| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – ARHIVĂ 2022-2023 |

Archive / Arhivă 2022-2023

The Volatility Network of US Industries and Investor Sentiment

Marți, 3 Octombrie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Petre Caraiani

Bucharest University of Economic Studies and IPE, Academia Română, petre.caraiani@fabiz.ase.ro
Abstract:

We investigate the influence of social and news sentiment on the high-frequency weighted volatility network of industry portfolios in the United States. We find that positive sentiment has no impact on the network, but negative sentiment associated to stocks in the ID, CS-C, FN and IT economic sectors have. The results imply that negative social and news sentiment has a significant impact on systemic risk.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Începând cu ora 18:00: J’ai Bistrot

The Central Planning Game: Economic planning and statistical reporting in communist Romania

Marți, 30 Mai 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Narcis Tulbure

FABBV, ASE București, narcis.tulbure@fin.ase.ro
Abstract:

Drawing on historical research about the practices of economic central planning and the reporting of statistical data in socialist Romania, we present the “Central Planning Game”. The project is a competitive didactic game meant to simulate various scenarios regarding the dynamics of socialist industry and to teach players/ participants about the practical functioning of socialist economies. While focused on planning and production, the economy depends crucially on the accuracy of information reported to the statistician and incorporated by the central planner in the future projections regarding the material output. As such, many of the crises affecting material-product driven socialist economies were induced by information blockages and inaccuracies. The game consists of the competition among several factory managers situated in various administrative units struggling to procure the industrial inputs necessary to meet production plans. By developing a scaled model of a socialist economy, the planning game aims to become an active methodology that facilitates the understanding through intuitive means of the nature and use of statistical data in socialist economic planning. At the same time, the framework of the game can be adapted to a diversity of historical and institutional contexts where information is inaccurate, feedback mechanisms are corrupt, and knowledge about the future is problematic.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: J’ai Bistrot

Are loans moratoria useful policy tools?

Marți, 23 Mai 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Irina Mihai

Banca Națională a României, irina.mihai@bnro.ro
Abstract:

The paper looks at loans moratoria for corporate during the COVID-19 pandemic and analyses the implications on banks’ lending using panel econometric models at bank-firm level with multiple fixed effects. The results show that banks that had higher amount of loans under moratoria reduced lending more. However, the effect was offset by public guarantee programs.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: La Radu

Developing the Growth-at-Risk framework to assess an emerging market’s macroprudential policy stance

Marți, 16 Mai 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Matei Kubinschi

Banca Națională a României, matei.kubinschi@bnro.ro
Abstract:

We build a framework for assessing the macroprudential stance, tailored for conditions with limited time series length. We apply the Growth-at- Risk (GaR) model to estimate the conditional distribution of economic growth on financial developments, capturing tail risks via Quantile Regressions (QR). Parameter uncertainty stemming from limited time series length is overcome by using a model-averaging framework based on the quantile loss function. We are able to build confidence intervals for a given tail quantile and derive stance measures, such as median-to-tail distance, or decompose the main drivers of the macroprudential stance measure. Moreover, we include indicators for both capital and borrower-based instruments and study their impact on tail risks through a counterfactual scenario analysis based on the Global Financial Crisis episode.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

The macroeconomic impact of energy prices following the Ukrainian crisis

Marți, 9 Mai 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Dănuț Georgian Mihai

FABBV, ASE București, danut.mihai@fin.ase.ro
Abstract:

This paper illustrates the impact of rising prices of the main natural resources used in the production process, oil and natural gas, on the Eurozone economy in the context of a Vector Autoregressive Vector (VAR). It also assesses the dependence of the Eurozone economy on fossil fuels from Russia and the need for the adoption of green, renewable energy. The study will compare the shocks administered pre/post the outbreak of the Covid-19 pandemic and the outbreak of war in Ukraine. Finally, based on the futures trajectory of the Brent oil price, a conditional forecast for macroeconomic variables in the euro area will be assessed

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: J’ai Bistrot

The impact of higher utility costs on firm performance in the manufacturing sector

Marți, 2 Mai 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

David Orțan

Banca Națională a României, david.ortan@bnro.ro
Abstract:

