Showing 1 - 10 of 208
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the January … liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and …
Persistent link: https://www.econbiz.de/10011994210
its peers, we find that it is indeed underdeveloped with respect to market capitalization. In terms of liquidity, on the …
Persistent link: https://www.econbiz.de/10011105003
swift and massive liquidity provision by central banks in the wake of both crises is, at least partly, to be credited to …
Persistent link: https://www.econbiz.de/10010420558
This paper distils three lessons for bank regulation from the experience of the 2009-12 euro-area financial crisis. First, it highlights the key role that sovereign debt exposures of banks have played in the feedback loop between bank and fiscal distress, and inquires how the regulation of...
Persistent link: https://www.econbiz.de/10010421125
especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the …
Persistent link: https://www.econbiz.de/10011541793
This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...
Persistent link: https://www.econbiz.de/10011589251
swift and massive liquidity provision by central banks in the wake of both crises is, at least partly, to be credited to …
Persistent link: https://www.econbiz.de/10010958553
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10010958562
We analyze the risk premium on bank bonds at origination with a special focus on the role of implicit and explicit public guarantees and the systemic relevance of the issuing institutions. By looking at the asset swap spread on 5,500 bonds, we find that explicit guarantees and sovereign...
Persistent link: https://www.econbiz.de/10010958657
We develop a methodology to identify and rank systemically important financial institutions (SIFIs). Our approach is consistent with that followed by the Financial Stability Board (FSB) but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus...
Persistent link: https://www.econbiz.de/10010958679