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This paper presents evidence that banks react to regulation in a forward-looking manner. A case study documents a …. Based on the initial information released on Basel II, banks loosened their credit policies towards households. The changes …
Persistent link: https://www.econbiz.de/10013058642
We study the relationship between banks’ size and risk-taking in the context of supranational banking supervision …. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives underpinned by the too …-big-to-fail effect, we find an inverse relationship between banks’ size and non-performing loan growth for a sample of European banks …
Persistent link: https://www.econbiz.de/10013210707
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10011605969
I add a moral hazard problem between banks and depositors as in Gertler and Karadi (2009) to a DSGE model with a costly … state verification problem between entrepreneurs and banks as in Bernanke et al. (1999) (BGG). This modification amplifies …
Persistent link: https://www.econbiz.de/10013099227
equity. These findings are robust across financial subsectors. We then build a general equilibrium model with banks subject … to endogenous leverage constraints, and assess its ability to replicate the facts. In the model, banks borrow in the form …
Persistent link: https://www.econbiz.de/10013086096
consolidation. To this aim, we employ a very large data set of individual banks' balance sheets, combined with a newly compiled data … set on fiscal consolidations. We find that standard capital adequacy ratios such as the Tier-1 ratio tend to improve …, the banks' demand for government securities should increases relative to other assets …
Persistent link: https://www.econbiz.de/10013087574
We find that the increased use of securitisation activity in the banking sector prior to the 2007-2009 crisis augmented … correlated with higher levels of realised risk) during the crisis. In contrast, higher levels of capital did not buffer the … warranted to account for the stability implications of financial innovation and capital regulation …
Persistent link: https://www.econbiz.de/10013054085
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using … are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector …
Persistent link: https://www.econbiz.de/10013074637
increase in the size of the banking system relative to equity and private bond markets is associated with more systemic risk … amplification mechanism, by which banks overextend and misallocate credit when asset prices rise, and ration it when they drop. The … towards banks, while simultaneously supporting the development of securities markets …
Persistent link: https://www.econbiz.de/10013020657
evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We ftnd that banks that … participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this … interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks …
Persistent link: https://www.econbiz.de/10012605247