Using a panel of Romanian firms in the manufacturing sector between 2010 and 2019, this paper assesses the impact of utility costs (electricity, gas, water and waste) increases on the economic performance of firms, especially in terms of employment (which is probably the most intensely debated issue), but also exports and productivity. It finds a relatively moderate, yet negative impact in the case of all variables, under a variety of specifications. Energy costs seem to loom larger in the short-run than in the long-run, which suggests that firms might switch to less energy intensive production processes. Moreover, the more energy intensive sectors are generally also the most impacted in terms of employment and productivity.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: The Millenial Burger

Revisiting Herding Behavior on the Bucharest Stock Exchange

Marți, 25 Aprilie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Andreea Iordache

FABBV, ASE București, andreea.iordache@fin.ase.ro
Abstract:

Herding investment behavior is a popular topic in finance mainly because of its major implications for investors and regulators. During these periods characterized by turmoil and uncertainty (caused by the beginning of the COVID-19 pandemic and the Russian invasion of Ukraine), it became even more intriguing to examine the presence of this behavioral bias. In this paper, we examine the herding behavior in the Romanian capital market for the period of June 2017 to November 2022. For this purpose, we compute the cross-sectional absolute deviation of returns and we use the regression analysis. Our findings support the existence of herding in the Romanian capital market for the whole sample. However, while testing for herding under different market states, we did not discover any evidence of herding. Furthermore, in order to identify some sub-periods of interest, we employ the Zivot Andrews test and we mark the date of 25 November 2021 as a breaking point. The results validate the herding effect only during the first sub-period (June 2017 – November 2021).

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Coclintă Brasserie

Assessing Macroprudential Policy Stance

Marți, 4 Aprilie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Alexie Alupoaiei

Banca Națională a României, alexie.alupoaiei@bnro.ro
Abstract:

Our paper examines the macroprudential policy stance for an emerging European economy by considering simultaneously, unlike most papers in the field, both borrower- (LTV) and capital-based instruments (CCyB). We propose a forward-looking rule with lagged expectations for the CCyB, aligned with the ESRB’s recommendation on the period between the moment of decision and implementation. A key departure from standard approaches is our definition of shock structure, designed to reflect that financial cycles are more volatile than economic cycles. Our main finding is that policy makers should consider the full range of effects when evaluating the effectiveness of macroprudential instruments.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: La Radu

Are cryptos becoming alternative assets?

Marți, 28 Martie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Daniel Traian Pele

CSIE, ASE București și IPE, Academia Română, danpele@ase.ro
Abstract:

This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes can be explained by the tail, memory and moment factors of their log-returns. By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. The main result is the complete separation of cryptocurrencies from the other asset types, using the Maximum Variance Components Split method. Additionally, we show that cryptocurrencies tend to exhibit similar characteristics over time and become more distinguished from other asset classes (synchronic evolution).

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: TBD

ESG and banks` risk and funding costs

Marți, 21 Martie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Alin Andrieș

FEAA, UAIC Iași și IPE, Academia Română, alin.andries@uaic.ro
Abstract:

Using a global sample we reveal that banks benefit from incorporating ESG practices into financial decisions, enjoying lower costs of funds, as well as reduced costs of attracting deposits. All ESG dimensions are responsible for this outcome in the case of total cost of funds, whereas for the cost of deposits the Environmental pillar appears to have an insignificant impact, suggesting that depositors do not value banks’ environmental commitments, but rather their social performance and corporate governance quality. The empirical evidence indicates that only large banks and those located in developed countries benefit in terms of reduced financing costs.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

Gambling Industry under Benford and Zipf’s Laws Approach on Financial Statements

Marți, 14 Martie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Claudiu Herțeliu

CSIE ASE București, hertz@csie.ase.ro
Abstract:

The paper aims to test if disclosed financial statements of enterprises acting in the gambling industry in Romania obey or not Benford and Zipf’s Laws. The dataset is an exhaustive one and is originating from disclosed financial statements which should be reported yearly to the ministry of finance.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: The Millenial Burger

Are green loans less risky? Micro-evidence from an European Emerging Economy

Marți, 7 Martie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Luminița Tatarici

Banca Națională a României, luminita.tatarici@bnro.ro
Abstract:

The role played by the banking sector in supporting the green transition is still limited, but expected to increase substantially. We investigate whether the green loans granted by Romanian banks over the period 2010-2020 bear less credit risk compared with the other loans in their portfolio. In this respect, we use a novel micro database with information on all green loans granted by a representative share of banks, combined with debtors’ financial statements. We use different approaches to control for the small share of green loans and find that firms with a sounder financial profile are more prone to access green loans. We also document that the probability of a company with green loans to reach default state is 10 percent lower compared with the rest of companies financed by banks. We also discuss possible policy implications from these findings.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

