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Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...
Persistent link: https://www.econbiz.de/10012222608
availability of internal funds. These internal funds in turn determine a bank's future costs of external finance and future …
Persistent link: https://www.econbiz.de/10011918996
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
deutlich, dass die laufenden Kosten von aufgeschobenen Leibrentenversicherungen zum Teil deutlich unter den Kosten für … Ansparen in Investmentfonds mit gleicher durchschnittlicher Renditeerwartung vor Kosten, wie sie private Rentenversicherungen … bieten, und den hier unterstellten Kosten für aktienorientierte Investmentfonds aus Kostensicht nicht immer effizient ist. …
Persistent link: https://www.econbiz.de/10013428381
This paper considers the problem of changing prices over time to maximize expected revenues in the presence of unknown demand distribution parameters. It provides and compares several methods that use the sequence of past prices and observed demands to set price in the current period. A Taylor...
Persistent link: https://www.econbiz.de/10012025378
Persistent link: https://www.econbiz.de/10003490810
The costs of wars have been the main driver of public debt in the Western World during the modern era. The late … finances. I provide evidence that the costs of financial crises have increased strongly in the second half of the twentieth … century and that the costs of financial crises grow with the size of the financial sector. In many countries, the rising costs …
Persistent link: https://www.econbiz.de/10010194611
Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to...
Persistent link: https://www.econbiz.de/10014501102
We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy. Using data from the syndicated loan market, we exploit variation in banks’ reliance on wholesale funding and their structural liquidity positions in 2007Q2 to estimate the...
Persistent link: https://www.econbiz.de/10010128760
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10009528878