We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves selling financial assets either by banks directly or by levered investors. Empirical tests support this hypothesis. While our data covers part of the recent crisis period, our results are not driven by the crisis. Our general point is that money matters in financial markets. Different financial assets have different degrees of moneyness (liquidity) and, as a result, there are systematic cross-sectional variations in trading activity as the price of liquidity, or the level of tightness, in the interbank market fluctuates.
In many countries structured investment products are popular among retail investors.Weexplain the demand for these products using unique field data where we let subjects freely design their “favorite” structured product. Results suggest that the supply with capital protected products (guarantee certificates) might indeed be demand-driven. This does not seem to be the case for other product categories where marketing and sales practices might play a more important role. In a surveyamong financial practitioners we find furthermore that a demand for capital protected products can be explained by loss aversion and saving motifs, e.g. for buying a house.
Despite the enormous growth of the asset management industry during the pastdecades, little is known so far about the asset pricing implications of investmentintermediaries. Investment objectives of professional asset managers such as mutualfunds differ from those of private households. However, standard models of invest-ment theory do not address the distinction between direct investing and delegatedinvesting. Our objective is to get a formal understanding of equilibrium implica-tions of delegated asset management. In a model with endogenous delegation, we¯nd that delegation under benchmarking leads to more informative prices, to a betaadjustment, and to signi¯cantly lower equity premia.
Empirical evidence shows that banks tend to lend too much during booms, and too littleduring recessions. Thus, instead of dampening productivity shocks, the banking sectortends to exacerbate them, leading to excessive fluctuations of credit, output and assetprices. We propose a simple explanation for this dysfunctionality of credit markets. Thisexplanation relies on three ingredients that are characteristic of modern banks’ activities.The first ingredient is moral hazard: banks are supposed to monitor the small and mediumsized enterprises that borrow from them, but they may shirk on their monitoring activities,unless they are given sufficient informational rents. These rents limit the amount thatinvestors are ready to lend them, to a multiple of the banks’ own capital. The secondingredient is the banks’ high exposure to aggregate shocks: banks’ assets have positivelycorrelated returns. Finally the third ingredient is the ease with which modern banks canreallocate capital between different lines of business. At the competitive equilibrium ofthe financial sector, banks offer privately optimal contracts to their investors but thesecontracts are not socially optimal: banks’ decisions of reallocating capital react too stronglyto aggregate shocks. This is because banks do not internalize the impact of their decisionson asset prices. This generates excessive fluctuations of credit, output and asset prices. Weexamine the efficacy of several possible policy responses to this dysfunctionality of creditmarkets, and show that it can provide a rationale for macroprudential regulation.Keywords: Bank Credit Fluctuations, Macro-prudential Regulation, Investment Externalities.JEL: G21, G28, D86
Im Streit um höhere Sicherheiten für die Grossbanken stellt sich der Bankenprofessor Urs Birchler auf die Seite der Nationalbank. Wenn die CS und die UBS ihre Kapitalbasis nicht erhöhten, sei das gefährlich.
Früher gab es Betrug nur an den Rändern des Finanzgeschäfts. Heute vergiftet die rücksichtslose Jagd nach schnellem Geld die Kultur von Märkten und Banken.
Die Vereinigung der Schweizerischen Handels- und Verwaltungsbanken (VHV) kämpft für die Erhaltung der Vielfalt des Bankenplatzes Schweiz. Sie ist überzeugt, dass eine breite Abstützung des Bankenwesens die Branche als Ganzes stabiler und krisenresistenter macht. Aus diesem Grund hat die VHV schon 2004 und als Wiederholung 2011 entschieden, mit einer eigenen Studie die Entwicklung der Compliance-Kosten in Bezug auf die kleinen und mittleren Banken zu untersuchen und Handlungsempfehlungen daraus abzuleiten. Die zunehmende Regulierung hat zu einem starken Anstieg der Compliance-Kosten geführt, was gemäss einer aktuellen Studie besonders Institute mit Kundenvermögen von weniger als 10 Mrd. CHF vor ernsthafte Schwierigkeiten stellt. Die Cost/Income-Ratio stieg in den letzten drei Jahren bei den untersuchten Schweizer Banken um durchschnittlich 17 % auf einen Wert von 77 %. Im Jahr 2010 lag die Median Cost/Income-Ratio der kleineren Institute rund acht Prozentpunkte über derjenigen der grösseren Banken. Noch vor wenigen Jahren haben sich die beiden Gruppen hinsichtlich ihrer Effizienz kaum voneinander unterschieden.
In Europa spitzt sich die Schulden- und Bankenkrise zu. Gleichzeitig ist das mit viel Aufwand verbesserte Schweizer Insolvenzrecht für Banken noch längst nicht krisentauglich. Die Gefahr einer erneuten staatlichen Rettung – einer Rettung von Banken auf Kosten der Steuerzahler – ist keineswegs gebannt.
