28 research outputs found
Three essays on banking crises
En el capĂtulo I se presenta el estado actual de la literatura bancaria y se plantean los principales problemas aĂșn no resueltos y que se investigarĂĄn en los siguientes capĂtulos. En el capĂtulo II se analiza el rol de la informaciĂłn y de las diferentes estructuras del sistema bancario en la generaciĂłn de pĂĄnicos y sus posibles efectos sobre el resto del sistema bancario a travĂ©s del contagio. Se presentan posibles
medidas para prevenirlos como la utilizaciĂłn de las lĂneas de crĂ©dito contingente.
El capĂtulo III analiza el rol de los grandes depositantes, aquellos con mĂĄs incentivos a monitorear la actividad bancaria, en la prevenciĂłn de posibles problemas de riesgo moral de los banqueros. Por Ășltimo, en el capĂtulo IV, se plantean algunos inconvenientes que puede generar aumentar los impuestos cuando la economĂa entra en recesiĂłn, como son las crisis bancarias. TambiĂ©n se estudian distintas medidas para prevenir tales crisis como la reduccion del gasto pĂșblico o la postergaciĂłn de la recaudaciĂłn impositiva
Financial Intermediaries and Transaction Costs
We present an overlapping generations model with spatial separation and agents who face unsystematic liquidity risk. In a pure exchange economy, agents engage in life cycle portfolio rebalancing. In an intermediated economy, intergenerational banks or mutual funds cater to diversified clienteles so as to avoid rebalancing transactions. In equilibrium, these intermediaries pay redemptions with portfolio income and never sell secondary assets. We also find that the pure exchange economy has a downward sloping yield curve and is inherently cyclical.Financial Intermediation, Overlapping Generations, Liquidity.
Information acquisition and financial contagion
This paper incorporates costly voluntary acquisition of information Ă la Nikitin and Smith (2007) [Nikitin, M., Smith, R.T., 2007. Information acquisition, coordination, and fundamentals in a financial crisis. Journal of Banking and Finance, in press, doi:10.1016/j.jbankfin.2007.04.031], in a framework similar to Allen and Gale (2000) [Allen, F., Gale, D., 2000. Financial contagion. Journal of Political Economy 108, 1â33], without relying on any unexpected shock to model contagion. In this framework, contagion and financial crises are the result of information gathering by depositors, weak fundamentals and an incomplete market structure of banks. It also shows how financial systems entering a recession can affect others with apparently stronger economic conditions (contagion). Finally, this is the first paper to investigate the effectiveness of the Contingent Credit Line procedures, introduced by the IMF at the end of the nineties, as a mechanism to prevent the propagation of crises.Publicad
Capital and liquidity in a dynamic model of banking
This paper analyzes capital requirements in combination with a particular kind of cash reserves, that are invested in the risk-free asset, from now on, compensated reserves. We consider a dynamic framework of banking where competition may induce banks to gamble. In this set up, we can capture the two effects that capital regulation has on risk, the capital-at-risk effect and the franchise value effect (Hellman et al., 2000). We show that while capital alone is an inferior policy, compensated reserves, will complement capital requirements, by creating franchise value, and are therefore efficient in solving moral hazard problems.This research is partially funded by the Spanish Ministry of Economy and Competitiveness, project ECO2013-42849-P
RISK PREMIUM: INSIGHTS OVER THE THRESHOLD
The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and returnâs extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hillâs estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries.
Risk Premium: Insights Over The Threshold
The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and returnâs extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hillâs estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries.
Risk premium: insights over the threshold
The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hill's estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries
Government, taxes and banking crises
This paper analyzes the effectiveness of different government policies to prevent the emergence of bank
ing crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks,
government injection of money into the banking system through credit lines, the creation of a buffer and
taxes on financial transactions (the Tobin tax). We illustrate the trade off between these policies and
derive policy implications.Publicad