Fabiana Gomez - Academia.edu (original) (raw)
Papers by Fabiana Gomez
We investigate the problem of counting biased forecasters among a group of unbiased and biased fo... more We investigate the problem of counting biased forecasters among a group of unbiased and biased forecasters of macroeconomic variables. The innovation is to implement a procedure controlling for the expected proportion of unbiased forecasters that could be erroneously classified as biased (i.e., the false discovery rate). Monte Carlo exercises illustrate the relevance of controlling the false discovery rate in this context. Using data from the Survey of Professional Forecasters, we find that up to 7 out of 10 forecasters classified as biased by a procedure not controlling the false discovery rate may actually be unbiased.
SSRN Electronic Journal, 2020
This paper proposes a positive theory of the link between banks' capitalisation and their liquidi... more This paper proposes a positive theory of the link between banks' capitalisation and their liquidity-risk taking as well as the severity of fire-sale problems and liquidity crises. In the basic framework of an individual bank's decisions, we find that banks' incentives to hold liquidity for precautionary reason are increasing with their capital. In a continuum-of-banks setting in which both precautionary and speculative motives of liquidity holdings are taken into account, we find that while the fire-sale discount is decreasing with the capitalisation of the banking system, the link between the latter and the severity of liquidity crises is not monotonic.
Risks, 2018
This paper provides a rationale for the macro-prudential regulation of insurance companies, where... more This paper provides a rationale for the macro-prudential regulation of insurance companies, where capital requirements increase in their contribution to systemic risk. In the absence of systemic risk, the formal model in this paper predicts that optimal regulation may be implemented by capital regulation (similar to that observed in practice, e.g., Solvency II ) and by actuarially fair technical reserve. However, these instruments are not sufficient when insurance companies are exposed to systemic risk: prudential regulation should also add a systemic component to capital requirements that is non-decreasing in the firm’s exposure to systemic risk. Implementing the optimal policy implies separating insurance firms into two categories according to their exposure to systemic risk: those with relatively low exposure should be eligible for bailouts, while those with high exposure should not benefit from public support if a systemic event occurs.
Lyon Meeting, Mar 19, 2014
We investigate the problem of detecting biased forecasters among a group of forecasters of macroe... more We investigate the problem of detecting biased forecasters among a group of forecasters of macroeconomic variables. The innovation is to implement a procedure controlling for the expected proportion of unbiased forecasters that could be erroneously classified as biased. Using data from the Survey of Professional Forecasters, we find that 1 out of 10 forecasters classified as unbiased by the procedure currently employed in the literature (i.e., the Bonferroni correction) may actually be biased (i.e., true discoveries). This evidence reinforces the asymmetric loss interpretation of judgments made by professional forecasters of macroeconomic variables.
SSRN Electronic Journal, 2015
This paper examines potential impacts of banks' leverage on their incentives to manage their liqu... more This paper examines potential impacts of banks' leverage on their incentives to manage their liquidity. We analyse a model where banks control their liquidity risk by managing their liquid asset positions. In the basic framework, a model with a single bank, where the possibility of selling long-term assets when in need of liquidity is not taken into account, we …nd that the bank chooses to prudently manage its liquidity risk only when its leverage is low. In a model with multiple banks and a secondary market for long-term assets, we …nd that a banking system where banks are highly leveraged can be prone to liquidity crises. Our model predicts a typical pattern of liquidity crises that is consistent with what was observed during the 2007-2009 crisis.
Journal of Financial Services Research, 2013
We analyze the impact of bank competition on the equilibrium quality of loans in a formal model w... more We analyze the impact of bank competition on the equilibrium quality of loans in a formal model where banks do not observe the type of loan applicants, i.e. face an adverse selection problem, nor borrowers’ effort, i.e. also face a moral hazard problem. The main finding is that there exists an inverted U-shaped relationship between competition and the average quality of loans. Policy implications are derived from this result and from an extension to the basic model where banks may sequentially acquire information about potential borrowers.
