Search Results - subject:"” systemic risk"

Shock propagation in the banking system with real economy feedback

Borsos, Andras; Mero, Bence - 2020

In this paper we develop a model of shock propagation in the banking system with feedback channels towards the real economy. Our framework incorporates the interactions between the network of banks (exhibiting contagion mechanisms among them) and the network of firms (transmitting shocks to each...

Persistent link: https://www.econbiz.de/10012319121

Macroeconomic models for monetary policy : a critical review from a finance perspective

Dou, Winston Wei; Lo, Andrew W.; Muley, Ameya; Uhlig, Harald - 2020 - This draft: June 3, 2020

Persistent link: https://www.econbiz.de/10012321290

Risk-sharing and the creation of systemic risk

Acharya, Viral V.; Iyer, Aaditya M.; Sundaram, Rangarajan K. - In: Journal of risk and financial management : JRFM 13 (2020) 8/183, pp. 1-18

injections, for example, in the form of a lender-of-last-resort can reduce this systemic risk ex post, but induce lower ex …

Persistent link: https://www.econbiz.de/10012321952

Firm-specific shocks and contagion : are banks special?

Engljähringer, Hannah Katharina; Stracca, Livio - 2020

This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn...

Persistent link: https://www.econbiz.de/10012299006

Stress testing and calibration of macroprudential policy tools

Górnicka, Lucyna; Valderrama, Laura - 2020

economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic … risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy …

Persistent link: https://www.econbiz.de/10012301885

Exchange rates and domestic credit : can macroprudential policy reduce the link?

Nier, Erlend Walter; Thorvardur Tjörvi Ólafsson; … - 2020

where strong domestic credit pulls in additional cross-border funding, potentially further increasing systemic risk, and …

Persistent link: https://www.econbiz.de/10012302058

Connected funds

Fricke, Daniel; Wilke, Hannes - 2020

Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...

Persistent link: https://www.econbiz.de/10012264505

The questionable benefits of mutual clearing agreements for derivatives

Tywoniuk, Magdalena - 2020

Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...

Persistent link: https://www.econbiz.de/10012271216

Modeling the connection between bank systemic risk and balance-sheet liquidity proxies through random forest regressions

Zeldea, Cristina - In: Administrative Sciences : open access journal 10 (2020) 3/52, pp. 1-14

theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample … that cash and available-for-sale securities are the most relevant factors in explaining the dynamics of systemic risk. Our … immediate liquidity instrument weights. Moreover, systemic risk could be consistently tamed by consolidating bank emergency …

Persistent link: https://www.econbiz.de/10012271424

Tail risk transmission : a study of Iran food industry

Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - 2020

Persistent link: https://www.econbiz.de/10012372947