Browsing by Subject "N20"

Sort by: Order: Results:

Now showing items 1-4 of 4
  • Gaganis, Chrysovalantis; Hasan, Iftekhar; Papadimitri, Panagiota; Tasiou, Menelaos (2019)
    Journal of Business Research April ; 2019
    The gravity of insurance within the financial sector is constantly increasing. Reasonably, after the events of the recent financial turmoil, the domain of research that examines the factors driving the risk-taking of this industry has been signified. The purpose of the present study is to investigate the interplay between national culture and risk of insurance firms. We quantify the cultural overtones, measuring national culture considering the dimensions outlined by the Hofstede model and risk-taking using the ‘Z-score’. In a sample consisting of 801 life and non-life insurance firms operating across 42 countries over the period 2007–2016, we find a strong and significant relationship among insurance firms' risk-taking and cultural characteristics, such as individualism, uncertainty avoidance and power distance. Results remain robust to a variety of firm and country-specific controls, alternative measures of risk, sample specifications and tests designed to alleviate endogeneity.
  • Kauko, Karlo; Tölö, Eero (2019)
    Bank of Finland Research Discussion Papers 6/2019
    Also in Finnish Economic Papers 2020 ; 29 ; 2 https://www.taloustieteellinenyhdistys.fi/finnish-economic-papers-2-2020/
    The trend deviation of the Credit-to-GDP ratio (“Basel gap”) is a widely used early warning indicator of banking crises. It is calculated with the one-sided Hodrick-Prescott filter using an extremely large value of the smoothing parameter λ. We recalibrate the smoothing parameter with panel data covering almost one and a half centuries and 15 countries. The optimal λ is found to be much lower than previously suggested. The 2008 crisis does not dominate the results. The long sample almost eliminates filter initialisation problems.
  • Kauko, Karlo; Tölö, Eero (2020)
    Finnish Economic Papers 2
    Published in BoF DP 6/2019 http://urn.fi/URN:NBN:fi:bof-201902251071
    The credit-to-GDP gap is a widely used early warning indicator of banking crises. It has become standard to calculate this trend deviation with a one-sided Hodrick-Prescott filter that uses a much larger value for the smoothing parameter λ than commonly applied in most business-cycle studies. We recalibrate the smoothing parameter with panel data covering almost one-and-a-half centuries of data. As a result, the 2008 crisis does not dominate the results and sample length helps contain filter initialization problems, i.e. most observations are preceded by decades of data. The optimal λ is found to be much lower than previously suggested.
  • Francis, Bill; Hasan, Iftekhar; Song, Liang; Yeung, Bernard (2012)
    Bank of Finland Research Discussion Papers 16/2012
    Published in Journal of Financial Intermediation, Volume 24, Issue 3, July 2015: 312–324
    This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided by banks; (3) in countries that do not have explicit depository insurance; and (4) in countries that have lower bank-level disclosure. The results hold for both emerging and developed economy subsamples. Furthermore, in emerging economies, bank stocks in countries with higher degree of state-owned bank are more synchronized with the whole market, similarly, in developed markets, lower banking freedom enhances bank stock price synchronicity. Finally, the effects of state ownership, protection of property rights, and bank size are all more pronounced when determining bank stock price synchronicity during the financial crisis period. Keywords: stock price synchronicity; financial crisis, bank ownership; deposit insurance; banking freedom; bank disclosure JEL classification: G12; G14; G15; G21; G38; N20