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during the crisis was significantly higher for firms with a “weak” bank than for comparable firms with a “sound” bank– even …
Persistent link: https://www.econbiz.de/10013086885
both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset … are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector … vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current financial …
Persistent link: https://www.econbiz.de/10013074637
We study how the consequences of violations of covenants associated with bank lines of credit to firms vary with the … the heart of a new bank liquidity channel. This channel complements the traditional bank lending channel, which focuses on …
Persistent link: https://www.econbiz.de/10013051172
We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data … to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that …
Persistent link: https://www.econbiz.de/10013053419
We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of the ECB’s two-tier system which heterogeneously reduced the cost of additional reserves holdings. We find that the treated banks increase reserve holdings by borrowing on the...
Persistent link: https://www.econbiz.de/10014239530
This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks … relationship between bank solvency, on the one hand, and senior bond yields, term deposit rates and overnight deposit rates, on the … other. The analysis finds a significant negative relationship between bank solvency and the different types of funding costs …
Persistent link: https://www.econbiz.de/10012844540
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
Persistent link: https://www.econbiz.de/10011604338
This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...
Persistent link: https://www.econbiz.de/10011604588
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks – key crisis events as well...
Persistent link: https://www.econbiz.de/10011605410