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The Eurodollar revolution in financial technology. Deregulation, innovation and structural change in Western banking in the 1960s-70s

Battilossi, Stefano
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: text/plain; application/octet-stream; application/octet-stream; application/octet-stream; application/pdf
Publicado em /11/2009 Português
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The 1970s saw an explosion of financial innovations, both in instruments and strategies, which altered radically financial structures and financial decisionmaking worldwide. These transformations reversed four decades characterized by the absence of significant innovations in the banking industry, as well as by the pervasive regulation of financial systems by the state. The paper focuses on the rise of liability management (or ‘marketization’ of banking), the most important process innovation of that period. Based on the development of wholesale interbank markets, liability management found its origins in the emergence and explosive growth of the Eurodollar market. The new financial technology dramatically changed the concept of liquidity in banking, forced banks to implement totally new strategies of active liability marketing, and required a new interactive banking management of the structure of assets and liabilities. By examining the institutional evolution of the Eurodollar market and the forces behind its breathtaking growth in the 1960s and 70s, the paper analyzes how technological change in information and communication technologies interacted with institutional changes and market forces in reshaping the global financial structure.

A main bank approach to financial contracting

García-Cestona, Miguel A.; Tribó, Josep A.
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /05/1998 Português
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This paper analyzes the costs and benefits of using a Main Bank (MB) as a financial provider. Several banks lend resources to a particular firm but only one monitors and remains responsible to other participants. These inside banks act as fund providers for the project, exchanging roles by the time other projects are considered. We show how, depending on firms quality and the banks skills to monitor, an MB-contract outperforms other arrangements. This type of financial relationship is particularly prominent in the Japanese marketplace, and in spite of recent setbacks, we believe sorne of its features have the potential to be implemented in other marketplaces.

Systemic risk measures: the simpler the better

Rodríguez-Moreno, María; Peña Sánchez de Rivera, Juan Ignacio
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/octet-stream; application/octet-stream; application/pdf
Publicado em /09/2010 Português
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We compute six different sets of systemic risk measures for a sample of the 20 biggest European and 13 biggest US banks from January 2004 to November 2009. The six measures are based on i) Principal components of the bank’s Credit Default Swaps (CDSs), ii) Interbank interest rate spreads, iii) Structural credit risk models, iv) Collateralized Debt Obligations (CDOs) indexes and their tranches, v) Multivariate densities computed from CDS spreads and vi) Co-Risk measures. We then rank the measures using three different criteria: i) Causality tests, ii) Price discovery tests and iii) their correlation with an index of systemic events. For the European and US markets, the best indicators are the first Principal Component of the single-name CDSs and the LIBOR-OIS or LIBOR-TBILL spreads, respectively, whereas the least reliable indicators are the Co-Risk measures and the systemic spreads extracted from the CDO indexes and their tranches.

What do Basel Capital Accords mean for SMEs?

Cardone Riportella, Clara; Trujillo, Antonio; Briozzo, Anahí
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /04/2011 Português
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This paper analyses the impact of the new Basel Capital Accords (Basel II and Basel III) on the bank’s capital requirements in a portfolio of Small and Medium-sized Enterprises (SMEs) when the internal ratings-based (IRB) approach is used. To do this, the study uses a large database of Spanish firms and covers the period from 2005 to 2009. We also examine the effect on the credit risk premium charged by banks of the guarantee offered by a Loan Guarantee Association (LGA) to a SME; and whether this foreseeable decrease in the interest rates applicable to the SME is compensated by the cost of this guarantee

Was the Argentine “corralito” an efficient measure?: a note

Samartín Sáenz, Margarita; Cardone Riportella, Clara; Bustamante, Rodrigo
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf; text/plain
Publicado em //2007 Português
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Theoretical banking literature has largely explored the role of financial intermediaries in the economy, market failures (banking panics) in the banking sector and the need for bank regulation. However, most models of banking panics and regulation have not been empirically tested. The Argentine 2001 crisis, with a large deposit withdrawal and the regulation introduced (suspension of convertibility) constitutes a scenario in order to apply some of the theoretical predictions. In particular, the paper applies Samartín [Samartín, M. (2002). Suspension of convertibility vesus deposit insurance: A welfare comparison. European Finance Review, 6(2), 223–244] to the particular case of Argentina. After the estimation of the most important parameters, the model predicts that suspension of convertibility seems to have been the most efficient intervention measure to stop the massive deposit withdrawals.

