Ipanic chicago
Les fondements micro-économiques du concept de panique bancaire : une introduction. The third part analyses interbank contagion of runs. The second part studies panics based on depositor's information on the return of bank portfolios. first part examines runs due to strategic behavior by depositors. It shows that banks and depositors face a problem of coordination of their behavior which can be due to informational asymmetries, moral hazard problems, or structural and regulatory caracteristics of the banking System. This article is intended to introduce some recent developments on the analysis of bank panics. The microeconomic foundations of the concept of bank run : a survey. Our tests should be of interest even to those who hold the bank-panic view, because it is possible that panics caused failures by destroying the value of illiquid bank assets. banking system has meant that problems at some banks would be transmitted to other banks through a self-reinforcing process known as a “panic.”1 Eugene White, in his analysis of the banking crisis of the 1930s, has offered an alternative explanation: banks can fail because of the deterioration of their net worth measured as the market value of their assets.2 In this note, we test White's hypothesis as an explanation of bank failures during the Great Depression by correlating the incidence of these failures with measures of bank capital. Prominent among the explanations that have been presented is that of Charles Calomiris and his colleagues who have argued that the fragmented nature of the U.S. banking sector instability.Īs failures of banks and other depositary institutions increased in number during the 1980s, economists showed renewed interest in the historical causes of bank failures. lending behavior and an increase in the U.S. Finally, we show that the Great Financial Crisis had a negative effect on investor sentiment leading to a decline in U.S. These effects are more pronounced during recessions with loan growth also responding negatively to the anxiety of investors throughout recessions. The results show that banks’ lending falls when investor sentiment is low, while this effect is more pronounced when banks hold a higher level of credit risk. Second, we employ the text-based measure of uncertainty constructed by Manela and Moreira (2017) called News Implied Volatility, which uses front-page articles of the Wall Street Journal. First, we employ the sentiment measure constructed by García (2013) based on the fraction of positive and negative words in two columns of financial news from the New York Times.
Investor sentiment is proxied by two novel but alternative measures based on textual analysis. commercial banks over the period 1999Q1–2015Q4, using bank-level data. We also investigate how loan growth may affect bank stability. We examine the impact of investor sentiment on bank credit and financial stability. By also analysing the relationship between both measures-target prices and capitalised prices-we find evidence that, for some stocks, capitalised prices partially explain how target prices are determined. When considering individual regressions, accuracy is still very low, but it varies considerably across stocks. It turns out target prices are not better at forecasting than simple capitalisations. Extending common practice, we perform a comparative accuracy analysis, comparing the accuracy of target prices with that of simple capitalisations of current prices. These results are in line with the (mostly US-based) evidence in the literature. Our panel results are robust to company fixed effects and subperiod analysis. We find that Bloomberg’s 12-month consensus target prices have no predictive power over future market prices.
Based upon empirical data on 50 of the biggest (larger capitalisation) European stocks over a 15-year period, from 2004 to 2019, and using a panel data approach, this is the first study looking at overall accuracy in European stock markets. Studying the accuracy of such analysts’ forecasts is, thus, of paramount importance. Nowadays, target prices determined by financial analysts are publicly available to investors, who may decide to use them for investment purposes. Equity studies are conducted by professionals, who also provide buy/hold/sell recommendations to investors.