The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial delev...The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial deleveraging via an overly high upsurge in banks＇ risk premiums vis-a-vis the dynamics of fundamentals underlying loan repayment capability. In this context, this paper seeks to investigate the banking sector＇s internal mechanisms that might bring about a negative spiral of credit risk by building a model for the interaction between the increase of the risk premium and that of net interest income and provisioning rate. Statistical results confirm that a higher risk premium is one of the major determinants of credit default in Romania and its excessive widening could affect financial stability in Romania.展开更多
The development of credit risk transfer market disperse the credit risk of banks, at the same time, also give a threat to the whole financial system with instability. This paper from the influence factors of financial...The development of credit risk transfer market disperse the credit risk of banks, at the same time, also give a threat to the whole financial system with instability. This paper from the influence factors of financial stability, explores how credit risk affecting the stability of financial system. Research found that the rating risk of credit risk transfer can cause default contagion in the financial markets.展开更多
The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on grap...The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.展开更多
According to the consensus view, central banks reached a high level of independence by the end of last century. This paper argues that as a result short-term political considerations applied during the appointment pro...According to the consensus view, central banks reached a high level of independence by the end of last century. This paper argues that as a result short-term political considerations applied during the appointment process of central bank decision-makers, their actual independence was at a lower level already that time. The global f＇mancial crisis created new tasks for central banks and forced a review of the meaning of independence. The paper argues that central banks should be responsible for safeguarding fmancial stability and their macro-prudential activity can only be executed in cooperation with governments. However, interest rate policy decisions must remain free of political influence. The novelty of this paper lies in showing the conflictual relationship of the various roles of central banks. The paper concludes that the duality of independence and cooperation represents a major uncertainty in the operation of central banks. As a result of the greater degree of politicisation of the activities of central banks, their de facto independence in interest rate policy making may further shrink in the future. The paper also shows that India represents a unique case of central bank independence. In most countries, de jure independence is higher than de facto. India is one of the very rare countries where the reverse is the case.展开更多
The real estate cycle and financial stability are closely correlated. In light of global real estate bubbles, China ＂s real estate cycle has attracted wide attention since 1998. The present paper analyzes three drivi...The real estate cycle and financial stability are closely correlated. In light of global real estate bubbles, China ＂s real estate cycle has attracted wide attention since 1998. The present paper analyzes three driving factors in the context of the current real estate cycle; namely, economic growth, maeroeconomie environment and institutional establishment. Supported by econometric analysis using quarterly data from 1992-2004, the present paper indicates that real estate will develop steadily and that housing priees will consistently rise in the relative long run. Based on quantitative analysis, it is concluded that the implications of the current real estate cyele for finaneial stability include risks of real estate credit exposure, government guarantees and maturity mismatch. Some eorresponding poliey implications are discussed, such as advancing banking reform, encouraging the rational behavior of local governments and strengthening the regulation of foreign eapital flows in and out of China＇s real estate industry.展开更多
I. IntroductionAs Douglas North once said, "Institutions are the rules of the game in a society. The beginning of wisdom is to understand how the game is played." In the same way, it is vital to understand t...I. IntroductionAs Douglas North once said, "Institutions are the rules of the game in a society. The beginning of wisdom is to understand how the game is played." In the same way, it is vital to understand the international experience and rules of a financial system when a country tries to advance financial reform. International experience shows that the development展开更多
The development of financial technology has made financial sub-markets increasingly interconnected,and this interdependence magnifies the instability of financial markets and the possibility of risk.The literature doc...The development of financial technology has made financial sub-markets increasingly interconnected,and this interdependence magnifies the instability of financial markets and the possibility of risk.The literature documents the relation of financial sub-markets from time domain,but empirical evidence that effectively identify the patterns of co-movement of multiple financial sub-markets from frequency domain is lacking.This study assesses the dynamic relationship among interest rates,stock prices and exchange rates in China from January 2006 to December 2021 using the Wavelet model.Furthermore,we introduce the TVP-VAR-SV model to study whether the dynamic relationship has changed structurally under the impact of COVID-19.We find the following:1) with the deepening of the financial market and the improvement of the informatization level,the frequency of risk transmission among financial sub-markets decreases,and the linkage relationship changes from frequent linkage in the medium term to relatively stable linkage relationship in the long term;2) the relationship between the three variables in short-term fluctuations is more complex,while the relationship between financial variables in long-term fluctuations is more stable;3) after the outbreak of COVID-19,the positive impact of interest rates and stock prices has brought about a larger range of changes in exchange rate volatility,with a longer impact period and a stronger linkage.展开更多