What drives bank securitisation? The Spanish experience

Cardone Riportella, Clara; Samaniego Medina, Reyes; Trujillo Ponce, Antonio
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /11/2010 Português
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This paper analyses the reasons why Spanish banks securitised in the period 2000–2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK. The results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. We find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage. Our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes.

Accounting for the Mexican banking crisis

Desmet, Klaus
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf; text/plain
Publicado em /09/2000 Português
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The Mexican banking crisis of 1994–1995 has widely been interpreted as the victim of the balance-of-payments crisis, rather than its cause. After all, Mexican banks had been enjoying high capitalization ratios, deemed to be more than sufficient to deal with the increased risk of non-performing loans. This paper, however, suggests that to a large extent Mexican accounting practices — rather than sound principles — were responsible for the apparent good health of the banking system. The role of banks in causing the Mexican crisis may therefore have been greater than previously thought.

Spanish Saving Banks and the Competitive Cooperation Model (1928-2002)

Comín, Francisco
Fonte: Universidad Carlos III de Madrid. Instituto Laureano Figuerola Publicador: Universidad Carlos III de Madrid. Instituto Laureano Figuerola
Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em //2007 Português
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Este artículo examina la relación existente entre la naturaleza de las Cajas de Ahorros y su éxito en términos de cuotas de mercado durante el siglo XX. Analiza los factores clave que han posibilitado este éxito competitivo de las Cajas de Ahorros, tales como: su capacidad para promover el ahorro, cooperar con la política económica del gobierno, adaptarse a circunstancias cambiantes, operar en áreas geográficas concretas y cooperar entre ellas. Finalmente, el artículo se centra en el factor mencionado en último lugar. Se recurre al modelo de cooperación competitiva para explicar el destacado papel desempeñado por la Confederación Española de Cajas de Ahorros para hacer posible la alianza estratégica entre las Cajas de Ahorros españolas.; This paper explores the relationship between the nature of Spanish savings banks and the extent of their market success during the twentieth century. It deals with the key factors which have made such a good performance possible, including their ability to promote private saving, to cooperate with government economic policy, to adapt to changing circumstances, to operate in particular geographical areas, and to cooperate with one another. Finally, the paper deals in depth with this last factor. The competitive cooperation model is used to explain the outstanding role of the Spanish Confederation of Savings Banks in making the strategic alliance between the Spanish savings banks possible.

Risk-sharing and contagion in networks

Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 20/01/2013 Português
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The aim of this paper is to investigate how the capacity of an economic system to absorb shocks depends on the specific pattern of interconnections established among financial firms. The key trade-off at work is between the risk-sharing gains enjoyed by firms when they become more interconnected and the large-scale costs resulting from an increased risk exposure. We focus on two dimensions of the network structure: the size of the (disjoint) components into which the network is divided, and the “relative density" of connections within each component. We find that when the distribution of the shocks displays "fat" tails extreme segmentation is optimal, while minimal segmentation and high density are optimal when the distribution exhibits "thin" tails. For other, less regular distributions intermediate degrees of segmentation and sparser connections are also optimal. We also find that there is typically a conflict between efficiency and pairwise stability, due to a “size externality" that is not internalized by firms who belong to components that have reached an individually optimal size. Finally, optimality requires perfect assortativity for firms in a component.; We acknowledge financial support for the EUI Research Council, and from the Spanish Ministry of the Economy and Competitiveness under grants ECO2012-34581 and RESINEE.

Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector

Galán, Jorge E.; Veiga, Helena; Wiper, Michael P.
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /06/2013 Português
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Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions and may cause inefficiency to be persistent in time. In this work, we propose a flexible dynamic model that makes possible to distinguish persistent effects in the inefficiency from firm inefficiency heterogeneity and to capture differences in the adjustment costs between firms. The new model is fitted to a ten year sample of Colombian banks. Our findings suggest that firm characteristics associated to size and foreign ownership have negative effects on inefficiency and separating these heterogeneity factors from the dynamics of inefficiency improves model fit. On the other hand, acquisitions are found to have positive and persistent effects on inefficiency. Colombian banks are found to present high inefficiency persistence but there exist important differences between institutions. In particular, merged banks present low costs of adjustment that allow them to recover rapidly the efficiency losses derived from merging processes; Financial support from the Spanish Ministry of Education and Science...

Modelling price competition across many markets : an application to the Spanish loans market

Jaumandreu, Jordi; Lorences, J.
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: text/html
Publicado em /01/2002 Português
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The purpose of this work is the structural modelling of price competition in a product-differentiated industry in which many firms of varying size compete across many independent small markets, with the target of identifying price behaviour. We apply it to model competition among the more than 79 banks that were active in the Spanish loans market during the period 1983–1991, using micropanel data. A model in which national banks (as opposed to regional and local banks) fully internalize their cross-rate effects in pricing is selected as the model that best fits the data. Our framework allows us to estimate the dead-weight loss due to market power, and to decompose it assessing the part attributable to price coordination.

Bank Competition, Borrower Competition and Interest Rates

Bellón, Carlos
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Publicado em 16/06/2014 Português
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The effect bank competition has on interest rates should depend on the fact that borrowers compete against each other. The borrowing rate of a firm affects its ability to compete in the industrial marketplace, and ultimately, its ability to repay its loans. Thus, competition amongst borrowers acts as a limit to the amount of rents financial oligopolists can extract. I find evidence that firms that operate within areas of limited bank competition face higher rates than their peers. I also identify an innovative control group that can be used in tests of bank market structure.; I gratefully acknowledge the financial support provided by the Fundación Ramón Areces and the Santander Finance Institute - Fundación UCEIF.

Heterogeneous effects of risk-taking on bank efficiency : a stochastic frontier model with random coefficients

Sarmiento, Miguel; Galán, Jorge E.
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Publicado em /07/2014 Português
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We estimate a stochastic frontier model with random inefficiency parameters, which allows us not only to identify the role of bank risk-taking on driving cost and profit inefficiency, but also to recognize heterogeneous effects of risk exposure on banks with different characteristics. We account for an integral group of risk exposure covariates including credit, liquidity, capital and market risk, as well as bank-specific characteristics of size and affiliation. The model is estimated for the Colombian banking sector during the period 2002-2012. Results suggest that risk-taking drives inefficiency and its omission leads to over (under) estimate cost (profit) efficiency. Risk-taking is also found to have different effects on efficiency of banks with different size and affiliation, and those involved in mergers and acquisitions. In particular, greater exposures to credit and market risk are found to be key profit efficiency drivers.Likewise, lower liquidity risk and capital risk lead to higher efficiency in both costs and profits. Large, foreign and merged banks benefit more when assuming credit risk, while small, domestic and non-merged banks institutions take advantage of assuming higher market risk; Jorge E. Galán acknowledges financial support from the Spanish Ministry of Education and Science...

Are there alternatives to bankruptcy? : a study of small business distress in Spain

