Motivated by the frequently observed link between commercial property price volatility and banking crises, this paper investigates at a macroeconomic level the determination of commercial property prices and the interaction between commercial property prices and bank lending. We develop a...

The paper evaluates the contribution industrial-sector data on loan losses could make to diversifying and pricing bank risk.It derives the mean, variance and cyclical sensitivity of sectoral provisions and write offs, then assesses implications for loan pricing; standards of capital adequacy;...

Using data from the US, UK, Japan and Canada, this paper provides evidence on the benefits to an economy from multiple avenues of intermediation. The overall conclusion is that the existence of active securities markets alongside banks is indeed beneficial to the stability of corporate...

This paper uses flow-of-funds and balance sheet data to analyze the impact of financial crises on corporate financing and GDP in a range of countries. Post-crisis GDP contractions are mainly accounted for by declines in investment and inventory and are more severe for emerging market countries....

We seek to assess the effect of commercial property price movements on the behaviour and performance of individual banks in a range of industrialised economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively...

The paper presents a statistical analysis of sterling libor interest rates in two monetary regimes: free-floating of sterling prior to ERM-entry, and the recent ERM regime. It is found that short-term libor rates follow a random walk with time-varying volatility and with interest rate changes...

We use a vector autoregression (VAR) to decompose unanticipated bond returns into news about fundamentals (expected real interest and inflation rates) and expected risk premiums. This decomposition is applied to U.K. short- and long- maturity nominal bonds, and to U.K. index-linked bonds. We...

There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the UK and German economies. It is found that they do have...

There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the U.K. and German economies. It is found that they do provide...