Showing 1 - 10 of 196
and their expectation of better risk-adjusted performance from ESG funds in the future. We also explore how the results …
Persistent link: https://www.econbiz.de/10014236293
further work to assess the potential role of macroprudential policies for non-banks, particularly regarding liquidity risk in …
Persistent link: https://www.econbiz.de/10014237692
shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …
Persistent link: https://www.econbiz.de/10013216767
from low yielding cash assets following an expansionary shock. While higher risk-taking is an intended consequence of … expansionary monetary policy, this dynamic may give rise to a build-up in liquidity risk over time, leaving the fund sector less …
Persistent link: https://www.econbiz.de/10013324210
Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial...
Persistent link: https://www.econbiz.de/10012833579
This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed...
Persistent link: https://www.econbiz.de/10012860195
implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for … synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to …
Persistent link: https://www.econbiz.de/10013298369
This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial...
Persistent link: https://www.econbiz.de/10013314948
The investment fund sector, the largest component of the non-bank financial system, is growing rapidly and the economy is becoming more reliant on investment fund financial intermediation. This paper builds a dynamic stochastic general equilibrium model with banks and investment funds. Banks...
Persistent link: https://www.econbiz.de/10013403692
Flows of funds run by banks or by firms that belong to the same financial group as a bank are less volatile and less sensitive to bad past performance. This enables bank-affiliated funds to better weather distress and to hold lower precautionary cash buffers in comparison with their unaffiliated...
Persistent link: https://www.econbiz.de/10014351464