Time deposits in the Brunner-Meltzer model of asset markets

Benjamin Friedman raised on a previous occasion questions about the interpretation of the multiplier formulation in our assetmarket model of the money suppl process. These questions addressed the role of time deposits in this process. This short note establishes the consistency of an equilibrium model of assetmarket interaction centered on a multiplier formulation. It states the rationale of the procedure and the nature of time deposit supply function the process.     

Non-bank public and commercial bank portfolio behavior in the Brunner-Meltzer model: A review and clarification

This paper investigates the relationship between a portfolio theoretic model of non-bank public and commercial bank behavior and the Brunner-Meltzer non-linear money supply hypothesis. We examine the recent modification of the Brunner-Meltzer macroeconomic model suggested by Friedman and Froewiss (1977), discuss its shortcomings, and argue that the unmodified model is valid if one adopts the monetary sector equilibria definition of Saving (1977).     

A hierarchical agency model of deposit insurance

This paper develops a hierarchical agency model of deposit insurance. The main purpose of the analysis is to propose a micro-founded model of deposit insurance schemes and study their effects on the behavior of depositors and the monitoring problem for a bank. This paper also characterizes a risk-based premium in equilibrium, and conducts a comparative statics analysis of depositors’ optimal actions. The results supply the basic theoretical foundation for designing deposit insurance schemes. Our findings are consistent with the empirical research on depositor behavior.     

An economic model of the market for negotiable certificates of deposit

The model developed in this paper explains both the quantity of CDs and the rate of interest on this instrument. We demonstrate that the behavior of the market for this financial asset is characterized by a dichotomy which has been induced by the Federal Reserve's administration of Regulation Q ceilings on offering rates on CDs. During several time spans since 1961, Regulation Q had no impact on the CD market and we hypothesize that the behavior of the CD market reflected market forces of both demand and supply. However during several periods, the Regulation Q ceiling effectively bound offering rates on CDs which induced a runoff in the quantity of CDs while the secondary CD rate was bid up to the level of market interest rates. In modeling the behavior of the CD market, equations are developed for both the outstanding quantity of CDs and the interest rate on CDs, each of which consists of different sets of variables for normal and runoff periods in order to explain this dichotomy.     

Resolving the deposit dilemma: A new DEA bank efficiency model

One of the weaknesses of current bank efficiency models is a disagreement as to the role of deposits in the bank production process. Some models view deposits as an input, while others view them as an output. Such disparity of approaches results in inconsistent efficiency estimates. In this study we propose an alternative Data Envelopment Analysis (DEA) bank efficiency model that treats deposits as an intermediate product, thus emphasizing the dual role of deposits in the bank production process. Consequently, the effect of the amount of deposits on bank efficiency depends on the efficiency at both stages of the bank production process. The main advantage of our model is that it does not require a researcher to make a judgment call as to whether having more (production approach) or less (intermediation approach) deposits is “better” for bank efficiency. Our unified framework has the potential to produce more consistent efficiency estimates.     

Anticipating bailouts: The incentive-conflict model and the collapse of the Ohio deposit guarantee fund

The collapse of the Ohio Deposit Guarantee Fund in March 1985 provides a laboratory for examining the financial market's belief in the incentive-conflict model proposed by Kane (1989). Research in this area has yet to examine the stock returns of federally insured institutions during that period in the context of this model. Thus, it has not addressed the question of whether financial market participants recognize the implications of the model; that is, whether they anticipate the bailouts it implies. This paper fills that void.We find that on average, stocks of firms insured by the poorly capitalized FSLIC do reasonably well during the 41-day event window centered on the ODGF's Bank Holiday, while stocks of firms insured by the relatively well-capitalized FDIC do not. More important, differences in abnormal returns of FDIC and FSLIC firms are consistent with a reaffirmation of the incentive-conflict model.     

我国广义货币供应量M2的回归模型与预测

货币供应量是货币政策工具重要的中介变量。该文通过分解我国货币供应量的诸多宏观影响因素,尝试建立一个较为完整的货币供应量多变量回归模型,揭示宏观经济变量对货币供应量的影响程度,并运用该模型对货币供应量的短期变化进行预测,以期为把握宏观经济形势、理解货币政策变化及预判金融市场走势提供参考依据。检验结果表明,该模型对货币供应量的预测比较符合实际情况。     

“链”上共赢融资

如何激活整条铁链上的资金活力,从而发挥供应链融资多方共赢的效果,取决于供应链上各方的统筹协作。早在几年之前,供应链金融就被一致判定为最有潜力的银行业务。而在之后席卷全球的金融危机中,供应链金融在西方银行业信贷紧缩的大背景下依旧一枝独秀的高增长态势恰恰印证了这一预判。在国内供应链融资也以其共赢之道赢得了链上各方的青睐:银行认为供应链     

好企业登记簿

到目前为止,公司社会责任的焦点主要是落在大企业身上。但是,为了帮助中小企业应对因为政府要求所有企业报告其业务情况,而产生的不断增加的压力,澳大利亚政府已经启动了一个项目——"负责任的企业行为项目"。在试行一年之后,该项目目前正在进行更广泛的推广。     

话说准备金率下诟

仅准备金率下调是远远不够的欢迎银根开始松动：准备金率下调0．5％2011年11月30日晚,显然是事先约定的,中国人民银行与世界六大国央行一起出手,松动银根,向社会注入流动性。央行宣布下调存款准备金率0．5个百分点,这是三年来第一次下调。但现在21％的存款准备金率依然是当今世界各国中最高的了,因此,以后必然还会下调多次。     

迎接LOF时代

LOF(上市开放式基金)出来了,尽管它只是增加了一条场内销售和交易的渠道,但却赢得如潮的好评,被视为"具有革命性的重大意义".有人说,LOF的出现,意味着基金交易制度根本改革的开始,提高了交易方便程度,降低了交易成本,拓展了券商经纪业务,标志着基金业迈进"高速公路时代";有人说,LOF拓宽了储蓄资金通过基金进人资本市场的通道,缓解了银行的销售压力,增加了基金托管量,提供了"封转开"可行的出路,"视野更开阔,未来发展空间更大".     

