Central bank collateral frameworks

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.     

绩效管理点燃客户经理热情

作为与客户直接沟通的纽带,客户经理的工作积极性和业绩水平直接关系到商业银行业务发展的速度和质量。发挥客户经理的作用,需要解决两个问题：能力和动力。其中,能力问题可以在一定程度上通过各种培训解决;而动力问题则需要通过合理的激励方式解决,制订切实有效的客户经理绩效管理办法。     

Reprint of: Central bank collateral frameworks

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.     

银行的管理者需要有宏观意识

经济金融形势分析预测有多重要 企业的经营管理离不开国际国内经济金融领域这个大环境．尤其是对商业银行管理者来说．正确看待、分析、把握当前经济金融发展状况及其中长期走势十分重要。国际国内经济金融发展状况变化多端，影响因素错综复杂．关键在于抓住本质进行深入透彻的分析。首先的重点是分析研究一国的宏观经济政策，主要包括一国的财政政策和货币政策。     

Holding company affiliation and bank stability: Evidence from the US banking sector

Is affiliation with a multibank holding company beneficial for bank stability? We revisit this question by examining the response of market-based risk measures of independent and multibank-holding-company banks to an exogenous negative shock (the 2005 US hurricane season). We find evidence consistent with bank holding companies playing an important role in mitigating negative shocks, with affiliates of more liquid holdings remaining more stable in terms of both systemic and individual stability. We also conduct an event study showing that markets perceive multibank-holding-company banks' dynamics after the shock as value-enhancing.     

Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance

Utilizing a database of daily institutional fund manager trades, we examine the contribution of strategic trading at quarter-end associated with potential ‘portfolio pumping’ or ‘ramping up’ of reported stock prices around quarter-ends. We provide the first direct evidence that active fund managers tend to purchase illiquid stocks on the last day of the quarter, in stocks in which they already hold overweight portfolio positions. Consistent with the way fund managers are evaluated, we found that the poor-performing managers display greater evidence of portfolio pumping. Both increased regulatory scrutiny and improvements to market microstructure design reduce the severity of stock price changes at quarter-ends.     

The impact of FX central bank intervention in a noise trading framework

In this paper, we analyse the effectiveness of the direct central bank interventions using a new effectiveness criterion. To this aim, we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value. Then, we investigate the role of central bank interventions for explaining the switching properties between the two types of agents. We find evidence that in the medium run, interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate.     

Effect of collateral characteristics on bank performance: Evidence from collateralized stocks in Taiwan

Taiwanese law requires directors of listed firms to disclose their stocks collateralized at banks creating the possibility of examining the characteristics of collateralized stocks and their influence on bank performance. This study demonstrates that the risk (value) attributes of collateralized stocks increase (reduce) bank efficiency yet reduce (increase) bank profits. Government-owned banks but not private banks require sufficiently high margins to prevent stock loans from non-performing. Furthermore, banks charge higher interest to cover the non-performing risk. Directors who lack funds, hold high turnover stocks, and/or have weak relationships with their banks prefer to collateralize their stocks at private banks.     

发挥渠道优势开展业务创新——访上海浦东发展银行个人银行电子渠道部总经理张少锋

网上银行作为支付工具可与电子商务企业实现无缝连接，并且通过商家的销售环节间接贴近最终客户，这是上海浦东发展银行（以下简称“浦发行”）网上银行的营销战略之一。在此基础上，浦发行充分结合网络平台与其支付网关的功能，与网上银行各个频道的合作者们，又创新开发出很多便利客户、吸引客户的网上银行产品，使刚建立一年多的浦发行网上银行的浏览量、交易量飞速增加。这不仅从一定程度上弥补了营业网点少的不足，而且以独特的市场定位和渠道战略确立了一定的品牌形象。     

High-frequency trading and institutional trading costs

Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy. Using a quasi-experiment in November 2011, in which a number of HFTs started trading the bond future, we run a difference-in-differences event study and find more competition among HFTs improves implementation shortfall, effective spreads, and short-term price impacts for institutional trading in Canadian bond futures.     

Fuzzy logic,trading uncertainty and technical trading

From the market microstructure perspective, technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price. However, chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift. Consequently, technical trading may result in erroneous trading recommendations and substantial losses. This paper presents an uncertainty reduction approach based on fuzzy logic that addresses two problems related to the uncertainty embedded in technical trading strategies: market timing and order size. The results of our high-frequency exercises show that ‘fuzzy technical indicators’ dominate standard moving average technical indicators and filter rules for the Euro-US dollar (EUR-USD) exchange rates, especially on high-volatility days.     

Board affiliation and pay gap

This paper examines the effects of board affiliation on the corporate pay gap.Using a sample of Chinese listed firms from 2005 to 2011, we find that boards with a greater presence of directors appointed by block shareholders have lower pay gaps. Furthermore, the governance effects of board affiliation with and without pay are distinguished. The empirical results show that board affiliation without pay is negatively related to the pay gap, while board affiliation with pay is positively related to the pay gap. Overall, the results shed light on how block shareholders affect their companies' pay gaps through board affiliation.     

