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1.
The goal of this empirical study is to identify empirically and on a panel basis how non-traditional bank activities affect directly the profitability and risk profiles of the financial institutions involved in such activities. Through a dataset that covers 1725 U.S. financial institutions involved in non-traditional bank activities spanning the period 2000–2013 and the methodology of panel cointegration, the empirical findings document that non-traditional bank activities exert a positive effect on both the profitability and the insolvency risk. The results could be important for regulators given they could serve as a pre-warning signal that sends a clear message to regulators about the potential systemic risk that exists within the financial markets. 相似文献
2.
Caroline M. Betts 《Journal of Monetary Economics》2006,53(7):1297-1326
Traditional theory attributes fluctuations in real exchange rates to changes in the relative price of nontraded goods. This paper studies the relation between the United States’ bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. We find that this relation depends crucially on the choice of price series used to measure relative prices and on the choice of trade partner. The relation is stronger when we measure relative prices using producer prices rather than consumer prices. The relation is stronger the more important is the trade relationship between the United States and a trade partner. Even in cases where there is a strong relation between the real exchange rate and the relative price of nontraded goods, however, a large fraction of real exchange rate fluctuations is due to deviations from the law of one price for traded goods. 相似文献
3.
Ding Du 《Review of Quantitative Finance and Accounting》2018,50(3):775-798
We extend Lustig et al. (Rev Financ Stud 24:3731–3777, 2011) and Brusa et al. (The International CAPM Redux, 2014) by examining if the common exchange rate factors, the dollar and carry factors, are priced in the US equity market. Our results suggest that while the carry factor has incremental pricing information relative to the US market factor, the dollar factor (or the trade-weighted exchange rate index) is redundant. Our results have important theoretical as well as practical implications. Theoretically, we suggest that financial economists take an endogenous perspective of exchange rates. Practically, we suggest that practitioners incorporate in the carry factor to measure the exposure of exchange rate risk. 相似文献
4.
Donghui Li Fariborz Moshirian Timothy Wee Eliza Wu 《Journal of International Financial Markets, Institutions & Money》2009,19(2):306-320
We study the foreign exchange exposure of U.S. insurers. The evidence shows that no systematic difference exists in the currency risk profiles of life and non-life segments within the insurance industry. This suggests that life and non-life insurers have similar risk exposure management strategies arising from similar risk pooling and financial intermediary functions. The empirical results reveal that a sizable proportion of U.S. insurers are exposed to foreign exchange movements against the seven largest U.S. trade partners in insurance services (U.K., Japan, Switzerland, Netherlands, France, Germany and Canada). Significant operational and size effects are also documented and we find that the frequency of foreign exchange exposure increases with time horizon. 相似文献
5.
Kanas Angelos Zervopoulos Panagiotis D. 《Review of Quantitative Finance and Accounting》2020,54(2):517-539
Review of Quantitative Finance and Accounting - This paper puts forward the proposition that U.S. commercial banks use dividends as a mechanism to shift systemic risk to debt-holders and the... 相似文献
6.
This paper examines how U.S. multinational firms are affected by foreign currency movements. In light of detailed exchange rate data, we find that 29% of our sample of 935 U.S. firms with real operations in foreign countries is significantly affected by currency movements between 1990 and 2001. Results show moreover that U.S. stock returns react asymmetrically to currency movements. By introducing nonlinearity in foreign currency risk exposure, we noticeably increase the precision and the significance of exposure estimates. We demonstrate moreover that asymmetries are more pronounced towards large versus small currency fluctuations than over depreciation and appreciation cycles. 相似文献
7.
The effects of geographical deregulation on competition in banking markets is examined. Using a model that develops an index of competition as proposed by Bresnahan and applied to banking markets by Shaffer, the empirical evidence suggests that geographical deregulation has not had a significant impact on competition. The limited effects of geographical deregulation on competition is consistent with other evidence presented, suggesting that banking markets were already highly competitive. In those states where a significant effect was observed, geographical deregulation increased the degree of competition in some states but had the opposite effect in others. 相似文献
8.
Zhang Song Han Liang Kallias Konstantinos Kallias Antonios 《Review of Quantitative Finance and Accounting》2021,57(4):1393-1435
Review of Quantitative Finance and Accounting - We produce the first systematic study of the determinants and implications of in-person banking. Using survey data from the U.S., we show that firms... 相似文献
9.
Economic theory offers competing hypotheses about how the cost and availability of finance influence labor market outcomes. Making use of the U.S. banking reforms between the 1970s and the 1990s as a quasi-natural experiment, this paper studies the impact of credit market development on employment. This paper documents the significant effects of these reforms on employment growth. Potential channels between finance and employment are also investigated. Changes in the growth of the number of self-employed individuals, the entry and exit of firms, and investment growth do not explain most of the employment growth following the reforms. The reforms had a substantially higher impact in industries with higher labor intensity, which is consistent with the idea that labor has fixed costs that need to be financed. 相似文献
10.
Since monetary policy is constrained in fixed exchange rate regimes, we should observe fewer banking crises due to moral hazard in countries with credible currency pegs. However, three countries with seemingly credible pegs in the nineteen-eighties and -nineties, namely China, Hong Kong and Argentina, still suffered crises in their domestic banking sectors. The present note illustrates that bank incentives to take on excess risk still exist in countries with currency peg credibility and that the size of that risk exposure (and thus the potential for crisis) may be positively related to the level of central bank foreign exchange reserves. 相似文献
11.