Implicit deposit insurance and deposit guarantees: Characteristics of Australian bank risk premia

This paper examines the hypothesis that CD issue yields of Australian banks incorporate a premium that reflects bank risk. Our empirical analysis of Australian banks' CD premiums suggests the data is consistent with this hypothesis and hence supports the view that CD holders do not perceive their deposits as being risk-free. Nor do we find any statistically significant difference between the premiums paid by private banks with implicit deposit insurance vis-a-vis those paid by government-owned banks with explicit government guarantees.     

The pricing of deposit insurance in the presence of systematic risk

Based on the Merton (1977) put option framework, we develop a deposit insurance pricing model that incorporates asset correlations, a measurement for the systematic risk of a bank, to account for the risk of joint bank failures. Estimates from our model suggest that actuarially fair risk-based deposit insurance that considers only individual bank failure risk is underpriced, leaving insurance providers exposed to net losses. Our estimates also capture the size premium where big banks are priced with higher deposit insurance than small banks. This result is particularly relevant to the current regulatory concerns on big banks that are too-big-to-fail. Above all, our approach provides a unifying framework for integrating risk-based deposit insurance with risk-based Basel capital requirements.     

Aligning incentives in supply chains

Most companies don't worry about the behavior of their supply chain partners. Instead, they expect the supply chain to work efficiently without interference, as if guided by Adam Smith's famed invisible hand. In their study of more than 50 supply networks, V.G. Narayanan and Ananth Raman found that companies often looked out for their own interests and ignored those of their network partners. Consequently, supply chains performed poorly. Those results aren't shocking when you consider that supply chains extend across several functions and many companies, each with its own priorities and goals. Yet all those functions and firms must pull in the same direction for a chain to deliver goods and services to consumers quickly and cost-effectively. According to the authors, a supply chain works well only if the risks, costs, and rewards of doing business are distributed fairly across the network. In fact, misaligned incentives are often the cause of excess inventory, stock-outs, incorrect forecasts, inadequate sales efforts, and even poor customer service. The fates of all supply chain partners are interlinked: If the firms work together to serve consumers, they will all win. However, they can do that only if incentives are aligned. Companies must acknowledge that the problem of incentive misalignment exists and then determine its root cause and align or redesign incentives. They can improve alignment by, for instance, adopting revenue-sharing contracts, using technology to track previously hidden information, or working with intermediaries to build trust among network partners. It's also important to periodically reassess incentives, because even top-performing networks find that changes in technology or business conditions alter the alignment of incentives.     

Liquidity supply in electronic markets

We examine the supply of liquidity by proprietary trading desks and hedge funds (PTDH) versus mutual funds, index funds, and insurance companies (MII) across ten bid (ask) steps of the limit order book. We document that institutional investors simultaneously supply liquidity at multiple prices in the limit order book. We also find that PTDHs are more price aggressive liquidity suppliers than MIIs, consistent with hypothesized responses to observed changes in the cost and risk of non-execution. We investigate whether these findings are robust to fast versus slow markets, the volatility of daily returns, and aggregate depth relative to daily volume.     

NHS purchasing and the supply council

The Defence budget is over‐stretched. The scope for greater efficiency is large, but only radical and unpalatable action ‐ possibly at the expense of the UK defence‐industry ‐ can produce enough savings in existing programmes.     

连续时间SV模型的估计及在金融风险分析中的应用

本文分析了由连续时间平方根随机波动模型确定的资产收益的无条件联合特征函数及统计特性.对连续时间SV模型,提出了基于经验特征函数的参数估计方法,这种估计方法既不需要对连续时间过程的离散化,也不需要取样路径的模拟,实施起来较简单.使用上海和深圳股市的指数日收益数据对经验特征函数方法在连续时间随机波动模型参数估计中的应用进行了实证分析,并证明了两个市场波动过程存在均值回复及连续时间随机波动模型拟合资产收益数据的优势.     

预算，逆境取胜

在全球经济普遍放缓的大环境下,今年以来,我国经济下滑压力相比去年有增无减。国家统计局前不久公布的宏观经济数据显示,二季度GDP增速比一季度继续回落0.2个百分点,同比增长7.5%,上半年GDP同比增长7.6%,“保八”失利。第二季度“克强指数”5.15%弱于第一季度5.53%,令许多机构和人士预测下半年中国经济增速仍趋回落。     

Australian money supply analysis: The relationship between the monetary base,secondary reserves and the money supply

Utilising the criteria of predictability, stability over time, and instrument stability this paper examines the relationship between the reserve base and the money supply in Australia. Various modifications to the money supply function are made to incorporate the influence of direct monetary controls, of the overdraft lending system, and of the increased substitutability of government securities for high powered money arising from the Reserve Bank of Australia's policy of pegging government security yields. Doubt is cast on the ability of the Australian authorities to control the primary monetary aggregates on a short-run basis.