IPO signals – a case study on European Software Firms

Marți, 28 Februarie 2023 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)

Răzvan Tătaru

FABBV ASE București, razvan.tataru@fin.ase.ro
Abstract:

The aim of this study is to examine whether patenting activity can serve as a signal to financial markets. More specifically, we analyze how the investors’ sentiment is impacted by the patenting behaviour of European firms. Our database covers all software companies undertaking IPOs in six countries (UK, Germany, France, Sweden, Italy and Spain) between 1 January 1997 and 31 December 2022, and includes data from various sources (the Bureau van Dijk Zephyr database, the Questel-Orbit QPAT patent database and financial documents available on the company websites). By employing regression analysis, we examine the correlation between patent applications prior to an IPO and the amount of capital raised during the IPO, taking into account other variables that may have an impact on the performance of the IPO. The results confirm the existence of significant and positive correlations between patent applications and the success of the IPO.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Thalia Victoriei

For better and worse: heterogeneity in the fiscal response in EU countries

Marți, 17 Ianuarie 2023 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Andreea-Maria Stoian

ASE București, andreea.stoian@fin.ase.ro
Abstract:

In this paper, using a panel of annual observations ranging from 2005 to 2018, we employ the novel unconditional quantile regression by resorting to an augmented fiscal reaction function model to examine the distribution-varying fiscal response for 26 European Union countries. The results point to significant asymmetries regarding the fiscal response measured in terms of the cyclically adjusted primary balance to different covariates. More specifically, we report a U-shaped fiscal reaction to debt changes suggesting more explicit debt stabilization concerns during high-deficit periods. We also show a varying response when debt exceeds the 60% threshold, which is conditioned by the size of the fiscal position. In addition, we reveal a procyclical fiscal behaviour when balance is highly deteriorated.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Thalia Victoriei

Understanding the Dividend Puzzle with Machine Learning: Notes on Classification Tasks

Marți, 10 Ianuarie 2023 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Codruț Ivașcu

ASE București, codrut.ivascu@fin.ase.ro
Abstract:

Dividend policy is one of the most discussed and controversial topics in corporate finance for decades. Due to the increase of computational power, few scholars tried to find most informative determinants with the help of advanced heuristic methods, a.k.a. Machine Learning. However, some critiques need to be addressed regarding the metric scores, model selection or robustness of their approaches. This paper proposes a working methodology that deals with these critiques. A Principal Components Analysis as well as numerous ML models, resample techniques and metric scores have been applied in order to better understand the dividend puzzle. The conclusions suggest that the size of the companies is the most informative determinant, larger and less risky firms being more likely to pay dividends.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: La Radu

Fear in the COVID era: its impact on the Eastern European stock markets

Marți, 13 Decembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Elena-Valentina Țilică

ASE București, elena.tilica@fin.ase.ro
Abstract:

This paper investigates the stock markets’ evolution during the COVID pandemic. The results show that some markets experienced the effects of the crisis by registering increased comovements with the global market portfolio (e.g. Czechia and Romania) while others had decreased ones (e.g. Poland and Russia). Additionally, this paper strives to analyze the impact of the pandemic fear perception on these markets through the Global Fear Index and its two components. The one related to the global reported deaths seems to be an important factor for most countries, generating a significant influence either on the stock market’s return (e.g. Poland, Romania) or volatility (e.g. Hungary, Romania). The global reported cases index component seems to be taken into consideration in fewer countries and only when the national environment is more turbulent (e.g. Russia, Poland).

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

Testing for Superior Predictive Ability in the Age of Data Snooping

Marți, 6 Decembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Dan-Gabriel Anghel

ASE București și IPE, Academia Română, dan.anghel@fin.ase.ro
Abstract:

We propose a new framework for testing the Superior Predictive Ability of multiple forecasting models, which is especially useful when dealing with a very large number of candidate models, i.e. in environments plagued by data snooping. The new framework is flexible, as it is able to handle for unobservable data snooping efforts subject to reasonable but simple assumptions. The new framework is also computationally efficient, as it is able to deliver results several orders of magnitude faster compared to existing alternatives. We demonstrate its usefulness by searching for data-snooping-free superior ability in a universe of 56,789 hedge funds that were available to US investors from 1959 to 2021.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Zăganu Bistro

