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Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

Persistent link: https://www.econbiz.de/10010264540

Pooling, tranching and credit expansion

Bougheas, Spiros - 2012

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …

Persistent link: https://www.econbiz.de/10010283592

Portfolio Sales and Signaling

Bougheas, Spiros; Worrall, Tim - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10011615909

Interest Rate Risk in Banking

DeMarzo, Peter; Krishnamurthy, Arvind; Nagel, Stefan - 2024

We develop a framework to estimate bank franchise value. Contrary to existing models, sticky deposits and low deposit rate betas do not imply negative duration. While operating costs could generate negative duration, they are offset by fixed interest rate spreads from lending activity....

Persistent link: https://www.econbiz.de/10015211289

The Relevance of Banks to the European Stock Market

Kick, Andreas; Rottmann, Horst - 2022

Banks have always played an ambivalent role in ﬁnancial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...

Persistent link: https://www.econbiz.de/10013353364

Is Finance Good for Growth? New Evidence from China

Chen, Jingzhu; Ji, Yuemei - 2022

We study the relationship between finance and growth using a sample of 275 Chinese cities during 2009-2018. We exclude a large amount of bank loans to local governments through the local government financing vehicles (LGFVs). This allows us to construct a new and better financial development...

Persistent link: https://www.econbiz.de/10013427668

Monetary Interventions and the Rise of Non-Bank Lenders

Cafiso, Gianluca; Rivolta, Giulia - 2022

The amount of assets managed by non-bank lenders has increased significantly over the last decades. Our research aims to clarify whether such an increase has had any impact on the effectiveness of monetary policy. To this end, we consider several credit aggregates granted from bank and non-bank...

Persistent link: https://www.econbiz.de/10013427735

Financial Sector Development in Brunei Darussalam: Depth, Access, and Efficiency: A Comparative Analysis

Bhattacharyay, Biswa Nath; Bhattacharyay, Madhurima - 2022

Financial sector development plays an important role in promoting economic growth and welfare of the citizen of a country. On the other hand, financial sector instability or vulnerability, can adversely affect the economic growth and cause major disruptions in the country. This paper examines...

Persistent link: https://www.econbiz.de/10013427746

Monetary Policy, Funding Cost and Banks' Risk-Taking: Evidence from the United States

Bürgi, Constantin; Jiang, Bo - 2022

How much deposits and equity a bank has influences how a banks' lending responds to monetary policy. While the responsiveness for the bank lending channel has been well established, this is not the case for the risk-taking channel (RTC). We show in a value-at-risk RTC model that the lending for...

Persistent link: https://www.econbiz.de/10013470254

Trade Conflicts and Credit Supply Spillovers: Evidence from the Nobel Peace Prize Trade Shock

Cao, Jin; Dinger, Valeriya; Juelsrud, Ragnar E.; … - 2022

In this paper, we examine how a trade conflict's impact on the real economy can be amplified by financial intermediaries. After the Norwegian Nobel Peace Prize Committee awarded the 2010 Nobel Peace Prize to Chinese dissident Liu Xiaobo, China in practice banned imports of Norwegian salmon. The...

Persistent link: https://www.econbiz.de/10013470295