Risk‐taking channel of monetary policy

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. We propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries and the “risk‐taking channel of monetary policy.” Monetary tightening leads to the flattening of the term spread, reducing net interest margin and credit supply. We provide empirical support for the risk‐taking channel.     

水利建设市场主体信用评价指标体系改进——以施工单位为例

针对现行水利建设市场主体信用评价指标体系,以施工单位为例,在比较分析已有信用评价结果的基础上,采用问卷调查统计方法,得到市场主体对现有评价指标的认同度,并分析不同指标认同度差异的原因,进而提出删除门户网站及平台信息、固定资产占总资产比例及施工年产值等认同度低的指标,提高管理层素质、人员素质及管理制度等认同度高的指标的权重。     

Interaction between securitization gains and abnormal loan loss provisions: Credit risk retention and fair value accounting

This study investigates whether managers use asset securitization gains to substitute loan loss provision (LLP) management for earnings management, and, if so, whether the percentage of credit risk retained affects such a relationship. The literature provides evidence that managers have used securitization transactions to boost earnings. Using 2001?2014 data for a sample of bank holding companies, I find that managers use securitization gains and LLPs as partial substitutes and that earnings management from securitization gains grows at an increasing rate to substitute income increasing LLP management as the level of risk retention increases. These findings are consistent with the argument that the higher the level of risk retention, the greater the potential impact on achieving earnings targets, given banks’ exercise of discretion over securitization gains through estimation of fair value of retained interest. In addition, I document that the substitution effect between the two tools is non‐existent in the post‐SFAS 166/167 period. Taken together, the findings have timely implications for accounting standards by informing the effect of risk retention that I measure through earnings management techniques. Moreover, my findings provide additional support for improved disclosures on assets‐backed securities.     

Recognition versus disclosure of finance leases: Evidence from Japan

This study examines whether credit market participants—bond investors and credit rating agencies—treat recognized and disclosed finance leases differently when assessing firms’ credit risk in Japan. I use firms’ credit risk, measured by bond spreads and credit ratings, to investigate the relations between recognized versus disclosed finance lease obligations and firms’ credit risk following the adoption of Statement No. 13, Accounting Standard for Lease Transactions. For a sample of firms issuing new bonds, I find that, unlike recognized finance leases, disclosed finance leases are not associated with bond spreads. Moreover, the associations between recognized versus disclosed finance leases and bond spreads are substantially different. Conversely, recognized and disclosed finance leases are associated with credit ratings and are processed similarly when credit ratings are determined. Taken together, my results suggest that the sophistication of capital market participants influences their credit risk assessments of recognized versus disclosed finance leases.     

Capital buffer and credit‐risk adjustments in Islamic and conventional banks

The main purpose of this article is to empirically investigate the interactions between changes in capital buffer and changes in credit risk, using panel data of Islamic and conventional banks located in the Middle East and North Africa (MENA) region over the period 1999–2016. A negative two‐way relationship between the changes in capital buffer and the changes in credit risk is found for the two types of banks, that is, banks tend to decrease their capital buffers in response to an increase in risk exposure and limit their risky activities in response to an increase in their capital buffers. Dividing our period of study into three subperiods to assess the effect of the last financial crisis 2007–08 on the adjustment process, we point out the negative bidirectional relationship between the changes in capital buffer and the changes in credit risk of the two types of banks is present for the three subperiods except the case of conventional banks during the precrisis period. Moreover, we provide evidence that Islamic banks adjust their capital buffer in response to the changes in credit risk regardless of the existence or not of a deposit insurance scheme. In contrast, the negative two‐way relationship between the changes in capital buffer and the changes in credit risk in conventional banks is found only in countries without deposit insurance schemes.     

Best classification algorithms in peer-to-peer lending

A proper credit scoring technique is vital to the long-term success of all kinds of financial institutions, including peer-to-peer (P2P) lending platforms. The main contribution of our paper is the robust ranking of 10 different classification techniques based on a real-world P2P lending data set. Our data set comes from the Lending Club covering the 2009–2013 period, which contains 212,252 records and 23 different variables. Unlike other researchers, we use a data sample which contains the final loan resolution for all loans. We built our research using a 5-fold cross-validation method and 6 different classification performance measurements. Our results show that logistic regression, artificial neural networks, and linear discriminant analysis are the three best algorithms based on the Lending Club data. Conversely, we identify k-nearest neighbors and classification and regression tree as the two worst classification methods.     

Dynamic response of bank-intermediated trade finance to a global liquidity shock

This paper investigates the bank-level responses of a bank-intermediated instrument of trade finance to a negative global liquidity shock in Korea. Using a factor-augmented vector autoregression approach, the results show that there exists significant heterogeneity in bank-level trade-finance responses to a global liquidity shock. In addition, we find that the source of the heterogeneity is the bank-level foreign currency liquidity condition; banks with a better foreign currency liquidity condition may dampen the negative impact of a global liquidity shock on trade-finance.     

严监管背景下农信社合规风险管理体系建设

2018年,银行业监管环境进一步趋严,不但强调对银行的监管,更提出了对监管人员职责的监管,这种严格的外部监管环境对农信社的合规风险管理带来了极大的挑战。农信社合规风险管理体系的建设和完善已势不容缓。论文提出了农信社合规风险管理体系建设要从战略定位、文化渗透、防线搭建、专业专职化、考核和追究六个维度入手,推进合规风险管理长效机制的建设。     

Rural credit and the time allocation of agricultural households: The case of PRONAF in Brazil

This paper evaluates the impact of Brazil's National Program to Strengthen Family Farming (PRONAF) on the time allocation of household members. We use data from the 2014 Pesquisa Nacional por Amostra de Domicílios, and we apply propensity score methods to complex surveys recently recommended in the literature. We find that PRONAF helps to increase focus on agricultural activities, but it also stimulates female partners to engage in unpaid work. The results show significant effects of PRONAF on child labor and on the gender‐specific division of labor within households, although it does not have the usual adverse effects of rural credit programs on school attendance.