Suchergebnisse

AbstractDebt, as one of basic human relations, has profound effects on economic growth. Debt accumulation in the global economy was modeled by the stochastic logistic equation reflecting causality between leverage and its rate of change. The model, identifying interactions and feedbacks in aggregate behaviour of creditors and borrowers, addressed various issues of macrofinancial stability. Qualitatively diverse patterns, including the Wicksellian (normal) market, the Minsky financial bubbles and the Fisherian debt-deflation, were discerned by appropriate combinations of rates of return, spreads and leverage. The Kolmogorov-Fokker-Plank equation was used to find out the stationary gamma distribution of leverage that was instrumental for the evaluation of appropriate failure and survival functions. Two patterns corresponding to different forms of a stationary gamma distribution were recognized in the long run leverage dynamics and were simulated as scenarios of a possible system evolution. In particular, empirically parameterized asymptotical distribution indicated excessive leverage and unsustainable global debt accumulation. It underlined the necessity of comprehensive reforms aiming to decrease uncertainty, debt and leverage. Assuming these reforms were successfully implemented, global leverage distributions would have converged in the long run to a peaked gamma distribution with the mode identical to the anchor leverage. The latter corresponded to a balanced long run debt demand and supply, hence to fairly evaluated financial assets fully collateralized by real resources. A particular case of macrofinancial Tobin's q-coefficients following the Ornstein-Ulenbeck process was studied to evaluate a reasonable range of squeezing the bloated world finance. The model was verified on data published by the IMF in Global Financial Stability Reports for the period 2003–2013.

We propose a new class of goodness‐of‐fit tests for the logistic distribution based on a characterization related to the density approach in the context of Stein's method. This characterization‐based test is a first of its kind for the logistic distribution. The asymptotic null distribution of the test statistic is derived and it is shown that the test is consistent against fixed alternatives. The finite sample power performance of the newly proposed class of tests is compared to various existing tests by means of a Monte Carlo study. It is found that this new class of tests are especially powerful when the alternative distributions are heavy tailed, like Student's t and Cauchy, or for skew alternatives such as the log‐normal, gamma and chi‐square distributions.

The article considers the necessity of financial logistic coordination, which involves attracting financial resources in those subsystems of the territories that are most favorable for the rational use of socio-ecological and economic resources, their reproduction, achievement of socio-ecological and economic security and increase in logistics efficiency. It is determined that in order to solve territorial communities' functioning issues and to ensure their development there is a need to combine local, state and private finances. Effective financial coordination will make it possible to use the resources of the territories efficiently, reduce the use of territories' external resources sub-systems and maximize the provision of their functioning by internal resources. The main resources, revenues and expenditures that provide financial logistics of the territories in Ukraine are estimated. The first results from the implementation of decentralization reform revealed a number of issues: the dependence of Ukraine's local finances on public finances, the social orientation of expenditures etc. The necessity of completing the process of inter-budgetary relations decentralization and coordination was singled out. The authors identified necessary changes on the state level in order to improve coordination of financial flows and development of the territories. Financial logistics coordination at the local level should solve a number of problems: filling of local budgets with their own financial resources; regulation of prices and tariffs for utilities; increase of communal enterprises and institutions financing; increase of capital expenditures in the spheres of local governments improvement and modernization; investment attraction ; improve the use of local debt securities. ; Розглянуто необхідність фінансової логістичної координації, яка передбачає залучення фінансових ресурсів у ті підсистеми територій, які найбільш сприятливі щодо раціонального використання соціо-еколого-економічних ресурсів, їхнього відтворення, досягнення стану соціо-еколого-економічної безпеки та підвищення рівня логістизації. Визначено, що з метою забезпечення розвитку територій варто поєднати місцеві, державні та приватні фінанси у вирішенні питань функціонування територіальних громад. Ефективна фінансова координація дасть можливість результативно використовувати ресурси територій, скоротити використання підсистемами територій зовнішніх ресурсів і максимально забезпечити їхнє функціонування внутрішніми ресурсами. Оцінено основні ресурси, доходи і видатки, що забезпечують фінансову логістику територій в Україні. Виявлено залежність місцевих фінансів України від державних фінансів, соціальну спрямованість видатків, необхідність реформи децентралізації та охарактеризовано перші результати від її реалізації. Визначено необхідні зміни на державному рівні для покращення координації фінансових потоків і розвитку територій. Виокремлено необхідність завершення процесу децентралізації та узгоджень міжбюджетних відносин. На місцевому рівні в Україні фінансова логістична координація повинна вирішити: наповнення власними фінансовими ресурсами місцеві бюджети; урегулювання цін та тарифів на комунальні послуги; збільшення фінансування комунальних підприємств та установ; зростання капітальних видатків для вдосконалення та модернізації у сферах відання місцевих органів управління; поліпшити залучення інвестицій; удосконалення використання місцевих боргових паперів. ; Рассмотрена необходимость финансовой логистической координации для обеспечения развития теритоий, потребность сочетание местных, государственных и частных финансов в решении функционирования территориальных общин. Оценены основные ресурсы, доходы и расходы, обеспечивающие финансовую логистику. Определены необходимые изменения в Украине в условиях децентрализации.

