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The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

Optimal timing of policy interventions in troubled banks

König, Philipp Johann; Mayer, Paul; Pothier, David - 2022

We analyze the problem of a policy authority (PA) that must decide when to resolve a troubled bank whose underlying solvency is uncertain. Delaying resolution increases the chance that information arrives that reveals the bank's true solvency state. However, delaying resolution also gives...

Persistent link: https://www.econbiz.de/10013166630

Global payment disruptions and firm-level exports

Haas, Ralph de; Kirschenmann, Karolin; Schultz, Alison - 2022

We exploit proprietary information on severed correspondent banking relationships - due to the stricter enforcement of financial crime regulation - to assess how payment disruptions impede cross-border trade. Using firm-level export data from emerging Europe, we show that when local respondent...

Persistent link: https://www.econbiz.de/10013474503

Broken relationships : de-risking by correspondent banks and international trade

Borchert, Lea; Haas, Ralph de; Kirschenmann, Karolin; … - 2023

We exploit proprietary information on severed correspondent banking relationships (due to the stricter enforcement of financial crime regulation) to assess how payment disruptions impede cross-border trade. Using firm-level export data from emerging Europe, we show that when local respondent...

Persistent link: https://www.econbiz.de/10014472294

Were the Scandinavian Banking Crises Predictable? A Neural Network Approach

Ristolainen, Kim - 2015

The early warning system literature on banking crises has often relied on linear classifiers such as the logit model, which are usually estimated with large datasets of multiple regions of countries. We construct an EWS based on an artificial neural network model with monthly data from the...

Persistent link: https://www.econbiz.de/10012503053

Cross-border lending and the international transmission of banking crises

Dieckelmann, Daniel - 2020

This paper introduces a new transmission channel of banking crises where sizable cross-border bank claims on foreign countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views that see banking crises originating from either...

Persistent link: https://www.econbiz.de/10012242495

Regulatory competition in capital standards with selection effects among banks

Haufler, Andreas; Maier, Ulf - 2017

Several countries have recently introduced national capital standards exceeding the internationally coordinated Basel III rules, which is inconsistent with the 'race to the bottom' in capital standards found in the literature. We study regulatory competition when banks are heterogeneous and give...

Persistent link: https://www.econbiz.de/10011591503

Financial protectionism: the first tests

Rose, Andrew; Wieladek, Tomasz - 2011

We provide the first empirical tests for financial protectionism, defined as a nationalistic change in bank's lending behaviour, as the result of public intervention, which leads domestic banks either to lend less or at higher interest rates to foreigners. We use a bank-level panel data set...

Persistent link: https://www.econbiz.de/10009125050

Diversification and determinants of international credit portfolios : evidence from German banks

Böninghausen, Benjamin; Köhler, Matthias - 2012

This paper examines the international credit portfolios of German banks. We construct a bank-country panel from a unique dataset for a representative set of countries and ask why banks leave diversification opportunities unexploited in some countries. Controlling for bank heterogeneity, we...

Persistent link: https://www.econbiz.de/10009656123

Credit risk interconnectedness : what does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the … difficulties to raise funding, the interbank lending a↵ects market-based bank interconnectedness. Moreover, banks with investments … in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that …

Persistent link: https://www.econbiz.de/10011456511