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How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks’ lending, their corresponding risk-taking, the ensuing effect on their...
Persistent link: https://www.econbiz.de/10013404671
estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …
Persistent link: https://www.econbiz.de/10013097610
We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and …
Persistent link: https://www.econbiz.de/10012893728
' tightening on bank probabilities of default is positive albeit statistically insignificant, suggesting that risk-taking may crowd …
Persistent link: https://www.econbiz.de/10012850186
gambling for resurrection, the risk-taking is driven by large and less profitable banks. The net impact on bank probabilities …
Persistent link: https://www.econbiz.de/10012827421
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...
Persistent link: https://www.econbiz.de/10013210707
We propose a framework for testing the effects of changes in bank resolution regimes on bank behaviour. By exploiting … the differential relevance of recent changes in U.S. bank resolution (i.e., the introduction of the Orderly Liquidation …
Persistent link: https://www.econbiz.de/10013057162
In this paper, we investigate how the introduction of sophisticated, model-based capital regulation affected the measurement of credit risk by financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital charges more sensitive to...
Persistent link: https://www.econbiz.de/10012987539
Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short … securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …
Persistent link: https://www.econbiz.de/10013138019
This paper provides the first empirical evidence that bank regulation is associated with cross-border spillover effects … different localities across 16 countries. We find that lower barriers to entry, tighter restrictions on bank activities, and … higher minimum capital requirements in domestic markets are associated with lower bank lending standards abroad. The effects …
Persistent link: https://www.econbiz.de/10013099025