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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/10012605250

Monetary Policy, Macroprudential Policy and Banking Stability : Evidence from the Euro Area

Maddaloni, Angela - 2013

We analyze the impact on lending standards of short-term interest rates and macro-prudential 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/10013080478

How to release capital requirements during a pandemic? Evidence from euro area banks

Couaillier, Cyril; Reghezza, Alessio; D'Acri, Costanza … - 2022

This paper investigates the impact of the capital relief package adopted to support euro area banks at the outbreak of the COVID-19 pandemic. By leveraging confidential supervisory and credit register data, we uncover two main findings. First, capital relief measures support banks' capacity to...

Persistent link: https://www.econbiz.de/10014278144

Caution: Do not cross! Capital buffers and lending in Covid-19 times

Couaillier, Cyril; Lo Duca, Marco; Reghezza, Alessio; … - 2022

While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro-cyclical behaviour to preserve capital ratios. By employing...

Persistent link: https://www.econbiz.de/10013272135

The dynamics of spillover effects during the European sovereign debt crisis

Alter, Adrian; Beyer, Andreas - 2013

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...

Persistent link: https://www.econbiz.de/10011605603

The systemic implications of bail-in: a multi-layered network approach

Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok, Christoffer; … - 2017

We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a...

Persistent link: https://www.econbiz.de/10011606055

Contagion Accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2021

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/10013314832

Banking supervision, monetary policy and risk-taking: Big data evidence from 15 credit registers

Altavilla, Carlo; Boucinha, Miguel; Peydró, José-Luis; … - 2020

We analyse the effects of supranational versus national banking supervision on credit supply, and its interactions with … institutional change leading to the centralisation of European banking supervision; (iii) high-frequency monetary policy surprises … supervision reduces credit supply to firms with very high ex-ante and ex-post credit risk, while stimulating credit supply to …

Persistent link: https://www.econbiz.de/10012389552

Excessive bank risk taking and monetary policy

Agur, Itai; Demertzis, Maria - 2012

Why should monetary policy "lean against the wind"? Can’t bank regulation perform its task alone? We model banks that choose both asset volatility and leverage, and identify how monetary policy transmits to bank risk. Subsequently, we introduce a regulator whose tool is a risk-based capital...

Persistent link: https://www.econbiz.de/10011605502

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