Drivers of depositor discipline in credit unions Gómez‐Biscarri, Javier; López‐Espinosa, Germán; Mesa‐Toro, Andrés
Annals of public and co-operative economy,
December 2022, Letnik:
93, Številka:
4
Journal Article
Recenzirano
Odprti dostop
In this paper, we analyze whether credit unions are subject to market discipline by their (member) depositors and examine the drivers of such discipline. We first provide descriptive evidence of ...depositor discipline in credit unions: shares and deposits as well as savings interest rates react to variables that reflect the financial health of the credit union and its asset risk. We show that this discipline is long‐lasting and that it is mediated by the existence of a deposit guarantee scheme and by the strength of the relationship of members with the credit union. We then use proxies of the capability of members to process financial information to show that discipline is heavily influenced by member financial sophistication. Our results suggest that a type of market‐based discipline acts as a complement for regulation in controlling credit union risk taking, thus contributing to overall financial stability.
In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01–2004:12. This period corresponds to years of profound ...development of both the financial and the productive sides in these emerging countries, but also to the years of the major financial crises. Our analysis suggests that changes in volatility behavior, while indeed present, may have been overstated in the past: simple specifications account for most of the dynamics of stock market volatility and therefore become powerful tools for volatility analysis. Additionally, we show that financial liberalization of emerging markets has generally reduced the level of market volatility and its sensitivity to news.
In this paper we account for the U.S. Fed's response to money demand shocks by allowing for less-than-complete accommodation in the estimation of the Fed's money supply policy rule. We find a ...significantly lower degree of money accommodation in the 1979–1982 period, which hints at money targeting during that period rather than interest rate targeting. We identify the path of money demand and money supply shocks and comment on their effects on the dynamic behavior of money, interest rates, output and inflation: the monetary policy intermediate target seems not to be the key determinant of macro-dynamics. Our results allow us to offer comments on the implications for monetary policy of both the degree of money demand accommodation – thus, of the intermediate monetary policy target – and the evolution (reduction) of macroeconomic volatility between 1984 and 2007.
In this article, we test whether the structure of emerging market volatility has changed and assess the link between the structural changes in volatility behaviour and financial liberalization ...events. The opening of financial markets tends to generate outlying returns around the opening dates, thus giving the appearance of increases in market volatility. We include outlier detection methodologies in our location of endogenous breaks in order to filter out this effect. Our results suggest that changes in volatility behaviour have indeed been induced by financial liberalization of emerging markets, but the change is not always in the same direction: Latin American countries have enjoyed lower volatility whereas Asian countries seem to have suffered increases in market instability. Additionally, all markets become more subject to occasional large shocks.
In this paper we analyze the cycles of the stock markets in four Latin American and two Asian countries, and we compare their characteristics. We divide our sample in two subperiods in order to ...account for differences induced by the financial liberalization processes of the early 1990s. We find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed countries whereas Asian countries have become more dissimilar. Concordance of cycles across markets has increased significantly over time, especially for Latin American countries after liberalization.
We use a panel of a hundred-plus countries with differing degrees of dollarization to perform an empirical analysis of the effects on inflation of exchange rate depreciations. The results qualify the ...common view that countries with higher dollarization exhibit higher inflation pass-through. We show that large depreciations tend to generate a negative impact on the pass-through coefficient, this impact being more intense the higher the level of dollarization of the economy. We interpret this as evidence that, in highly dollarized economies, the classic inflationary effects of a real depreciation—higher internal demand and imported inflation—can be offset or diminished by both the larger financial costs and the balance-sheet effect, especially if the depreciation is “large”. Additionally, the exchange rate regime is shown to matter: countries with fixed exchange rates suffer more noticeably the balance-sheet effects of large depreciations.
Two estimation procedures dominate the cointegration literature: Johansen’s maximum likelihood inference on vector autoregressive error correction models and estimation of Phillips’ triangular forms. ...This latter methodology is essentially semiparametric, focusing on estimating long run parameters by means of cointegrating regressions. However, it is less used in practice than Johansen’s approach, since its implementation requires prior knowledge of features such as the cointegrating rank and an appropriate set of non-cointegrated regressors. In this paper we develop a simple and automatic procedure (based on unit root and regression-based cointegration testing) which, without imposing a parametric specification for the short run components of the model, provides an estimator of the cointegrating rank and data-based just-identifying conditions for the cointegrating parameters which lead to a Phillips’ triangular form. A Monte Carlo analysis of the properties of the estimator and an empirical application are also provided.
In this paper we summarize the results of a broad exploratory empirical analysis where we relate the level of financial development with the effectiveness of monetary policy. The analysis is based on ...a panel of countries for which we calculate measures both of financial development and of monetary policy effectiveness. We look for statistically significant relationships between the indicators of financial development, the effectiveness coefficients, and other macroeconomic characteristics by estimating dynamic panels and performing a cluster analysis. We present our results in the form of a list of stylized facts that we consider deserve further attention.
We study the importance of homogeneous accounting data when testing international versions of asset pricing models. Specifically, we focus on a pricing model commonly used by practitioners – the ...Fama–French three-factor model – which uses accounting information and has traditionally performed poorly at the cross-country level. We show that international versions of the model perform significantly better if the accounting information is homogeneous across firms. We apply the model to a set of firms that follow common accounting standards – the IAS/IFRS – and also to firms that have issued ADRs in the US – and therefore must report following both US GAAP and their own domestic standards. In both cases our results show that the accounting dimension is relevant: the use of homogeneous accounting measures allows for much higher goodness-of-fit of international versions of the three-factor model, at levels similar to those of domestic versions and superior to those of non-homogeneous versions. This suggests that further accounting homogeneity could lead to more accurate pricing and valuation of international assets and to an improvement of the efficiency of international fund allocation.
We analyze the effect of cross-country differences in accounting standards on the empirical performance of financial pricing models. We show how the lack of uniform accounting standards across ...countries generates inconsistent estimates of the model parameters, and leads to rejection of the validity of the model. As an empirical application, we analyze how differences in accounting standards affect the performance of the Fama–French (1993) three-factor pricing model. We show that the F-F model is accounting-specific: it works better if the data are homogeneous in terms of accounting standards. This result has an important empirical corollary: the model accounts extremely well for the cross-country returns of firms following IASB standards. Our results have relevant policy implications that reinforce the convenience of accounting homogenization across countries.