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On the Optimal Control of Interbank Contagion in the Euro Area Banking System
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
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Bank Bias in Europe : Effects on Systemic Risk and Growth
Langfield, Sam - 2015
Europe's financial structure has become strongly bank-based – far more so than in other economies. We document that an increase in the size of the banking system relative to equity and private bond markets is associated with more systemic risk and lower economic growth, particularly during...
Persistent link: https://www.econbiz.de/10013020657
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Evaluating the Real Effect of Bank Branching Deregulation : Comparing Contiguous Counties Across U.S. State Borders
Huang, Rocco - 2021
change borders to estimate treatment effects for 23 separate deregulation events. To distinguish real treatment effects from … five out of the 23 deregulation events examined. Hinterland counties within the still-regulated states, but farther away …-border spillover of deregulation effects may invalidate the empirical design …
Persistent link: https://www.econbiz.de/10013316911
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Bank bias in Europe: effects on systemic risk and growth
Langfield, Sam; Pagano, Marco - 2015
Europe’s financial structure has become strongly bank-based – far more so than in other economies. We document that an increase in the size of the banking system relative to equity and private bond markets is associated with more systemic risk and lower economic growth, particularly during...
Persistent link: https://www.econbiz.de/10011605842
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The Price of Liquidity : The Effects of Market Conditions and Bank Characteristics
Fecht, Falko - 2011
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity...
Persistent link: https://www.econbiz.de/10013121244
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Shock Amplification in an Interconnected Financial System of Banks and Investment Funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...
Persistent link: https://www.econbiz.de/10013216767
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Capital and Liquidity Buffers and the Resilience of the Banking System in the Euro Area
Budnik, Katarzyna - 2018
How do capital and liquidity buffers affect the evolution of bank loans in periods of financial and economic distress? To answer this question we study the responses of 219 individual banks to aggregate demand, standard and unconventional monetary policy shocks in the euro area between 2007 and...
Persistent link: https://www.econbiz.de/10012931100
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Credit Market Disequilibrium in Greece (2003-2011) - A Bayesian Approach
Vouldis, Angelos T. - 2015
financial crisis, this paper studies the evolution of credit demand and supply in Greece. A disequilibrium model of demand and …
Persistent link: https://www.econbiz.de/10013020634
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The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal
De Santis, Roberto A. - 2012
from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all … key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in … Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy …
Persistent link: https://www.econbiz.de/10013111942
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Towards Expenditure Rules and Fiscal Sanity in the Euro Area
Hauptmeier, Sebastian - 2010
The study looks at primary expenditure developments in the euro area, its three largest members and four “macro-imbalances” countries for the period 1999-2009. It compares actual expenditure trends with those that would have prevailed if countries had followed neutral policies based on...
Persistent link: https://www.econbiz.de/10013136395