Climate Risk Impact on Treasury Securities Pricing: Global and Long-term Perspectives

Marți, 29 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Iustina-Alina Boitan

ASE București, iustina.boitan@fin.ase.ro
Abstract:

We extend the analysis of the Treasury debt market determinants by empirically investigating the impact of climate change risk on the pricing of Treasury securities across 102 countries around the world. The study takes advantage of a new dataset of climate change proxies that spans over four decades. We distinguish between physical and transitional risk, and investigate both short- and long-term securities. We find that, on average, investors react to government commitments for combating climate change and take into consideration the average level of “brownness” of the economy, i.e. the total amount of CO2 emitted per unit of production. The results also show that concrete government policies aimed at directly combating climate change also matter for sovereign security prices. Overall, countries can borrow at lower costs if they participate in global climate initiatives, enact legislation to favor the transition to green energy, or allocate more of the total budget expenditures to fighting against climate change.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

Dividend Policy, Egalitarianism, Hierarchy, and … not enough

Marți, 22 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Victor Dragotă

ASE București, victor.dragota@fin.ase.ro
Abstract:

The nexus between national culture and the decision-making in corporate finance is still a largely unexplored area, but is gaining increasing importance in the recent years. In the context of the COVID-19 pandemic, we investigate the impact of Schwartz’s cultural dimensions egalitarianism and hierarchy on corporate dividend policy, for an international database of companies from different countries for the period 2012-2021. Using 3 proxies for dividend policy, with different informational content (dividend payout ratio, dividend / assets, and dividend yield), we find that national egalitarianism is positively associated to dividend policy variables. On the other hand, hierarchy is negatively associated to dividend policy proxies. Moreover, our preliminary results confirm the moderating role of COVID-19 on dividend indicators. We expect cultural factors to be an important tool for making profitable investment decisions in an international context.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: TBD

The impact of fiscal and budgetary policy decisions on long-term government bond yields during the COVID-19 pandemic

Marți, 15 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Radu Ciobanu

ASE București, radu.ciobanu@fin.ase.ro
Abstract:

This paper analyzes the link policy responses to COVID-19 and sovereign bond yields using 18 emerging countries and 27 advanced countries. Based on an unconditional quantile regression approach we show that the dymanic of sovereign bond yields responds assymetrically to a series of covariates such as industrial production, interest rates, business confidence, inflation, exchange rate and unemployment. The effect is more pronounced in advanced economies compared to emerging ones. Moreover, the decision to postpone of the payment of taxes for individuals and entities has led to an increase in confidence in the solvency of bonds issuing countries, regardless of the situation of emerging or advanced economies.

Zoom: https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Passcode: 123456
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

Assessing the level of fiscal multipliers during the phases of the business cycle

Marți, 8 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Robert-Adrian Grecu

ASE București, robertgrecu@yahoo.com
Abstract:

This paper aims to present how fiscal policy influences the real economy, starting from the evaluation of fiscal multipliers. In the analysis, it was used 3 econometric models (B-SVAR, T-SVAR, and TVP-SVAR) to provide a broad view of the fiscal multiplier’s values. The results illustrate that the spending multiplier at the level of the Romanian economy for the period 2000 – 2021 was smaller than 1, and registered higher values in periods of recession, compared to the expansion ones, the maximum values of the spending multiplier being reached in the period of the last financial crisis and COVID-19 pandemic. Regarding the impact on the components of GDP, consumption but also private investment responded positively to an increase in government spending. In terms of multipliers by spending categories, the results show that an increase in social benefits tends to generate the strongest short-term positive impact on the real economy. Thus, according to the simulations based on the analysis results, in the absence of the fiscal measures with exceptional character implemented during 2020, the economic contraction in Romania would have been higher by up to 1.81 percentage points. For the year 2021, the exceptional measures implemented to counteract the effect of the COVID-19 pandemic have generated an increase in the economic growth of almost 0.54 percentage points.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz10
Activitate de socializare: Începând cu ora 18:00: TBD

External Wealth of Nations and Systemic Risk

Marți, 1 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Nicu Sprincean

FEAA, UAIC Iași și INCE, Academia Română, sprincean.nicu@uaic.ro
Abstract:

