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Setting Countercyclical Capital Buffers Based on Early Warning Models : Would it Work?
Behn, Markus - 2013
This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III/CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to...
Persistent link: https://www.econbiz.de/10013074386
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Stress Tests and Capital Requirement Disclosures : Do They Impact Banks’ Lending and Risk-Taking Decisions?
Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022
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
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Impact of Higher Capital Buffers on Banks’ Lending and Risk-Taking : Evidence from the Euro Area Experiments
Cappelletti, Giuseppe - 2019
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institutions (O …
Persistent link: https://www.econbiz.de/10012867435
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Risk, Capital Buffer and Bank Lending : A Granular Approach to the Adjustment of Euro Area Banks
Maurin, Laurent - 2012
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
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How Do Banking Groups React to Macroprudential Policies? Cross-Border Spillover Effects of Higher Capital Buffers on Lending, Risk-Taking and Internal Markets
Cappelletti, Giuseppe; Marques, Aurea Ponte; Salleo, Carmelo - 2021
We study the impact of macroprudential capital buffers on banking groups' lending and risk-taking decisions, also investigating implications for internal capital markets. For identification, we exploit heterogeneity in buffers applied to other systemically important institutions, using...
Persistent link: https://www.econbiz.de/10013210623
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in …
Persistent link: https://www.econbiz.de/10012988612
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Corporate Loans, Banks’ Internal Risk Estimates and Central Bank Collateral : Evidence from the Euro Area
Calza, Alessandro; Hey, Julius-Benjamin; Parrini, Alessandro - 2021
estimation of risk by banks …
Persistent link: https://www.econbiz.de/10013217542
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When Losses Turn into Loans : The Cost of Undercapitalized Banks
Blattner, Laura - 2019
natural experiment to study the effects of reduced bank capital adequacy on productivity. Affected banks respond not only by …
Persistent link: https://www.econbiz.de/10012889191
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A Dynamic Model of Bank Behaviour under Multiple Regulatory Constraints
Behn, Markus - 2019
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
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Bank Funding Costs and Solvency
Pancaro, Cosimo - 2020
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