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Banking and Sovereign Risk in the Euro Area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010

banking sectors. When aggregate risk increases, countries with large banking sectors with low equity ratios experience greater …

Persistent link: https://www.econbiz.de/10008468513

The ECB as Lender of Last Resort for Sovereigns in the Euro Area

Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2012

its effectiveness as LoLR, the ESM be given a banking license. To reduce the illegitimate and unaccountable abuse of the …

Persistent link: https://www.econbiz.de/10011083551

Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy

Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014

We show that banks' cash flow exposure to interest rate risk, or income gap, plays a crucial role in their lending behavior following monetary policy shocks. In a first step, we show that the sensitivity of bank profits to interest rates increases significantly with their income gap, even when...

Persistent link: https://www.econbiz.de/10011145414

A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets

Acharya, Viral V; Skeie, David - C.E.P.R. Discussion Papers - 2011

Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank transactions, such as in one-month and three-month LIBOR markets. We provide an explanation of such stress in term lending by modelling leveraged banks’ precautionary demand for liquidity. When...

Persistent link: https://www.econbiz.de/10009385771

Sophistication in Risk Management, Bank Equity, and Stability

Gersbach, Hans; Wenzelburger, Jan - C.E.P.R. Discussion Papers - 2007

We investigate the question of whether sophistication in risk management fosters banking stability. We compare a simple … banking system in which an average rating is used with a sophisticated banking system in which banks are able to assess the … default risk of entrepreneurs individually. Both banking systems compete for deposits, loans, and bank equity. While a …

Persistent link: https://www.econbiz.de/10005789172

Monetary Policy, Leverage, and Bank Risk-taking

DellAriccia, Giovanni; Laeven, Luc; Marquez, Robert - C.E.P.R. Discussion Papers - 2011

The recent global financial crisis has ignited a debate on whether easy monetary conditions can lead to greater bank risk-taking. We study this issue in a model of leveraged financial intermediaries that endogenously choose the riskiness of their portfolios. When banks can adjust their capital...

Persistent link: https://www.econbiz.de/10008854508

Sovereign Default Risk and Bank Fragility in Financially Integrated Economies

Bolton, Patrick; Jeanne, Olivier - C.E.P.R. Discussion Papers - 2011

We analyze contagious sovereign debt crises in financially integrated economies. Under financial integration banks optimally diversify their holdings of sovereign debt in an effort to minimize the costs with respect to an individual country's sovereign debt default. While diversification...

Persistent link: https://www.econbiz.de/10009003147

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

Persistent link: https://www.econbiz.de/10005497801

Some Lessons from Six Years of Practical Inflation Targeting

Svensson, Lars E O - C.E.P.R. Discussion Papers - 2013

My lessons from six years of practical policy-making include (1) being clear about and not deviating from the mandate of flexible inflation targeting (price stability and the highest sustainable employment), including keeping average inflation over a longer period on target; (2) not adding...

Persistent link: https://www.econbiz.de/10011083489

Monetary Policy Surprises, Credit Costs and Economic Activity

Gertler, Mark; Karadi, Peter - C.E.P.R. Discussion Papers - 2014

We provide evidence on the nature of the monetary policy transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy...

Persistent link: https://www.econbiz.de/10011084383