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Hasman Augusto

Associate Professor

Contrat principal

Associate Professor

EHL Hospitality Business School
Route de Berne 301, 1000 Lausanne 25, Switzerland, CH

BSc HES-SO in Hôtellerie et professions de l'accueil - EHL Hospitality Business School

2023

Government intervention, linkages and financial fragility

Article scientifique ArODES

Augusto Hasman, Margarita Samartín

Economic Modelling, 126, 106429

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Résumé:

We examine how financial integration affects financial stability and what government intervention maximizes stability and well-being, in a setup where depositors can obtain information on the quality of investments in their bank but there is a friction that prevents them from determining the quality of the investments of the other banks in the system. In this way, depositors will try to withdraw their deposits when they observe that the expected profitability in their bank is low. This situation will lead to a contagion problem as troubled banks may be forced to liquidate their investments in other banks. To prevent this contagion risk and reduce the costs of crises, we look at various policies governments can use, such as recapitalizing troubled banks, increasing capital requirements, or a lender-of-last-resort policy.

2022

Surety bonds and moral hazard in banking

Article scientifique ArODES

Gerald P. Dwyer, Augusto Hasman, Margarita Samartín

Journal of financial stability, 2022, Vol. 62, article 101069

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Résumé:

We examine a policy in which owners of banks provide funds in the form of a surety bond in addition to equity capital. This policy would require banks to provide the regulator with funds that could be invested in marketable securities. Investors in the bank receive the income from the surety bond as long as the bank is in business. The capital value could be used by bank regulators to pay off the banks’ liabilities in case of bank failure. After paying depositors, investors would receive the remaining funds, if any. Analytically, this instrument is a way of creating charter value but, as opposed to Keeley (1990) and Hellman, Murdock and Stiglitz (2000), restrictions on competition are not necessary to generate positive rents. We demonstrate that capital requirements alone cannot prevent the moral hazard problem arising from deposit insurance.

Leaving the darkness :

Article scientifique ArODES

the emergence of shadow banks

Augusto Hasman, Margarita Samartín

Journal of financial stability, 2022, vol. 61, article no. 101039, pp. 1-8

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Résumé:

This paper studies the interaction between bank capital regulation, moral hazard and co-existence of traditional and shadow banks. Bank managers can choose between traditional banking and off-balance sheet special purpose vehicles (SPV), in a setup with deposit insurance and moral hazard. We first show that in the absence of SPV intermediation, capital requirements are ineffective at preventing the moral hazard problem originated by deposit insurance. We find that shadow banks can improve financial stability, when there is full information sharing. Finally, we analyze the case of neglected tail risk. We find that under such circumstances, the SPV will increase financial risk by exposing the system to extreme events.

2021

Does the financial market compensate investors for operational Losses?

Article scientifique ArODES

Augusto Hasman

Operations Research Letters, 2021, vol. 49, no. 1, pp. 101-105

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Résumé:

It is well known that several industries, like the hotel industry, are subject to low frequency high impact events resulting from their operations. However, there is a dearth of academic research in this area. In this paper we propose an innovative methodology to study the problem using a combination of Asset Pricing Models and an original database. We find that asset prices compensate investors not only for market and credit risk, but also for operational risk.

2017

Capital and Liquidity in a Dynamic Model of Banking

Article scientifique

Hasman Augusto, Margarita Samartin

Economic Modelling, 2017 , vol. 64, no August 2017, pp. 172-177

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Résumé:

This paper analyzes capital requirements in combination with a particular kind of cash reserves, that are invested in the risk-free asset, from now on, compensated reserves. We consider a dynamic framework of banking where competition may induce banks to gamble. In this set up, we can capture the two effects that capital regulation has on risk, the capital-at-risk effect and the franchise value effect (Hellman et al., 2000). We show that while capital alone is an inferior policy, compensated reserves, will complement capital requirements, by creating franchise value, and are therefore efficient in solving moral hazard problems.

2014

Financial Intermediation in an Overlapping Generations Model with Transaction Costs

Article scientifique

Hasman Augusto, Margarita Samartin, Jos van Bommel

Journal of Economic Dynamics and Control, 2014 , vol. 45, no August 2014, pp. 111-125

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Résumé:

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium because agents interact to rebalance their portfolios. Intergenerational financial intermediaries reduce the number of interactions because agents only transact when they face liquidity needs. In the absence of asset risk, intermediaries match redemptions with deposits and dividends, and never sell assets. If the economy is subject to transaction costs, the intermediated economy can sustain higher stationary investment and welfare. We also find that dead weight transaction costs can increase welfare because it protects banks from interbank arbitrage and dampens the inherent cyclicality of market economies.

Banking Crises and Government Intervention

Article scientifique

Hasman Augusto, Jaime Garcia-Palacios, Margarita Samartin

Journal of Financial Stability, 2014 , vol. 15, no December 2014, pp. 32-42

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Résumé:

Intervention has taken different forms in different countries and periods of time. Moreover, recent episodes showed that in front of an imminent crisis, the promise of no interventions made by governments is barely credible. In this paper we address the problem of resolving banking crises from the government perspective, taking into account the fact that preventing banking crises is crucial for the government. In addition, we introduce the moral hazard problem, inherent in the banking system, and consider the interaction between regulation, policy measures and banks’ behavior. To the best of our knowledge, this is the first paper that compares different policy plans to resolve banking crises in an environment where insufficiently capitalized banks have incentives to take risk, and the government has to decide whether to provide public services or impede crises. We show that when individuals highly value public services then the best policy in terms of welfare is to apply the tax on early withdrawals, as the government can transfer those taxes to the whole population by investing in public services (although at some cost). Conversely, when individuals assign a low value to consuming public services, recapitalization is the dominant policy. Finally, when the probability of a crisis is sufficiently high, capital requirements should be used.

