Similar Search Results

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020

We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...

Persistent link: https://www.econbiz.de/10012224086

Decomposing financial (in)stability in emerging economies

Lepers, Etienne; Sánchez Serrano, Antonio - 2017

The build-up of risks in advanced economies has seen a lot of research efforts in the recent years, while similar research efforts on emerging economies have not been so strong and, when undertaken, have focused mostly on its international dimension. Simultaneously, the financial system of the...

Persistent link: https://www.econbiz.de/10011976156

Interest rates or haircuts? : prices versus quantities in the market for collateralized risky loans

Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016

Markets for risky loans clear on two dimensions - an interest rate (or equivalently a spread above the riskless rate) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut" associated with the loan. Some key models of endogenous...

Persistent link: https://www.econbiz.de/10011569701

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob Wellendorph - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

Persistent link: https://www.econbiz.de/10013106056

Predicting Distress in European Banks

Betz, Frank - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

Persistent link: https://www.econbiz.de/10013074637

Macro Factors in Corporate Bond Credit and Liquidity Spreads

Guo, Biao - 2019

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …

Persistent link: https://www.econbiz.de/10012896270

Mortgage default in an estimated model of the U.S. housing market

Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...

Persistent link: https://www.econbiz.de/10011660977

Collateralized Debt Networks with Lender Default

Chang, Jin-Wook - 2020

The Lehman Brothers' bankruptcy triggered the failure of the collateralized debt markets, which was a major contributor of the financial crisis in 2008. Such collateralized debt markets have both collateral price channel and counterparty (borrower and lender) channel of contagion. I propose a...

Persistent link: https://www.econbiz.de/10012847363

Disastrous Defaults

Gouriéroux, Christian - 2020

We define a disastrous default as the default of a systemic entity, which has a negative effect on the economy and is contagious. Bringing macroeconomic structure to a no-arbitrage asset pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract...

Persistent link: https://www.econbiz.de/10012852194