García-Posada, Miguel; Mora Sanguinetti, Juan Sebastián
Fonte: Springer Publicador: Springer
Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/article
Publicado em /08/2014 Português
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Small businesses, the majority of Spanish firms, rarely file for formal bankruptcy when dealing with financial distress. This is why business bankruptcy rates in Spain are among the lowest in the world, even during the current economic crisis. To explain this fact we present the following hypothesis. Filing for bankruptcy in Spain is very costly for both small firms and their creditors. Due to this, the capital structure of micro firms is biased towards mortgage loans, as it allows them to avoid bankruptcy by carrying out debt enforcement via mortgage foreclosures, which are cheaper procedures than bankruptcy, in case of financial distress. The empirical tests of our hypothesis consist of comparing the observed choices (choice of capital structure, choice between bankruptcy and mortgage) of Spanish firms with those of firms from countries (France and the UK) where their bankruptcy systems are more efficient and their laws do not incentivise them to bias their capital structure towards mortgage loans. Our findings corroborate the proposed hypothesis. As bankruptcy procedures and mortgage foreclosures are not perfect substitutes—i.e., they do not suit well the same type of firms- the underutilization of one of them—reflected in low bankruptcy rates- may lead to efficiency losses

Insolvency institutions and efficiency

García-Posada, Miguel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento
Publicado em 19/06/2015 Português
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While there is a vast literature on optimal bankruptcy laws and, specifically, on the optimal allocation of control rights between debtors and creditors in corporate bankruptcy, little has been said about the role that alternative insolvency institutions may play in the design of the optimal insolvency framework. This paper attempts to fill this gap by modelling two insolvency institutions -a bankruptcy system and a foreclosure system- that firms and their creditors may use when dealing with financial distress. Firms choose between one or the other based on lenders’ willingness to provide credit and the trade-off between two inefficiency costs, those from inefficient liquidations and those from productive inefficiencies caused by overinvestment in capital assets. The model’s key result is that welfare is a non-monotonic function of creditor control rights in bankruptcy, implying that a perfectly “creditor-friendly” bankruptcy code (a code that always grants control of the distressed firms to creditors) is very inefficient. A second result is that welfare is higher when the bankruptcy system is too “creditor-friendly” (i.e., it ensures the provision of credit, but generates too many inefficient liquidations) than when it is too “debtor-friendly”. Hence...

A influência do crédito bancário bo desemprego em Portugal desde 1990: uma análise utilizando o modelo vectorial com mecanismo de correção de erros

Gomes, Liliana Vanessa Sobreira
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2012 Português
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Mestrado em Economia Monetária e Financeira/ Classificação JEL: C01, C51, E24, G01, G21; O presente estudo pretende averiguar se a contração de crédito, por parte dos bancos a empresas, fomenta a destruição de emprego e o consequente aumento da taxa de desemprego. As pequenas e médias empresas são, na sua grande maioria, dependentes de crédito para fazerem face às suas necessidades quotidianas, pois não dispõem de outras formas de financiamento. O que acontece quando o montante de crédito disponível se reduz? Qual o impacto que terá na taxa de desemprego de um país? Com o intuito de perceber como interagem estas duas variáveis, este estudo avança com um modelo VAR para o caminho de uma resposta efetiva sobre esta problemática. Os resultados deste estudo experimental sugerem que, em termos reais, a contração do crédito pode provocar um aumento da taxa de desemprego.; This study aims to evaluate whether credit contraction by banks to enterprises, encourages job destruction and the consequent increase in the unemployment rate. The majority of small and medium enterprises depend of credit to deal with their daily needs, for lack of other forms of financing. What happens when the available amount of credit is too short? What is the impact on the unemployment rate of a country? In order to understand how these two variables interact...