2013

A Critical Review of Contagion Risk in Banking

Article scientifique

Hasman Augusto

Journal of Economic Surveys, 2013 , vol. 27, no 5, pp. 978-995

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Résumé:

The recent financial crisis has focused the attention of scholars and policymakers on how to improve financial stability through better macro?prudential regulation and supervision. In this paper, we compare the existing theoretical and empirical literature on contagion through the banking system. It is argued that the structure of the interbank market, the size of banks, the linkages among them, the level of correlation of their investments and the transparency of the regulator are key factors in determining the possibility of contagion. We discuss the different findings and present avenues for future research.

Financial Contagion and Depositor Monitoring

Article scientifique

Hasman Augusto, Margarita Samartin, Jos van Bommel

Journal of Banking and Finance, 2013 , vol. 37, no 8, pp. 3076-3084

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Résumé:

This paper analyzes market discipline in a many-bank economy where contagion and bank runs interact. We present a model with differently-informed depositors, where those depositors that are more informed have incentives to monitor banks’ investments. It is shown that when banks are undercapitalized, and the probability of success of the risky asset is low, depositors might prefer a contract that is subject to bank runs in the interim period to a contract that allows banks to gamble with their funds and maintain their investment.The results of the paper emphasize the benefits of private monitoring of banks in order to promote market discipline.

2011

Government, Taxes and Banking Crises

Article scientifique

Hasman Augusto, Margarita Samartin, Angel L. Lopez

Journal of Banking and Finance, 2011 , vol. 35, no 10, pp. 2761-2770

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Résumé:

This paper analyzes the effectiveness of different government policies to prevent the emergence of banking crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks, government injection of money into the banking system through credit lines, the creation of a buffer and taxes on financial transactions (the Tobin tax). We illustrate the trade-off between these policies and derive policy implications.

2008

Information acquisition and financial contagion

Article scientifique

Hasman Augusto, Margarita Samartin

Journal of Banking and Finance, 2008 , vol. 32, no 10, pp. 2136-2147

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Résumé:

This paper incorporates costly voluntary acquisition of information à la Nikitin and Smith (2007) [Nikitin, M., Smith, R.T., 2007. Information acquisition, coordination, and fundamentals in a financial crisis. Journal of Banking and Finance, in press, doi:10.1016/j.jbankfin.2007.04.031], in a framework similar to Allen and Gale (2000) [Allen, F., Gale, D., 2000. Financial contagion. Journal of Political Economy 108, 1–33], without relying on any unexpected shock to model contagion. In this framework, contagion and financial crises are the result of information gathering by depositors, weak fundamentals and an incomplete market structure of banks. It also shows how financial systems entering a recession can affect others with apparently stronger economic conditions (contagion). Finally, this is the first paper to investigate the effectiveness of the Contingent Credit Line procedures, introduced by the IMF at the end of the nineties, as a mechanism to prevent the propagation of crises.

2007

Risk Premium: Insights over the Threshold

Article scientifique

Hasman Augusto, Juan I. Pena, Jose L. Fernandes

Applied Financial Economics, 2007 , vol. 18, no 1, pp. 41-59

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Résumé:

The aim of this article is 2-fold: first to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hill's estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries.

2023

Operational risk management in the hotel industry :

Conférence ArODES

a new approach

Augusto Hasman

Proceedings of the I-CHRIE Conference 2023

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Résumé:

This paper introduces a new methodology to analyze operational risk in the hotel industry. Its purpose is to shed light on the effects of different operational risk events on the performance of share prices and provide tools for risk managers to create buffers to avoid possible failures. Our objective is to develop a simple methodology based on public data that provides useful insights for researchers and practitioners on how to analyze extreme losses in the hotel industry. This is the first paper to analyze the distribution of operational losses in different regions of the world for the hotel industry.

2022

Covid-19 and resilience :

Conférence ArODES

how regional differences played out in Switzerland

Stefano Borzillo, Augusto Hasman

Proceedings of the I-CHRIE Conference 2022

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Résumé:

The coronavirus pandemic has wreaked havoc on the economy and no region has been spared. In this article, we analyze the impact of the coronavirus in the different Swiss regions (cantons), focusing on the hotel industry. We find that regions that are more dependent on foreign visitorsand subject to greater competition in the recent past are the ones that suffered the most. We also found that visitors took an active role evaluating information concerning the evolution of the pandemic when deciding where to go.

The hospitality industry and Covid-19 :

Conférence ArODES

stock price crash risk

Stefano Borzillo, Augusto Hasman

Proceedings of the I-CHRIE Conference 2022

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Résumé:

In this paper we analyze the factors that have determined why certain companies in the hospitality industry managed to buffer the effects of Covid-19 more consistently than others. In particular, we focus on downside risk measures. We found that small and indebted companies quoted in the USA were those most affected or those that investors were less eager to hold during the pandemic. We also observe that although hotels suffered bigger losses during the period of analysis, restaurants were more affected by extreme events.

Réalisations

PEOPLE@HES-SO Annuaire et Répertoire des compétences

Hasman Augusto

Associate Professor

Associate Professor

PEOPLE@HES-SO
Annuaire et Répertoire des compétences