionpublishe

Evolution of collective action in adaptive social structures

Many problems in nature can be conveniently framed as a problem of evolution of collective cooperative behaviour, often modelled resorting to the tools of evolutionary game theory in well-mixed populations, combined with an appropriate N-person dilemma. Yet, the well-mixed assumption fails to describe the population dynamics whenever individuals have a say in deciding which groups they will participate. Here we propose a simple model in which dynamical group formation is described as a result of a topological evolution of a social network of interactions. We show analytically how evolutionary dynamics under public goods games in finite adaptive networks can be effectively transformed into a N-Person dilemma involving both coordination and co-existence. Such dynamics would be impossible to foresee from more conventional 2-person interactions as well as from descriptions based on infinite, well-mixed populations. Finally, we show how stochastic effects help rendering cooperation viable, promoting polymorphic configurations in which cooperators prevail.This research was supported by FCT-Portugal through grants PTDC/FIS/101248/2008 and PTDC/MAT/122897/2010, by multi-annual funding of CMAF-UL and INESC-ID (under the project PEst-OE/EEI/LA0021/2011) provided by FCT-Portugal. Partial Financial support by the National Science Foundation under Grant No. NSF PHY11-25915 is also gratefully acknowledged

Ratings-based regulation and systematic risk incentives

Funding agency and sponsor: CAREFIN, University of Tennessee, University of Virginia and Institut Européen d'Administration des Affaires. Funding text: An earlier version of this paper was titled “Bank regulation, credit ratings, and systematic risk.” Valuable comments were provided by the Editor Itay Goldstein, three anonymous referees, Tobias Berg, Thomas Cooley, Timotej Homar, Christine Parlour, Andrea Resti, Francesco Saita, Andrea Sironi, René Stulz, and Andrew Winton; participants of the 2011 International Risk Management Conference, the 2011 Bank of Finland Future of Risk Management Conference, the 2012 Financial Risks International Forum, the 2012 Red Rock Conference, the 2012 FDIC Bank Research Conference, the 2012 Banque centrale du Luxembourg Conference, the 2013 Financial Intermediation Research Society Meetings, the 2013 Banco de Portugal Financial Intermediation Conference, and the 2014 Wharton Liquidity and Financial Crises Conference; and seminar participants at Copenhagen Business School, the Federal Reserve Banks of Cleveland and San Francisco, the Federal Reserve Board, HEC Paris, Imperial College, Indiana University, INSEAD, the Korea Deposit Insurance Corporation, Universitá Bocconi, Universitat Pompeu Fabra, the University of Tennessee, the University of Virginia, and Warwick Business School. We are very grateful to CAREFIN for providing financial assistance. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve SystemOur model shows that when regulation is based on credit ratings, banks with low charter value maximize shareholder value by minimizing capital and selecting identically rated loans and bonds with the highest systematic risk. This regulatory arbitrage is possible if the credit spreads on same-rated loans and bonds are greater when their systematic risk (debt beta) is higher. We empirically confirm this relationship between credit spreads, ratings, and debt betas. We also show that banks with lower capital select syndicated loans with higher debt betas and credit spreads. Banks with lower charter value choose overall assets with higher systematic risk.authorsversionpublishe

Resistência à compressão residual de betões calcários após incêndio

Com o objectivo de conhecer a resistência residual à compressão dos betões calcários após incêndio, desenvolveu-se um programa experimental no qual se consideraram como variáveis de estudo: o processo de arrefecimento (arrefecimento ao ar e arrefecimento por jacto de água); a temperatura máxima a que o betão esteve sujeito (20ºC, 300ºC, 500ºC e 700ºC) e o nível de carregamento (0.3fcd e 0.7fcd)

Fire resistance tests on concrete columns

The reinforced concrete elements are known to have enhanced fire behaviour however there are many things that can affect that performance. In the last years there have been carried out, in the University of Coimbra, Portugal, dozens of fire resistance tests on concrete columns where it was tested the influence of various parameters on the behaviour of these columns. Several parameters that might have influence on the behaviour of concrete columns in fire, were tested: cross section shape (round and square), longitudinal reinforcement ratio, slenderness of the column, stiffness of the surrounding structure (restraint level), load level and the load eccentricity. The restraining level to the thermal elongation of the columns showed not being a relevant parameter in their fire resistance probably due the increase in rotational restrain associated with the increase in the axial restraint. The first increases the fire resistance while the second reduces. The increasing of the load level lead to a reduction, while the increasing of the longitudinal reinforcement ratio or the decreasing of the slenderness of the columns lead to an increasing of the fire resistance. The spalling was also an aspect analysed in these tests. The higher load levels, the shape of the cross-section, the type of concrete with or without steel and / or polypropylene fibres, and the steel reinforcement ration was parameters that showed to have influence on concrete cracking and spalling

A report on the use of a single intra-articular administration of autologous platelet therapy in a naturally occurring canine osteoarthritis model : a preliminary study

Research Areas : Orthopedics ; RheumatologyBackground: Osteoarthritis (OA) represents a significant burden to societies, as it affects quality of life, performance and poses a large healthcare cost. We aimed to describe the use of a single intra-articular (IA) injection of an autologous platelet therapy in the management of osteoarthritis (OA) in a naturally occurring canine model. Methods: Fifteen police working dogs with bilateral hip OA were treated with 3 ml of platelet concentrate per hip joint, produced with the V-PET kit. Response to treatment was measured by the Canine Brief Pain Inventory (CBPI, divided in pain interference score – PIS, and Pain Severity Score - PSS), Liverpool Osteoarthritis in Dogs (LOAD), Canine Orthopedic Index (COI, divided in four dimensions: function, gait, stiffness and quality of life - QOL) and the Hudson Visual Analogue Scale (HVAS). Seven different time points were considered: T0 (before treatment), T1 (after 15 days), T2, T3, T4, T5 and T6 (after 1, 2, 3, 4 and 5 months respectively). Results from each evaluation moment were compared with T0 with a Paired Samples T-Test, and a p < 0.05 was set. Results: Significant differences were observed at T1 (p < 0.01 for HVAS, PSS, COI, Gait and QOL; p = 0.01 for PIS; p = 0.02 for Function; and p < 0.05 for Stiffness), T2 (p < 0.01 for PSS, PIS and Gait; p = 0.01 for COI; p = 0.02 for HVAS, Function and QOL; and p = 0.04 for Stiffness), T3 (p < 0.01 for HVAS, PSS, PIS, Function and Gait; p = 0.01 for COI; and p = 0.02 for QOL), T4 (p < 0.01 for PSS; p = 0.03 for PIS and Gait), T5 (p < 0.01 for COI, Function and Gait; p = 0.03 for PSS, PIS and Stiffness), T6 (p < 0.01 for PSS, Function and Gait; p = 0.04 for PIS; p < 0.05 for COI) and T7 (p < 0.01 for PSS, Function and Gait; p = 0.01 for COI; and p < 0.05 for PIS). Conclusions: Autologous platelet therapy was used without apparent harm in the subjects. A single administration produced significant improvements, which lasted several months, and therefore warrants further study.info:eu-repo/semantics/publishedVersio