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Crises and Rescues : Liquidity Transmission Through International Banks

Buch, Claudia M. - 2016

This paper studies how global banks transmit liquidity shocks via their internal capital markets. The unexpected access … as our liquidity shock. Using microdata on all affiliates abroad, we test whether affiliates located outside the US … actively managed internal capital markets and the increased centralization of global banks' liquidity management at the …

Persistent link: https://www.econbiz.de/10012984410

Characterising the Financial Cycle : Don't Lose Sight of the Medium Term!

Drehmann, Mathias - 2014

We characterize empirically the financial cycle using two approaches: analysis of turning points and frequency-based filters. We identify the financial cycle with the medium-term component in the joint fluctuations of credit and property prices; equity prices do not fit this picture well. We...

Persistent link: https://www.econbiz.de/10013065959

Why Does the Yield Curve Predict Economic Activity? : Dissecting the Evidence for Germany and the United States

Smets, Frank; Tsatsaronis, Kostas - 2013

This paper investigates why the slope of the yield curve predicts future economic activity in Germany and the United States. A structural VAR is used to identify aggregate supply, aggregate demand, monetary policy and inflation scare shocks and to analyze their effects on the real, nominal and...

Persistent link: https://www.econbiz.de/10014224209

External Support and Bank Behaviour in the International Syndicated Loan Market

Gadanecz, Blaise; Tsatsaronis, Kostas; Altunbas, Yener - 2013

Banks that enjoyed generous external financial support tended to under-price risk in the international syndicated loan market and did not show signs of innovation in their loan participations. Loans arranged by such banks had on average lower spreads (controlling for risk and other...

Persistent link: https://www.econbiz.de/10014210963

Bank Business Models : Popularity and Performance

Roengpitya, Rungporn - 2017

We allocate banks to distinct business models by experimenting with various combinations of balance sheet characteristics as inputs in cluster analysis. Using a panel of 178 banks for the period 2005-15, we identify a retail-funded and a wholesale-funded commercial banking model that are robust...

Persistent link: https://www.econbiz.de/10012941236

Anchoring Countercyclical Capital Buffers : The Role of Credit Aggregates

Drehmann, Mathias - 2014

We investigate the performance of different variables as anchors for setting the level of the countercyclical regulatory capital buffer requirements for banks. The gap between the ratio of credit-to-GDP and its long-term backward-looking trend performs best as an indicator for the accumulation...

Persistent link: https://www.econbiz.de/10013067138

Attributing Systemic Risk to Individual Institutions

Tarashev, Nikola A. - 2013

An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, we propose an attribution methodology that has a number of appealing features: it can be used in conjunction with...

Persistent link: https://www.econbiz.de/10013094604

Stress-Testing Macro Stress Testing : Does it Live Up to Expectations?

Borio, Claudio E. V. - 2014

We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early warning devices, ie as tools for identifying vulnerabilities during seemingly tranquil times and for...

Persistent link: https://www.econbiz.de/10013066619