王荡洋 《中国农业银行武汉培训学院学报》2010,(4):9-13
汇率的预测研究一直是国际金融领域研究的一个热点。混沌时间序列的建模与预测的关键是相空间重构和非线性函数逼近,基于汇率时间序列存在混沌特征的特点,利用相空间重构技术对汇率时间序列进行重构,然后利用支持向量机作为非线性函数逼近,构建了一种基于支持向量机回归(SVR)的汇率预测模型。采用美元兑人民币的日汇率进行实证研究,结果表明,所构建的SVR模型能较好的反映汇率的变化趋势,预测精度较高。 相似文献
12.
13.
This paper empirically addresses the questions of whether and, if yes, how U.S. bankers are compensated in particular with regard to incentive pay. Although the level of bank CEO pay has dropped during the financial crisis period, bank CEOs fared much better in comparison to their firms (and, in turn, their shareholders). Furthermore, bank CEO incentive pay beyond the justifiable portion is positively associated with CEO power measures. There is also some evidence, albeit weaker, that CEO power is positively related to CEO incentive pay switches. 相似文献
14.
We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of U.S. firms to two currency indices. Firms are clustered into eleven industries. The sample includes exporters and non-exporters. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine the dynamics of exchange rate exposure modeled as a function of business cycle indicators and firm characteristics. We find that exposure varies over time with macroeconomic and financial variables and increases during economic contractions. Deviations from the unconditional measure of exposure driven by the macroeconomic variables are economically meaningful. 相似文献
15.
《Global Finance Journal》2001,12(2):217-235
Real exchange rate changes reflect terms of trade changes and macroeconomic shocks in productivity, aggregate demand, and interest rates. We show that German, Japanese, and U.S. excess stock returns vary directly with changes in the real terms of trade as well as with exchange rate changes induced by the macroeconomic factors. These results suggest that economic exposure is a global phenomenon. Although German, Japanese, and U.S. firms appear to adjust costs and productivity in response to economic exposure, there are indications that firms in all three countries suffer from hysteresis, an effect persisting after the initial cause is removed. 相似文献
16.
This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95 U.S. bank holding companies from 2002 to 2011, we compare five measures of the banks’ contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value, outperforms the others. Using this measure we find that banks’ aggregate holdings of five classes of derivatives do not exhibit a significant effect on the bank’s contribution to systemic risk. On the contrary, the banks’ holdings of certain specific types of derivatives such as foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the proportion of non-performing loans over total loans and the leverage ratio have much stronger impact on systemic risk than derivatives holdings. Therefore, the derivatives’ impact plays a second fiddle in comparison with traditional banking activities related to the former two items. 相似文献
17.
Applying fixed-effects panel data, this study investigates the impact of U.S. dollar exchange rate movements during different exchange rate states (overvaluation and undervaluation) on the monthly real gross and real net purchases of foreign equities by U.S. residents over the post-Plaza Accord period. The foreign equities come from 22 developed and 25 developing countries. Previous research has posited two alternative hypotheses regarding the relationship between exchange rates and foreign investment. These are the wealth effect and the profit-oriented effect. The evidence herein suggests that these two hypotheses coexist. We find robust evidence for a negative relationship between the exchange rate movements of an undervalued U.S. dollar and the demand for foreign equities. For developed countries, the wealth effect dominates the profit-oriented effect when the U.S. dollar is overvalued, while, for developing countries, the profit-oriented effect dominates the wealth effect. The results emphasize the importance of considering exchange rate states derived from a relative PPP equilibrium when analyzing U.S. allocations to foreign equities. The findings with respect to the macroeconomic control variables are mainly in agreement with the predictions of international financial theory. Some of the results, however, disappear or become inconclusive for the period after the bankruptcy of Lehman Brothers. This may be explained by the increased uncertainty in international financial markets following this unprecedented event. The findings are robust with respect to different constructed equilibrium exchange rates. 相似文献
18.
We estimate the exposure of emerging market companies to fluctuations in their domestic exchange rates. We use an instrumental-variable approach that identifies the total exposure of a company to exchange rate movements, yet abstracts from the influence of confounding macroeconomic shocks. In the sub-period of 1999–2002, we find that depreciations tend to have a negative impact on emerging market stock returns. In the sub-period of 2002–2006, this tendency has largely disappeared. Since we estimate the exchange rate exposure of firms from different countries with a common set of instruments, we can make coherent, cross-country comparisons of their determinants. We find that the impact of various measures of debt on exchange rate exposure, which is negative and significant in the early sub-period, becomes insignificant and even reverses sign in the recent sub-period. 相似文献
19.
This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included. 相似文献
20.
The impact of the U.S. Employment Report and analyst forecasts of that report’s major statistics on Pound/Dollar, Yen/Dollar, and Euro/Dollar exchange rates are explored. While the nonfarm payroll employment figure has the greatest impact, we find that the exchange rates also react to the announced revision to last month’s payroll figure and to the unemployment rate. In all three markets, the exchange rate response to the payroll employment figure is strongly conditioned on pre-release analyst uncertainty. The median analyst forecast from Bloomberg anticipates over 80% of the monthly variation in the payroll figure and is basically unbiased. The markets appear to respond to these analyst forecasts prior to the government release. Analyst forecast dispersion tends to increase following large forecast errors indicating that when the announced figure is far from what analysts expected, they tend to disagree on the implications for future payroll levels. 相似文献