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Modelling and Forecasting UK Mortgage Arrears and Possessions

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears … scenarios for forecasts to 2013 reveals the sensitivity of mortgage possessions and arrears to different economic conditions …, highlighting potential risks faced by the UK and its mortgage lenders. A comprehensive review of data on arrears and possessions …

Persistent link: https://www.econbiz.de/10008611018

Sovereign Default Risk and Banks in a Monetary Union

Uhlig, Harald - C.E.P.R. Discussion Papers - 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10011083498

Insolvency After the 2005 Bankruptcy Reform

Albanesi, Stefania; Nosal, Jaromir - C.E.P.R. Discussion Papers - 2015

, especially, the financial cost of filing for bankruptcy. We study the effects of the reform on bankruptcy, insolvency, and …. We find that the decline in bankruptcy filings resulted in a rise in the rate and persistence of insolvency as well as an … that insolvency is associated with worse financial outcomes than bankruptcy, as insolvent individuals have less access to …

Persistent link: https://www.econbiz.de/10011252618

Loan Pricing Under Basel Capital Requirements

Repullo, Rafael; Suarez, Javier - C.E.P.R. Discussion Papers - 2003

We analyse the implications for the pricing of bank loans of the reform of capital regulation known as Basel II. We consider a perfectly competitive market for business loans where, as in the model underlying the internal ratings based (IRB) approach of Basel II, a single risk factor explains...

Persistent link: https://www.econbiz.de/10005792161

Economic and Regulatory Capital: What is the Difference?

Elizalde, Abel; Repullo, Rafael - C.E.P.R. Discussion Papers - 2004

This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...

Persistent link: https://www.econbiz.de/10005123827

Banking Crises and Bank Rescues: The Role of Reputation

Corbett, Jennifer; Mitchell, Janet - C.E.P.R. Discussion Papers - 2000

This paper focuses on bank rescue packages and on the behaviour of troubled banks in light of rescue offers. A puzzling feature of experience with banking crises is that in many cases policy authorities make offers of bank rescue, and banks are reluctant to accept these offers. We study...

Persistent link: https://www.econbiz.de/10005504727

US Banking Deregulation, Small Businesses and Interstate Insurance of Personal Income

Demyanyk, Yuliya; Ostergaard, Charlotte; Sørensen, Bent E - C.E.P.R. Discussion Papers - 2006

We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate personal income insurance during the period 1970--2001. Interstate income insurance occurs when personal income reacts less than one-to-one to state-specific shocks to output. We find that income...

Persistent link: https://www.econbiz.de/10005504729

Multinational Bank Regulation with Deposit Insurance and Diversification Effects

Lóránth, Gyöngyi; Morrison, Alan - C.E.P.R. Discussion Papers - 2003

We analyse a model in which bank deposits are insured and there is an exogenous cost of bank capital. The former effect results in bank over-investment and the latter in under-investment. Regulatory capital requirements introduce investment distortions, which are a constrained optimal response...

Persistent link: https://www.econbiz.de/10005504747

Cross-Country Determinants of Mergers and Acquisitions

Rossi, Stefano; Volpin, Paolo - C.E.P.R. Discussion Papers - 2003

This Paper studies the determinants of mergers and acquisitions around the world during the 1990s by focusing on differences in laws and regulation across countries. We find that the volume of M&A activity and the premium paid are significantly larger in countries with better investor...

Persistent link: https://www.econbiz.de/10005788892

Fire-sale FDI

Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2007

Capital flight associated with the onset of a financial crisis in a country is often accompanied by an inflow of capital associated with foreign direct investment (FDI). Our paper provides a theoretical framework for this puzzle, and draws wider conclusions on the welfare effects of foreign...

Persistent link: https://www.econbiz.de/10005788913