Since the global financial crisis broke out in 2008, China＇s nonfinancial corporate debt has been rising steadily and rapidly, posing serious threat to China ＂s financial stability. China ＂s rising corporate debt i...Since the global financial crisis broke out in 2008, China＇s nonfinancial corporate debt has been rising steadily and rapidly, posing serious threat to China ＂s financial stability. China ＂s rising corporate debt is mainly attributable to three factors： worsening capital efficiency, worsening corporate profitability and high funding costs. Based on a dynamic recursive model developed in the paper, we simulate the trajectories of China＇s corporate debt-to- GDP ratio, and find that if China fails to reverse the current trends in capital efficiency, corporate profitability and financing costs, China ＂s nonfinancial corporate debt-to-GDP ratio will continue to rise without converging to a limit. Against most economists ＇ intuition, given the current trends of changes in parameters, higher economic growth will not help China to escape the corporate debt trap. On the contrary, it will make China ＂s corporate debt problem even worse. To avert a corporate debt crisis, China needs to speed up the structural reform and change the growth paradigm so as to enhance capital efficiency and firms＇ profitability, while reducing firms ＇financing costs.展开更多
Whether the implementation of a national industrial policy can maintain stability in the financial market is a question of theoretical and practical significance. Using data from China’s non-financial listed firms fr...Whether the implementation of a national industrial policy can maintain stability in the financial market is a question of theoretical and practical significance. Using data from China’s non-financial listed firms from 2007 to 2020,we find that a national industrial policy lowers stock price crash risk. We find that the effect of an industrial policy on lowering stock price crash risk is more pronounced in regions with low levels of regional marketization and if firms have high external uncertainty, low total asset turnover, greater earnings management and receive small increments of long-term loans and fewer government subsidies, suggesting that industrial policies lower stock price crash risk by improving firm fundamentals and reducing external uncertainty,agency costs and information asymmetry.展开更多
The continuing emergence of sudden financial crises and the bankruptcy of Big banks audited by the‘Big Four’auditors confirms that the external audit quality(EAQ)always remains insufficient compared to the desired q...The continuing emergence of sudden financial crises and the bankruptcy of Big banks audited by the‘Big Four’auditors confirms that the external audit quality(EAQ)always remains insufficient compared to the desired quality.The quality weakness is due either to the bad audit company choice,although their sizes,or to the disrespect of the good audit rules.Because there is a lack of comparative studies in the framework of conventional and Islamic banks,this paper aims to compare the impact of EAQ on the financial performance(FP)of 180 conventional banks and 180 Islamic banks.FP and EAQ variables are collected from 56 countries over the period(2010-2020).To overcome the mystery of the best EAQ selection based on its impact on FP,this paper relied on the GLS estimator.Consequently,this paper concluded that the EAQ affected the conventional banks’FP,but it improved that of Islamic banks with a moderate impact.展开更多
文摘The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial deleveraging via an overly high upsurge in banks＇ risk premiums vis-a-vis the dynamics of fundamentals underlying loan repayment capability. In this context, this paper seeks to investigate the banking sector＇s internal mechanisms that might bring about a negative spiral of credit risk by building a model for the interaction between the increase of the risk premium and that of net interest income and provisioning rate. Statistical results confirm that a higher risk premium is one of the major determinants of credit default in Romania and its excessive widening could affect financial stability in Romania.
文摘The development of credit risk transfer market disperse the credit risk of banks, at the same time, also give a threat to the whole financial system with instability. This paper from the influence factors of financial stability, explores how credit risk affecting the stability of financial system. Research found that the rating risk of credit risk transfer can cause default contagion in the financial markets.
文摘The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.
文摘According to the consensus view, central banks reached a high level of independence by the end of last century. This paper argues that as a result short-term political considerations applied during the appointment process of central bank decision-makers, their actual independence was at a lower level already that time. The global f＇mancial crisis created new tasks for central banks and forced a review of the meaning of independence. The paper argues that central banks should be responsible for safeguarding fmancial stability and their macro-prudential activity can only be executed in cooperation with governments. However, interest rate policy decisions must remain free of political influence. The novelty of this paper lies in showing the conflictual relationship of the various roles of central banks. The paper concludes that the duality of independence and cooperation represents a major uncertainty in the operation of central banks. As a result of the greater degree of politicisation of the activities of central banks, their de facto independence in interest rate policy making may further shrink in the future. The paper also shows that India represents a unique case of central bank independence. In most countries, de jure independence is higher than de facto. India is one of the very rare countries where the reverse is the case.