We investigate the problem of counting biased forecasters among a group of unbiased and biased fo... more We investigate the problem of counting biased forecasters among a group of unbiased and biased forecasters of macroeconomic variables. The innovation is to implement a procedure controlling for the expected proportion of unbiased forecasters that could be erroneously classified as biased (i.e., the false discovery rate). Monte Carlo exercises illustrate the relevance of controlling the false discovery rate in this context. Using data from the Survey of Professional Forecasters, we find that up to 7 out of 10 forecasters classified as biased by a procedure not controlling the false discovery rate may actually be unbiased.
SSRN Electronic Journal, 2020
This paper proposes a positive theory of the link between banks' capitalisation and their liquidi... more This paper proposes a positive theory of the link between banks' capitalisation and their liquidity-risk taking as well as the severity of fire-sale problems and liquidity crises. In the basic framework of an individual bank's decisions, we find that banks' incentives to hold liquidity for precautionary reason are increasing with their capital. In a continuum-of-banks setting in which both precautionary and speculative motives of liquidity holdings are taken into account, we find that while the fire-sale discount is decreasing with the capitalisation of the banking system, the link between the latter and the severity of liquidity crises is not monotonic.
Risks, 2018
This paper provides a rationale for the macro-prudential regulation of insurance companies, where... more This paper provides a rationale for the macro-prudential regulation of insurance companies, where capital requirements increase in their contribution to systemic risk. In the absence of systemic risk, the formal model in this paper predicts that optimal regulation may be implemented by capital regulation (similar to that observed in practice, e.g., Solvency II ) and by actuarially fair technical reserve. However, these instruments are not sufficient when insurance companies are exposed to systemic risk: prudential regulation should also add a systemic component to capital requirements that is non-decreasing in the firm’s exposure to systemic risk. Implementing the optimal policy implies separating insurance firms into two categories according to their exposure to systemic risk: those with relatively low exposure should be eligible for bailouts, while those with high exposure should not benefit from public support if a systemic event occurs.
Lyon Meeting, Mar 19, 2014
We investigate the problem of detecting biased forecasters among a group of forecasters of macroe... more We investigate the problem of detecting biased forecasters among a group of forecasters of macroeconomic variables. The innovation is to implement a procedure controlling for the expected proportion of unbiased forecasters that could be erroneously classified as biased. Using data from the Survey of Professional Forecasters, we find that 1 out of 10 forecasters classified as unbiased by the procedure currently employed in the literature (i.e., the Bonferroni correction) may actually be biased (i.e., true discoveries). This evidence reinforces the asymmetric loss interpretation of judgments made by professional forecasters of macroeconomic variables.
SSRN Electronic Journal, 2015
This paper examines potential impacts of banks' leverage on their incentives to manage their liqu... more This paper examines potential impacts of banks' leverage on their incentives to manage their liquidity. We analyse a model where banks control their liquidity risk by managing their liquid asset positions. In the basic framework, a model with a single bank, where the possibility of selling long-term assets when in need of liquidity is not taken into account, we …nd that the bank chooses to prudently manage its liquidity risk only when its leverage is low. In a model with multiple banks and a secondary market for long-term assets, we …nd that a banking system where banks are highly leveraged can be prone to liquidity crises. Our model predicts a typical pattern of liquidity crises that is consistent with what was observed during the 2007-2009 crisis.
Journal of Financial Services Research, 2013
We analyze the impact of bank competition on the equilibrium quality of loans in a formal model w... more We analyze the impact of bank competition on the equilibrium quality of loans in a formal model where banks do not observe the type of loan applicants, i.e. face an adverse selection problem, nor borrowers’ effort, i.e. also face a moral hazard problem. The main finding is that there exists an inverted U-shaped relationship between competition and the average quality of loans. Policy implications are derived from this result and from an extension to the basic model where banks may sequentially acquire information about potential borrowers.