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Interbank loans, collateral and modern monetary policy

Wolski, Marcin; van de Leur, Michiel - 2016

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most profitable investment projects. Our model...

Persistent link: https://www.econbiz.de/10011606004

The economic costs of supply chain decoupling

Attinasi, Maria-Grazia; Boeckelmann, Lukas; Meunier, … - 2023

the global economic costs of a decoupling of global supply chains along geopolitical lines as well as in strategic sectors … across factors of production and input goods. We find that, in terms of welfare losses, the costs of decoupling are roughly …-intensive manufacturing sectors. Global supply chain decoupling entails also a reallocation of labour across skill levels. Finally, global …

Persistent link: https://www.econbiz.de/10014374783

Has emerging Asia decoupled? An analysis of production and trade linkages using the Asian international input-output table

Pula, Gabor; Peltonen, Tuomas A. - 2009

linkages. According to the results, we do not find evidence of the decoupling of emerging Asia from the rest of the world. On …

Persistent link: https://www.econbiz.de/10011605039

DSGE Nash: Solving Nash games in macro models

Ferrari, Massimo Minesso; Pagliari, Maria Sole - 2022

This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in macro models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of options including solutions up to the third order, multiple...

Persistent link: https://www.econbiz.de/10013368008

Do market-based networks reflect true exposures between banks?

Craig, Ben R.; Karamysheva, Madina; Salakhova, Dilyara - 2023

We compare networks constructed using five commonly used methods and publicly available daily market data to networks based on reported exposures along several dimensions of the balance sheet, i.e., loans, bonds, equity. Our findings suggest that while the global network structure remains...

Persistent link: https://www.econbiz.de/10014543632

Business models of the banks in the euro area

Farnè, Matteo; Vouldis, Angelos - 2017

The paper identifies the business models followed by banks in the euro area, utilising a proprietary dataset collected in the context of the supervisory reporting of the Single Supervisory Mechanism. The concept of a 'business model' has been neglected by economic theory and is defined here with...

Persistent link: https://www.econbiz.de/10011804385

Between hawks and doves: Measuring central bank communication

Tobback, Ellen; Nardelli, Stefano; Martens, David - 2017

We propose a Hawkish-Dovish (HD) indicator that measures the degree of 'hawkishness' or 'dovishness' of the media's perception of the ECB's tone at each press conference. We compare two methods to calculate the indicator: semantic orientation and Support Vector Machines text classification. We...

Persistent link: https://www.econbiz.de/10011804400

Interconnected banks and systemically important exposures

Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019

We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...

Persistent link: https://www.econbiz.de/10012389534

Mitigating the forward guidance puzzle: Inattention, credibility, finite planning horizons and learning

De Groot, Oliver; Mazelis, Falk - 2020

This paper develops a simple, consistent methodology for generating empirically realistic forward guidance simulations using existing macroeconomic models by modifying expectations about policy announcements. The main advantage of our method lies in the exact preservation of all other shock...

Persistent link: https://www.econbiz.de/10012422088

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

Persistent link: https://www.econbiz.de/10012422161