External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net international investment position (stock) imbalances still persist. In this paper, we explore the implications of countries’ net foreign positions on systemic risk. Using a sample composed of 450 banks located in 46 advanced, developing and emerging countries over the period 2000-2020, we document that banks can reduce their systemic risk exposure when the countries where they are incorporated maintain creditor positions vis-à-vis the rest of the world. However, only the equity components of the net international investment positions are responsible for this outcome, whereas debt flows do not contribute significantly. In addition, we find that the heterogeneity across countries is substantial and that only banks located in advanced markets that maintain their creditor positions have the potential to improve their resilience to system-wide shocks. Our findings are relevant for policy makers who seek to improve banks’ resilience to adverse shocks and to maintain financial stability.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: Old Kitchen

Life insurance & banking industries: more friends than foes? New insights from the OECD countries using a quantile approach

Marți, 25 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Ingrid-Mihaela Dragota

ASE București, mihaela.dragota@fin.ase.ro
Abstract:

This article investigates the impact exerted by the development of the banking system on the life insurance market using data for 30 OECD countries from 2002 to 2019. Using the novel unconditional quantile regression, we find that the credit expansion, the size of the banking system and its liquidity exhibit a positive influence on the size of life insurance market only in countries with an underdeveloped insurance market, i.e., across the lower quantile of life insurance density (LID) distribution. In addition, we show that restricting financial freedom will compress the size of the LI markets, but only in countries with lower values for LID. In countries across the superior quantiles, the development of this market could be associated with the decrease of public perception regarding the uncertainty, measured through the World Uncertainty Index. As macroeconomic determinants, we show that GDP/capita exerts a positive influence on LID, throughout the majority of quantiles, with a more significant impact in countries with lower and medium values for LID. The unemployment rate negatively impacts the development of the LI sector when the latter is small, whilst for medium and the highest quantiles the influence is weaker and positive. Urbanization can boost the growth of the LI industry in OECD countries with medium values for LID if public policies support both the infrastructure and human-development in urban areas.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: Thalia Victoriei

Do Monetary Policy Shocks Impact the Network Structure of Financial Markets?

Marți, 18 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Petre Caraiani

IPE și ASE București, petre.caraiani@fabiz.ase.ro
Abstract:

Monetary policy shocks are known to affect financial markets. However, it is less clear how a monetary policy shock can affect their network structure. We estimate daily total connectedness and net connectedness for 10 industry portfolio indices based on intraday data. Using event-based regressions, we show that total connectedness is positively influenced by surprise changes in the interest rates. Net connectedness of some industry indices is also influenced, some in a positive, while others in a negative direction, revealing how monetary policy shocks propagate through the stock market network at a high-frequency level. The results point to the sectoral differences in the propagation of the monetary policy shocks.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: Pengyou Occidentului

Asymmetric effects of borrower-based measures on household access to finance and default

Marți, 11 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Radu Popa

BNR și ASE București, radu.popa@bnro.ro
Abstract:

Using a rich micro dataset which combines credit registry data with household income records, our paper aims to capture the consequences in terms of access to finance and default determined by the implementation of macroprudential borrower – based measures. Results for the Romanian banking sector reveal that releasing hard LTV and DSTI limits in 2007 encouraged riskier foreign currency lending, both at the extensive, as well as at the intensive margin, favoring those with higher incomes to a greater extent. The quality of loans issued declined compared with the period when LTV and DSTI limits were in place, with low-income debtors experiencing the largest declines. In contrast, the reinstatement of hard-LTV limits in 2011 boosted lending in local currency and did not impede access to finance for medium and low-income borrowers. Using a counterfactual analysis, we prove that the introduction of the LTV limit led to a 20 percent improvement compared to the absence of the measure for mortgage loans. The introduction of a maturity cap for consumer loans did not impact payment discipline for secured consumer loans, however its introduction led to a 10 percent reduction in the average probability of default for unsecured consumer loans, with low income borrowers experiencing the strongest benefits.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: TBD

Americans are Europeans in Disguise

Marți, 4 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Ciprian Necula

ASE București, ciprian.necula@fin.ase.ro
Abstract:

In this paper, we prove, in the context of the Black-Scholes model, that the price of the American put option in the continuation region is equal to that of a European option with an equivalent payoff. The result can be extended to other one-dimensional models with continuous paths, and to models with jumps, but only when there are no jumps in the exercise region. We also develop a numerical procedure to approximate the equivalent European payoff and we conduct a numerical experiment spanning a wide range of parameters of the Black-Scholes model and contract characteristics. Overall, the method produces American option prices with a relative RMSE close to 0.001% compared to a benchmark.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
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