| 1. |
- Cao, Jin, et al.
(författare)
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The interaction between macroprudential and monetary policies: The cases of Norway and Sweden
- 2020
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and Sweden. Using detailed bank-level data we show how Norwegian and Swedish banks’ lending reacts to monetary policy surprises arising abroad, controlling for the domestic macroprudential stance and the interaction between monetary and macroprudential policies. In both countries, the domestic macroprudential policy helps mitigate the effects arising after foreign monetary surprises.
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| 2. |
- Cao, Jin, et al.
(författare)
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The interaction between macroprudential and monetary policies: The cases of Norway and Sweden
- 2021
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Ingår i: Review of International Economics. - : Wiley. - 1467-9396 .- 0965-7576. ; 29:1, s. 87-116
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Tidskriftsartikel (refereegranskat)abstract
- To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and Sweden. Using detailed bank‐level data, we show how Norwegian and Swedish banks’ lending reacts to monetary policy surprises arising abroad, controlling for the domestic macroprudential stance and the interaction between monetary and macroprudential policies. In both countries, domestic macroprudential policy helps mitigate the effects arising from foreign monetary surprises.
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| 3. |
- Grodecka-Messi, Anna, et al.
(författare)
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Predictors of Bank Distress : The 1907 Crisis in Sweden
- 2021
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Ingår i: Explorations in Economic History. - : Elsevier BV. - 0014-4983 .- 1090-2457. ; 80
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Tidskriftsartikel (refereegranskat)abstract
- This paper studies the Swedish experience of the international crisis of 1907, which is often compared with the crisis of 2008. By constructing a new dataset from previously unanalyzed monthly bank-level data, we document high-frequency changes in bank outcomes throughout the 1907 crisis. While distressed banks suffered substantial withdrawals of foreign funds and liquid domestic liabilities, we show that banks’ asset structures, along with observable fundamentals and institutional characteristics, played a more significant role in their subsequent fate. Higher shares of non-performing assets and lending against equities were the most important balance sheet predictors of distress. These balance sheet fundamentals, as well as over-extended branch networks, significantly shortened the lifespan of Swedish banks in the aftermath of the 1907 crisis.
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| 4. |
- Grodecka-Messi, Anna
(författare)
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Private Bank Money vs Central Bank Money: A Historical Lesson for CBDC Introduction
- 2019
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper, a unique event is studied: the opening of Bank of Canada in 1935, the central bank note issuance monopoly and its impact on the note issuing chartered banks. Between 1935-1950, Canadian chartered banks had to gradually withdraw their notes from circulation. In a difference-in-differences analysis, I show that chartered banks constrained by new issuance limits experienced higher volatility of return-on-equity in the short run and lower Z-scores and return-on-assets in the longer horizon, suggesting that note issuance was an important source of revenue for private banks and allowed them to smooth the profits. The effect on lending is either non-significant or ambiguous. This study of central bank cash implementation can offer lessons for the current debates on a new form of central bank money - central bank digital currencies - and their potential impacts on commercial banks.
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| 5. |
- Grodecka-Messi, Anna, et al.
(författare)
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Röstar svenskarna med fötterna?
- 2020
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Ingår i: Ekonomisk Debatt. - 0345-2646. ; 48:2, s. 6-6
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)
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| 6. |
- Grodecka-Messi, Anna
(författare)
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Subprime Borrowers, Securitization and the Transmission of Business Cycles
- 2019
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Ingår i: Canadian Journal of Economics. - : Wiley. - 1540-5982. ; 52:4, s. 1600-1654
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Tidskriftsartikel (refereegranskat)abstract
- A growing literature (i.e. Jaffee, Lynch, Richardson, and Van Nieuwerburgh 2009, Acharya and Schnabl 2009) argues that securitization improves financial stability if the securitized assets are held by capital market participants, rather than financial intermediaries. I construct a quantitative macroeconomic model with a novel specification for mortgage-backed securities (MBS) to evaluate this claim. My findings suggest that the existence of the securitization market stabilizes the economy under the condition that financial intermediaries do not engage in the acquisition of securitized assets. In the presence of large negative housing preference shocks, the drop in output in the first year after the shock is halved, if subprime MBS are purchased by non-financial agents, rather than held by banks.
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