文摘The real estate cycle and financial stability are closely correlated. In light of global real estate bubbles, China ＂s real estate cycle has attracted wide attention since 1998. The present paper analyzes three driving factors in the context of the current real estate cycle; namely, economic growth, maeroeconomie environment and institutional establishment. Supported by econometric analysis using quarterly data from 1992-2004, the present paper indicates that real estate will develop steadily and that housing priees will consistently rise in the relative long run. Based on quantitative analysis, it is concluded that the implications of the current real estate cyele for finaneial stability include risks of real estate credit exposure, government guarantees and maturity mismatch. Some eorresponding poliey implications are discussed, such as advancing banking reform, encouraging the rational behavior of local governments and strengthening the regulation of foreign eapital flows in and out of China＇s real estate industry.
文摘I. IntroductionAs Douglas North once said, "Institutions are the rules of the game in a society. The beginning of wisdom is to understand how the game is played." In the same way, it is vital to understand the international experience and rules of a financial system when a country tries to advance financial reform. International experience shows that the development
基金funded by the National Social Science Fund of China,“Research on the Risk Generation, Measurement and Prevention Mechanisms under the Financial Market Opening Environment”(No. 18BJY232)。
文摘The development of financial technology has made financial sub-markets increasingly interconnected,and this interdependence magnifies the instability of financial markets and the possibility of risk.The literature documents the relation of financial sub-markets from time domain,but empirical evidence that effectively identify the patterns of co-movement of multiple financial sub-markets from frequency domain is lacking.This study assesses the dynamic relationship among interest rates,stock prices and exchange rates in China from January 2006 to December 2021 using the Wavelet model.Furthermore,we introduce the TVP-VAR-SV model to study whether the dynamic relationship has changed structurally under the impact of COVID-19.We find the following:1) with the deepening of the financial market and the improvement of the informatization level,the frequency of risk transmission among financial sub-markets decreases,and the linkage relationship changes from frequent linkage in the medium term to relatively stable linkage relationship in the long term;2) the relationship between the three variables in short-term fluctuations is more complex,while the relationship between financial variables in long-term fluctuations is more stable;3) after the outbreak of COVID-19,the positive impact of interest rates and stock prices has brought about a larger range of changes in exchange rate volatility,with a longer impact period and a stronger linkage.
文摘Since the global financial crisis broke out in 2008, China＇s nonfinancial corporate debt has been rising steadily and rapidly, posing serious threat to China ＂s financial stability. China ＂s rising corporate debt is mainly attributable to three factors： worsening capital efficiency, worsening corporate profitability and high funding costs. Based on a dynamic recursive model developed in the paper, we simulate the trajectories of China＇s corporate debt-to- GDP ratio, and find that if China fails to reverse the current trends in capital efficiency, corporate profitability and financing costs, China ＂s nonfinancial corporate debt-to-GDP ratio will continue to rise without converging to a limit. Against most economists ＇ intuition, given the current trends of changes in parameters, higher economic growth will not help China to escape the corporate debt trap. On the contrary, it will make China ＂s corporate debt problem even worse. To avert a corporate debt crisis, China needs to speed up the structural reform and change the growth paradigm so as to enhance capital efficiency and firms＇ profitability, while reducing firms ＇financing costs.
基金the financial support of the Key Construction Discipline Project of the Liaoning Provincial Social Science Planning Foundation(L21ZD040)
文摘Whether the implementation of a national industrial policy can maintain stability in the financial market is a question of theoretical and practical significance. Using data from China’s non-financial listed firms from 2007 to 2020,we find that a national industrial policy lowers stock price crash risk. We find that the effect of an industrial policy on lowering stock price crash risk is more pronounced in regions with low levels of regional marketization and if firms have high external uncertainty, low total asset turnover, greater earnings management and receive small increments of long-term loans and fewer government subsidies, suggesting that industrial policies lower stock price crash risk by improving firm fundamentals and reducing external uncertainty,agency costs and information asymmetry.
文摘The continuing emergence of sudden financial crises and the bankruptcy of Big banks audited by the‘Big Four’auditors confirms that the external audit quality(EAQ)always remains insufficient compared to the desired quality.The quality weakness is due either to the bad audit company choice,although their sizes,or to the disrespect of the good audit rules.Because there is a lack of comparative studies in the framework of conventional and Islamic banks,this paper aims to compare the impact of EAQ on the financial performance(FP)of 180 conventional banks and 180 Islamic banks.FP and EAQ variables are collected from 56 countries over the period(2010-2020).To overcome the mystery of the best EAQ selection based on its impact on FP,this paper relied on the GLS estimator.Consequently,this paper concluded that the EAQ affected the conventional banks’FP,but it improved that of Islamic banks with a moderate impact.