AbstractThis article studies the effect of liquidity crises in short-term debt markets in a dynamic general equilibrium framework. Creditors (retail banks) receive imperfect signals regarding the profitability of borrowers (wholesale banks) and, based on these signals and their beliefs about other creditors' actions, choose whether to roll over funding, or not. The unco-ordinated actions of creditors cause a suboptimal incidence of rollover, generating an illiquidity premium. Leverage magnifies this co-ordination inefficiency. Illiquidity shocks in credit markets result in sharp contractions in output. Policy responses are analysed.

This thesis proposes an analysis of the triangle formed by monetary policy, prudential policy and bank's risk-taking. Accordingly, this thesis aims to study the effects of monetary policy on banks' risk-taking and to determine the conditions for monetary and prudential policy coordination in order to ensure the stability of the banking sector and the solvency of financial institutions. At the macroeconomic level, we also assess the impact of this coordination on domestic credit and on the expected cost of bank failure. The first chapter reviews the literature on theoretical and empirical analysis of the risk-taking channel, and the analysis of the issue of monetary policy coordination with prudential policy. This literature review reveals that the effects of monetary policy on bank risk-taking are not one-sided, calling into question our knowledge of the monetary risk-taking channel. Similarly, this chapter suggests that the nature of monetary and prudential policy coordination is not unique. The second chapter is devoted to an original empirical study on the risk-taking channel of monetary policy. Using a panel threshold model, we show that monetary policy has different effects depending on the "monetary regime" in which monetary policy is conducted. Thus, a fall in interest rates leads to more risk-taking if monetary policy is considered loose (interest rate below the Taylor rule rate). Conversely, when monetary policy is considered as restrictive (interest rate above Taylor's rule rate), a decrease in interest rate reduces banks risk level. The third chapter examines the impact of monetary policy on bank's risk according to the nature of prudential policy. Using a partial equilibrium model, we determine conditions under which monetary policy, in presence of a risk sensitive capital requirement ratio, would lead the bank to take more risk. The results show that the effects of monetary policy on banking risk are not independent of the nature of microprudential policy. The objectives of financial stability and ...

This thesis proposes an analysis of the triangle formed by monetary policy, prudential policy and bank's risk-taking. Accordingly, this thesis aims to study the effects of monetary policy on banks' risk-taking and to determine the conditions for monetary and prudential policy coordination in order to ensure the stability of the banking sector and the solvency of financial institutions. At the macroeconomic level, we also assess the impact of this coordination on domestic credit and on the expected cost of bank failure. The first chapter reviews the literature on theoretical and empirical analysis of the risk-taking channel, and the analysis of the issue of monetary policy coordination with prudential policy. This literature review reveals that the effects of monetary policy on bank risk-taking are not one-sided, calling into question our knowledge of the monetary risk-taking channel. Similarly, this chapter suggests that the nature of monetary and prudential policy coordination is not unique. The second chapter is devoted to an original empirical study on the risk-taking channel of monetary policy. Using a panel threshold model, we show that monetary policy has different effects depending on the "monetary regime" in which monetary policy is conducted. Thus, a fall in interest rates leads to more risk-taking if monetary policy is considered loose (interest rate below the Taylor rule rate). Conversely, when monetary policy is considered as restrictive (interest rate above Taylor's rule rate), a decrease in interest rate reduces banks risk level. The third chapter examines the impact of monetary policy on bank's risk according to the nature of prudential policy. Using a partial equilibrium model, we determine conditions under which monetary policy, in presence of a risk sensitive capital requirement ratio, would lead the bank to take more risk. The results show that the effects of monetary policy on banking risk are not independent of the nature of microprudential policy. The objectives of financial stability and ...

Contents: 1. Jürgen von Hagen, Jean Pisani-Ferry - Forum Economique Franco-Allemand /Deutsch-Französisches Wirtschaftspolitisches Forum .1 -- 2. Karel Lannoo - Financial Supervision in EMU .3 -- 3. Charles Wyplosz - Economic Policy Coordination in EMU: Strategies and Institutions.36 -- 4. Agnès Bénassy-Quéré - Summary of the Proceedings of the Fourth Franco-German Forum .61