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Boot, Arnoud W.A.; Ratnovski, Lev - International Monetary Fund (IMF) - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011142044

Asset Price Bubbles; A Selective Survey

Scherbina, Anna - International Monetary Fund (IMF) - 2013

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model...

Persistent link: https://www.econbiz.de/10011242201

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis; Causes, Impacts, and Challenges

Papaioannou, Michael G; Park, Joonkyu; Pihlman, Jukka; … - International Monetary Fund (IMF) - 2013

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the … implications of procyclical behavior; and (iv) proposes a framework for sound investment practices for long-term investors. Such … procyclical investment behavior is understandable and may be considered rational from an individual institution’s perspective …

Persistent link: https://www.econbiz.de/10011242388

Credit Booms and Lending Standards : Evidence From the Subprime Mortgage Market

Dell'Ariccia, Giovanni - 2008

This paper links the current sub-prime mortgage crisis to a decline in lending standards associated with the rapid expansion of this market. We show that lending standards declined more in areas that experienced larger credit booms and house price increases. We also find that the underlying...

Persistent link: https://www.econbiz.de/10014409025

The Use of Blanket Guarantees in Banking Crises

Laeven, Luc - 2008

In episodes of significant banking distress or perceived systemic risk to the financial system, policymakers have often opted for issuing blanket guarantees on bank liabilities to stop or avoid widespread bank runs. In theory, blanket guarantees can prevent bank runs if they are credible....

Persistent link: https://www.econbiz.de/10012677371

Credit Booms and Lending Standards

Dell'Ariccia, Giovanni - 2008

Persistent link: https://www.econbiz.de/10012677586

A Theory of International Crisis Lending and IMF Conditionality

Zettelmeyer, Jeromin - 2008

We present a framework that clarifies the financial role of the IMF, the rationale for conditionality, and the conditions under which IMF-induced moral hazard can arise. In the model, traditional conditionality commits country authorities to undertake crisis resolution efforts, facilitating the...

Persistent link: https://www.econbiz.de/10012677672

Sovereign Insurance and Program Design : What is Optimal for the Sovereign?

Messmacher, Miguel - 2006

Intro -- Contents -- I. INTRODUCTION -- II. MORAL HAZARD AND SOVEREIGN INSURANCE -- III. BASIC MODEL STRUCTURE AND THE ROLE OF INSURANCE -- IV. AN ALTRUISTIC INSURER -- V. DEFAULT BY THE COUNTRY -- VI. CONCLUSIONS -- VII. DERIVATION OF THE RESULTS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691004

Are Asset Price Guarantees Useful for Preventing Sudden Stops? A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff.

Durdu, Ceyhun Bora - 2006

Intro -- Contents -- I. INTRODUCTION -- II. A MODEL OF GLOBALIZATION HAZARD AND PRICE GUARANTEES -- III. CHARACTERIZING THE GLOBALIZATION HAZARD-MORAL HAZARD TRADEOFF -- IV. QUANTITATIVE ANALYSIS -- V. NORMATIVE IMPLICATIONS AND SENSITIVITY ANALYSIS -- VI. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691021

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10011142002