Showing 31 - 40 of 156
We implement a novel method to detect systemically important financial institutions in a network. The method consists in a simple model of distress and losses redistribution derived from the interaction of banks' balance-sheets through bilateral exposures. The algorithm goes beyond the...
Persistent link: https://www.econbiz.de/10015240044
We build a moral hazard model to study incentives of financial intermediaries (shortly, bankers) facing a leverage-insurance trade-off in their investment choice. We demonstrate that the choice is affected by two recent transformations of the financial ecosystem bankers inhabit: (i) the rise of...
Persistent link: https://www.econbiz.de/10011984843
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012141423
We implement a novel method to detect systemically important financial institutions in a network. The method consists in a simple model of distress and losses redistribution derived from the interaction of banks' balance-sheets through bilateral exposures. The algorithm goes beyond the...
Persistent link: https://www.econbiz.de/10011112050
We use an incentive model in which improvements to fundamentals boost the ability of leveraged financial firms (banks) to expand the balance sheet (as in Adrian and Shin 2010). The rise in asset prices due to the amplified response of procyclical systems distorts bankers' incentives in providing...
Persistent link: https://www.econbiz.de/10008805874
We provide a micro-based rationale for macroprudential capital regulation of financial intermediaries (banks) by developing a model in which bankers can privately undertake a costly effort and reduce the probability of adverse shocks to their asset holdings that force liquidation (deterioration...
Persistent link: https://www.econbiz.de/10010719495
Following a decline in the fundamental risk of assets, the ability of banks to expand the balance sheet under a Value-at-Risk constraint in- creases (as in Adrian and Shin (2010)), boosting the bank’s incentives to provide costly monitoring effort that prevents asset deterioration. On the...
Persistent link: https://www.econbiz.de/10009019715
We build a two-period model à la Holmstrom and Tirole (1998) in which bankers have access to a shadow banking technology which allows to liquefy partially illiquid investment projects (e.g. mortgages) and to manufacture shadow collateral (e.g. MBS). We study the bankers' security design of...
Persistent link: https://www.econbiz.de/10013022217
The paper shows that the time-consistent policy of public bailout affects the private liquidity choice of banks in several ways. First, banks anticipate public support in a liquidity crisis and seek large and socially inefficient exposures to shadow banking, defined as a privately costly...
Persistent link: https://www.econbiz.de/10013090993
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that...
Persistent link: https://www.econbiz.de/10013062246