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Essays on Market Discipline in Emerging Markets
2007 •
ece ungan
ESSAYS ON MARKET DISCIPLINE IN EMERGING MARKETS Ayşe Ece Ungan A Ph. D. Dissertation Supervisor: Assistant Professor Dr. Selçuk Caner Co-Supervisor: Associate Professor Süheyla Özyıldırım December 2007 In the aftermath of major crises, most emerging markets improved their banking industries according to Basel-II requirements, which emphasize the role of market discipline, supervision and capital adequacy in controlling risk-taking by banks. After the 1998 crisis in the Russian Federation and the 2001 crisis in Turkey, Central Bank of Russia and Banking Regulation and Supervision Agency of Turkey restructured and consolidated the banking industries in both of the countries. In the restructured banking environment, market discipline could be used as a complementary mechanism for improved supervision of banking systems. First two essays of this thesis elaborate on depositor discipline in the Russian Federation and Turkey. Findings provide evidence that in the Russian Federation, deposi...
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Buletin Ekonomi Moneter dan Perbankan
Determinant of Sukuk Ratings
2010 •
Tika Arundina
With the development of sukuk market as the Islamic alternatives of the existing bond market, the issue of how to assign a rating to the sukuk issuance rises. This study tries to provide an empirical foundation for the investors to estimate the ratings assign. Using approach from several rating agencies, past researches on bond ratings, financial distress prediction and bankruptcy prediction models, this study is trying to innovate a new model on determining the sukuk ratings. It used Multinomial Logit regression to create a model of rating probability from several theoretical variables, ie. firm size, leverage, profitability, fixed payment coverage, reputation and existence of guarantor. The result shows 80% of all valid cases are correctly classified into their original rating classes.JEL Classification: C35, E43, P43Keywords: Sukuk, rating.
Buletin Ekonomi Moneter dan Perbankan
Lessons Learned from Repeated Financial Crises: An Islamic Economic Perspective
Ascarya Ascarya
Financial crises have been repeated again and again over a long period of time since the demise of gold regime in 1915, have been temporarily subsided in the period under Bretton Woods Agreement with gold standard in 1950-1972, and have been reemerged after the collapse of Bretton Woods Agreement with higher frequency and magnitude. The recent subprime mortgage crisis in the US has spread out throughout the world threatening global meltdown. It seems that the conventional world have not really learned the lessons and have handled the crisis only partially in the symptoms without touching the root cause of the crisis. This study tries to determine the anatomy and root causes of the crisis and layout strategies to cure it using analytic descriptive and quantitative approaches under Islamic perspectives.The study concludes that the root causes of the crisis from Islamic economic perspective can be human error and natural phenomenon uncontrollable by human. Human error can be divided in...
Measuring the Macroeconomic Impact of Capital Requirements∗
2019 •
Jorge Pozo
We quantitatively assess the implications of regulatory capital requirements in an open economy DSGE model with banks. The capital requirement consists of a fixed part and a countercyclical part (countercyclical buffers). Since we focus on the deterministic steady state, changes on the fixed part affect the long-term economy, while changes in the sensitivity of the buffers do not. In particular, we examine the aggregate dynamics resulting from a negative capital quality shock and assess the effectiveness of capital requirements as a tool to diminish real losses in the case of a financial crisis. We find that the higher the fixed capital requirements, the better able banks are, and hence economy, to handle a financial crisis. Furthermore, in general, countercyclical buffers that respond to deviations of the expected spread or the observed credit-to-GDP ratio from their long-term values, or to percentage deviations of the observed credit (or GDP) from its long-term values diminish the...
Handbook of Monetary Economics
Financial Intermediation and Credit Policy in Business Cycle Analysis
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Mark Gertler
