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Monetary policy, macroprudential policy and banking stability: evidence from the euro area

Maddaloni, Angela; Peydró, José-Luis - 2013

We analyze the impact on lending standards of short-term interest rates and macroprudential policy before the 2008 crisis, and of the provision of central bank liquidity during the crisis. Exploiting the euro area institutional setting for monetary and prudential policy and using the Bank...

Persistent link: https://www.econbiz.de/10011605605

The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios

Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Persistent link: https://www.econbiz.de/10012422046

Cross-border lending contagion in multinational banks

Derviz, Alexis; Podpiera, Jirí - 2007

We study both theoretically and empirically the inter- dependence of lending decisions in different country branches of a multinational bank. First, we model a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. The bank differs from other...

Persistent link: https://www.econbiz.de/10011604853

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2020

Persistent link: https://www.econbiz.de/10012838336

Capital requirements in Pillar 1 or Pillar 2: Does it matter for market discipline?

Witte, Niklas - 2024

The results of this paper provide empirical evidence that regulatory capital ratios drive bank Credit Default Swaps (CDS) and that markets react more to changes in capital requirements if implemented via direct adjustments to Pillar 1 risk weights than imposed as a percentage of Risk-Weighted...

Persistent link: https://www.econbiz.de/10015199475

Determinants of bank performance: Evidence from replicating portfolios

Altavilla, Carlo; Begenau, Juliane; Burlon, Lorenzo; … - 2024

We construct a novel measure of bank performance, investigate its determinants, and show that it affects bank resilience, lending behaviour and real outcomes. Using confidential and granular data, we measure performance against a market-based benchmark portfolio that mimics individual banks'...

Persistent link: https://www.econbiz.de/10014543609

Evaluating the impact of dividend restrictions on euro area bank market values

Andreeva, Desislava; Bochmann, Paul; Schneider, Julius - 2023

This paper evaluates the impact of the March 2020 European Central Bank recommendation that banks do not pay dividends or buy back shares on their market values. It documents a causal negative impact on bank share prices of around 7% during the two weeks following its announcement. The...

Persistent link: https://www.econbiz.de/10014374475

Risk retention in the European securitization market: Skimmed by the skin-in-the-game methods?

van Breemen, Vivian; Schwarz, Claudia; Vink, Dennis - 2023

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...

Persistent link: https://www.econbiz.de/10014374781

Evaluating the Impact of Dividend Restrictions on Euro Area Bank Market Values

Andreeva, Desislava Č.; Bochmann, Paul; Schneider, Julius - 2023

This paper evaluates the impact of the March 2020 European Central Bank recommenda-tion that banks do not pay dividends or buy back shares on their market values. It documents a causal negative impact on bank share prices of around 7% during the two weeks following its announcement. The...

Persistent link: https://www.econbiz.de/10014254495

Risk Retention in the European Securitization Market : Skimmed by the Skin-in-The-Game Methods?

Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023

Persistent link: https://www.econbiz.de/10014349343