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Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...

Persistent link: https://www.econbiz.de/10011520642

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

Banks, markets, and financial stability

Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014

We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...

Persistent link: https://www.econbiz.de/10010433396

Financial crises and macro-prudential policies

Benigno, Gianluca; Chen, Huigang; Otrok, Christopher M.; … - 2010

Stochastic general equilibrium models of small open economies with occasionally binding financial frictions are capable of mimicking both the business cycles and the crisis events associated with the sudden stop in access to credit markets (Mendoza, 2010). In this paper we study the...

Persistent link: https://www.econbiz.de/10008772870

Measuring option implied degree of distress in the US financial sector using the entropy principle

Matros, Philipp; Vilsmeier, Johannes - 2012

We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...

Persistent link: https://www.econbiz.de/10009674908

The making of America’s imbalances

Schularick, Moritz; Wachtel, Paul - 2012

This paper tracks the development of sectoral saving and borrowing in the US economy over the past 50 years. We show that the financial imbalances that erupted in the financial crisis of 2008 were long in the making and preceded the emergence of global imbalances in the 2000s. The record low...

Persistent link: https://www.econbiz.de/10009580848

Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups

Littke, Helge; Ossandon Busch, Matias - 2021

We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity hoarding reaction by their regional branches. Shock-affected branches of Brazilian banks increase liquid assets and cut lending in the shocks' aftermath compared to non-affected...

Persistent link: https://www.econbiz.de/10012516271

Asset bubbles, unemployment, and financial market frictions

Hashimoto, Ken'ichi; Im, Ryonghun; Kunieda, Takuma; … - 2020

Persistent link: https://www.econbiz.de/10012656192

You can‘t always get what you want (where you want it) : cross-border effects of the US money market fund reform

Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2022

This paper documents significant cross-border effects of the 2014 US money market fund (MMF) reform on MMFs in the euro … area. As US-based prime MMFs became less money-like due to the reform, euro area-based prime MMFs received large inflows … prime funds in the euro area reduced their risk-taking. However, the industry became more concentrated overall and more …

Persistent link: https://www.econbiz.de/10012876146

Repo funding and internal capital markets in the financial crisis

Kerl, Cornelia - 2013

This paper examines how the exposure of German parent banks to the disruptions on sale and repurchase markets (repo markets) during the financial crisis has affected their provision of funds to their foreign branches and subsidiaries via bank-internal capital markets. The collapse of the...

Persistent link: https://www.econbiz.de/10009740115