Similar Search Results

Understanding bank and nonbank credit cycles : a structural exploration

Durdu, Ceyhun Bora; Zhong, Molin - 2019

We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that allows for bank and nonbank financial intermediation. We posit economy-wide aggregate and sectoral disturbances to potentially drive bank and nonbank credit growth. We find that...

Persistent link: https://www.econbiz.de/10012181042

The Volcker Rule and market-making in times of stress

Bao, Jack; O'Hara, Maureen; Zhou, Alex - 2016

Focusing on downgrades as stress events that drive the selling of corporate bonds, we document that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the Rule have decreased their market-making activities while non-Volcker-affected dealers have stepped...

Persistent link: https://www.econbiz.de/10011579150

Are the Borrowing Costs of Large Financial Firms Unusual?

Ahmed, Javed - 2015

Estimates of investor expectations of government support of large financial firms are often based on large financial firms' lower borrowing costs relative to smaller financial firms. Using pricing data on credit default swaps (CDS) and corporate bonds over the period 2004 to 2013, however, we...

Persistent link: https://www.econbiz.de/10013023801

Repo Collateral Fire Sales : The Effects of Exemption from Automatic Stay

Infante, Sebastian - 2013

What are the consequences of a potential fire sale stemming from the exemption of repurchase agreements (repos) from automatic stay? This paper shows that repo's exemption from stay alters firms' financing and investment decisions ex ante. Specifically, a stay exemption changes firms' investment...

Persistent link: https://www.econbiz.de/10013072713

Bond market intermediation and the role of repo

Huh, Yesol; Infante, Sebastian - 2017

use of repos significantly increases dealers' balance sheets. Limiting one dealer's balance sheet leverage, leaving all … of limiting all dealers' balance sheet leverage on bid-ask spreads is unclear, and depends on the intensity of clients …

Persistent link: https://www.econbiz.de/10011708091

Liquidity regulation and financial intermediaries

Macchiavelli, Marco; Pettit, Luke - 2018

We document several effects of the Liquidity Coverage Ratio (LCR) rule on dealers' financing and intermediation of securities. For identification, we exploit the fact that the US implementation is more stringent than that in foreign jurisdictions. In line with LCR incentives, US dealers reduce...

Persistent link: https://www.econbiz.de/10012016652

Safe Collateral, Arm's-Length Credit : Evidence from the Commercial Real Estate Mortgage Market

Black, Lamont; Krainer, John; Nichols, Joseph B. - 2017

loans funded by banks that would have been securitized are less likely to default or be renegotiated, indicating that the …

Persistent link: https://www.econbiz.de/10014121171

Banks, Non Banks, and Lending Standards

Darst, R. Matthew; Refayet, Ehraz; Vardoulakis, Alexandros - 2020

We study how competition between banks and non-banks affects lending standards. Banks have private information about … some borrowers and are subject to capital requirements to mitigate risk-taking incentives from deposit insurance. Non-banks … in bank capital requirements. Intuitively, higher capital requirements raise banks’ skin in the game and screening out …

Persistent link: https://www.econbiz.de/10014048731

Investor Demands for Safety, Bank Capital, and Liquidity Measurement

Passmore, Stuart Wayne; Temesvary, Judit - 2020

small banks, and (2) that this relationship has weakened with the advent of stronger liquidity regulation. Our results …

Persistent link: https://www.econbiz.de/10014048751

Predicting Operational Loss Exposure Using Past Losses

Curti, Filippo - 2016

Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been thoroughly examined in the literature. In this paper, we...

Persistent link: https://www.econbiz.de/10012999684