The banking system is modeled in a closed system of financial accounts, whereby the equilibrium volume of bank intermediation between households and corporates reflects structural parameters such as household preferences, comparative cost structures of heterogeneous banks, loan demand of...

The banking system is modeled in a closed system of financial accounts, whereby the equilibrium volume of bank intermediation between households and corporates reflects structural parameters such as household preferences, comparative cost structures of heterogeneous banks, loan demand of...

This paper analyses the roles of bank asset fire sales and recourse to the central bank as lender of last resort for the equilibrium debt structure of banks and the spread between bank lending rates and the central bank policy rate (the short term risk free rate). The asset side of banks is...

We find evidence of a bank lending channel for the euro area operating via bank risk.Financial innovation and the new ways to transfer credit risk have tended to diminishthe informational content of standard bank balance-sheet indicators. We show thatbank risk conditions, as perceived by...

[...]This paper aims to ascertain the quality (that is, thepredictive power and prediction errors) of two marketindicators: the distance to default and the subordinated debtspread. Previous work has established that banks’ marketprices reflect contemporaneous information about bank riskin the...