Access to bank financing and the collateral channel: The case of Tunisian firms before and after the revolution

This article is aimed to study the impact of collateral liquidity on debt-access. Such an effect is proven with regard to the difficult economic conditions which ensued from the Tunisian revolution in 2011. The results show that the previously acquired liquid assets enhance debt access. This result is realized by a first measure through the positive relationship between inventories and short term debt and between fixed assets and long term debt. A second measure highlights the positive effect of lands, buildings, machineries and equipments and the negative effect of other fixed assets on debt-access. After the revolution, the creditors lowered their lending to firms to deal with liquidity shocks in the monetary market. Also, they became more selective through their excessive demand for liquid collateral. This result is justified by the intensive effect of real estate assets (lands and buildings) and by the regressive effect of the movable assets (machineries, equipments and other fixed assets).     

CLO (Collateralized Loan Obligation) Market and Corporate Lending

We investigate whether access to the collateralized loan obligation (CLO) market as collateral managers or underwriters affects lenders' ability to overcome an idiosyncratic adverse shock in the corporate lending market. In a triple difference-in-differences setting, we find that lenders decrease their origination of loans following a negative shock; however, those with CLO access become more likely to arrange deals with securitizable facilities (Term B). Moreover, they choose to arrange deals with smaller size on-balance-sheet lending (Term A). The results suggest that securitization is actively used by lenders to switch to off-balance-sheet lending and to reduce the risk retained on the balance sheet.     

全球主要货币外汇交易比重变化与趋势——BIS三年一度中央银行调查报告解析

2013年9月,国际清算银行发布了《三年一度中央银行调查报告——2013年4月全球外汇交易统计初步结果》。通过与历年报告比较分析发现,近年来,全球外汇交易量显著增加：主要贷币交易量变化各异;外汇交易向主要金融中心汇浆趋势明显;人民币离岸外汇交易量激增,虽已成为全球第九大外汇交易贷币,但与其他主要贷币相比,交易量仍然较小。上述变化与特点,对中国积极推进人民币跨境使用和建设上海国际金融中心具有重要参考价值。     

Providers’ affiliation,insurance and collusion

This paper provides a theoretical analysis of the benefits for an insurance company to develop its own network of service providers when insurance fraud is characterized by collusion between policyholders and providers. In a static framework without collusion, exclusive affiliation of providers allows insurance companies to recover some market power and to lessen competition on the insurance market. This entails a decrease in the insured’s welfare. However, exclusive affiliation of providers may entail a positive effect on customers’ surplus when insurers and providers are engaged in a repeated relationship. In particular, while insurers must cooperate to retaliate against a fraudulent provider under non-exclusive affiliation, no cooperation is needed under exclusive affiliation. In that case, an insurer is indeed able to reduce the profit of a malevolent provider by moving to collusion-proof contracts when collusion is detected, and this threat may act as a deterrent for fraudulent activities. This possibility may supplement an inefficient judicial system: it is thus a second-best optimal anti-fraud policy.     

Investment and insider trading

We study insider trading in a dynamic setting. Rational, butuninformed, traders choose between investment projects withdifferent levels of insider trading. Insider trading distortsinvestment toward asset with less private information. However,when investment is sufficiently information elastic, insidertrading can be welfare-enhancing because of more informativeprices. When insiders repeatedly receive informations, theytrade to reveal it when investment is information elastic becausegood news increases investment and hence future insider profits.Thus, more information is revealed and uninformed agents areexploited less frequently by insiders. Both effects are Pareto-improving.Finally, we consider various insider-trading regulations.     

Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team

We examine the behavior of a 15 strong proprietary stock trading team and show how consistent intraday trading profits were generated. The team, who worked for a large US direct access trading firm, executed over 96 thousand trades in 3 months in 2000. Profitable intraday trading occurred in an anonymous dealer capacity, on both long and short positions, especially when volume and price volatility were higher. The traders rapidly entered long (short) positions when the number of dealers and size become greater on the bid (offer) side of the spread. Profits were taken early against the trend.     

The bank capital channel and bank profits

This paper develops a microeconomic model of banking to highlight an endogenous loan creation process that emerges from bank profits via the capital accumulation of retained earnings and uses a simple bank capital‐loan multiplier to illustrate constraints on lending. The study also analyzes how sufficient net interest margins are important for banks to maintain lending portfolios and avoid financial fragility. The model offers support to bank capital channel (BKC) economists by illustrating how changes in interest rates may influence bank lending through the bank's internal capital accumulation growth rate and on a bank's portfolio choices.     

Multi-market trading and arbitrage

We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices of their home-market shares on a currency-adjusted basis for a sample of 506 U.S. cross-listed stocks from 35 different countries. Deviations from price parity average an economically small 4.9 basis points, but they are volatile and can reach large extremes. Price parity deviations and their daily changes are positively related to proxies for holding costs that can impede arbitrage, even after controlling for transactions costs and foreign investment restrictions.