Divergência genética entre codornas de corte para características de produção

Veloso,Rogério de Carvalho; Ferreira,Talita Andrade; Drumond,Eduardo Silva Cordeiro; Pires,Aldrin Vieira; Miranda,Jéssica Amaral; Costa,Leonardo Silva; Abreu,Luiza Rodrigues Alves; Bonafé,Cristina Moreira; Pinheiro,Sandra Regina Freitas; Pereira,Idalmo
Fonte: Universidade Federal de Santa Maria Publicador: Universidade Federal de Santa Maria
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/08/2015 Português
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Objetivou-se verificar a divergência genética entre linhagens de codornas de corte e seus cruzamentos para as características de desempenho através da análise multivariada. Foram utilizadas quatro linhagens de codornas de corte em um sistema de cruzamentos dialélicos completos, proporcionando a formação de 16 grupos de progênies, sendo quatro parentais puros: L1, L2, L3 e L4; seis grupos genéticos mestiços F1: G12, G13, G14, G23, G24 e G34; e seis grupos genéticos mestiços F1 recíprocos. Foram avaliadas as seguintes variáveis: peso corporal médio ao nascimento, aos 28, aos 35 e aos 42 dias de idade; o consumo médio de dieta do nascimento aos 35 e aos 42 dias de idade; a conversão alimentar do nascimento aos 35 e aos 42 dias de idade; e o ganho em peso do nascimento aos 35 e aos 42 dias de idade. O desempenho dos grupos genéticos foi avaliado por meio da análise de variância multivariada e a primeira variável canônica, usando os testes do maior autovalor de Roy e da união-interseção de Roy para as comparações múltiplas. O estudo da divergência genética foi feito por meio da análise por variáveis canônicas e pelo método de otimização de Tocher. As três primeiras variáveis canônicas explicaram 88...

Los arreglos interbancarios durante el franquismo

García Ruiz, José Luis
Fonte: Marcial Pons : Centro de Estudios Constitucionales : Fundación Fomento de la Historia Económica Publicador: Marcial Pons : Centro de Estudios Constitucionales : Fundación Fomento de la Historia Económica
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2002 Português
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Una abundante literatura ha insistido en el carácter oligopolístico de la banca española durante el franquismo, fenómeno que habría sido liderado por las grandes instituciones con consecuencias indeseables sobre la oferta de crédito. Además, el oligopolio habría contado con el beneplácito de las autoridades. Sin embargo, el hallazgo de nueva documentación relacionada con los acuerdos interbancarios muestra que los procesos de colusión estuvieron llenos de dificultades e incumplimientos, y que el comportamiento de las autoridades gubernamentales no siempre respondió a los deseos de la gran banca.; An abundant literature has insisted on the oligopolistic character of the Spanish banking system during the Francoism, a phenomenon led by the great institutions with undesirable consequences on the credit supply. In addition, oligopoly would have been backed by the authorities. Nevertheless, new documentation from bank's archives shows that collusion was full of difficulties and breaches, and also that the behaviour of the Government not always responded to the demand of the big banks.; Editada en la Fundación Empresa Pública

Efectos del Análisis Crediticio sobre los Incentivos Empresariales

Hernando-Veciana, Ángel
Fonte: Fundación Empresa Pública (Fundación SEPI) Publicador: Fundación Empresa Pública (Fundación SEPI)
Tipo: Artigo de Revista Científica
Publicado em //1998 Português
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En este trabajo, se estudian los e fectos de la supervisión bancaria ex post sobre los incentivos al esfuerzo del empresario bajo información imperfecta y heterogeneidad en el conjuno de deudores. Se demostrará que bajo condiciones admisibles, la supervisión bancaria puede desalentar el esfuerzo del empresario incluso hasta el extremo de disminuir el bienestar social. También se probará que este resultado será tanto más probable cuanto mayor sea la calidad del conjunto de empresarios.; This paper studies the effects of ex post bank monitoring on entrepreneurial incentives. The model in developed under imperfect information and with a heterogeneus set of borrowers. I prove that, under feasible conditions, monitoring can discourage the entrepreneurs' effort and disminish the efficiency of the credit market. I also show that the higher is the quality of the set of entrepreneurs the more likely is this result.

Loan officers' screening with credit scores

Vicente, Sergio
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Publicado em 01/10/2014 Português
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This paper analyzes the effects of informational asymmetries on screening borrowers. Lenders with access to accurate credit scores offer the most valuable borrowers lower interest rates than lenders with an advantage in costly screening. This cream-skimming induces a negative externality, which reduces the value of investing in screening. This distortion translates into excessive lending with credit scores, too little screening, higher default rates than optimal and credit rationing. The model explains some patterns of loan pricing and defaults, as well as of firm selection by types of lenders, which are consistent with the received empirical evidence.