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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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The ESRB at 1
Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012
SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...
Persistent link: https://www.econbiz.de/10011711529
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What predicts financial (in)stability? A Bayesian approach
Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - Deutsche Bundesbank - 2014
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10011122558
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Pro-cyclical capital regulation and lending
Behn, Markus; Haselmann, Rainer; Wachtel, Paul - Deutsche Bundesbank - 2014
We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...
Persistent link: https://www.econbiz.de/10011093849
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The determinants of cross-border bank flows to emerging markets: New empirical evidence on the spread of financial crises
Herrmann, Sabine; Mihaljek, Dubravko - Deutsche Bundesbank - 2010
This paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies and identifies specific channels through which such effects occur. Based on a gravity model we examine a panel data set on cross-border bank flows from 17 advanced to 28...
Persistent link: https://www.econbiz.de/10008534150
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Cross-border liquidity, relationships and monetary policy: Evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - Deutsche Bundesbank - 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10011161234
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The effect of the interbank network structure on contagion and common shocks
Georg, Co-Pierre - Deutsche Bundesbank - 2011
more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms …
Persistent link: https://www.econbiz.de/10009372146
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Completeness, interconnectedness and distribution of interbank exposures: A parameterized analysis of the stability of financial networks
Sachs, Angelika - Deutsche Bundesbank - 2010
system to interbank contagion. Third, the more concentrated assets are within a money center model, the less stable it is …
Persistent link: https://www.econbiz.de/10008695023
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Centrality-based capital allocations
Alter, Adrian; Craig, Ben; Raupach, Peter - Deutsche Bundesbank - 2015
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10011161228
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Credit contagion between financial systems
Podlich, Natalia; Wedow, Michael - Deutsche Bundesbank - 2011
We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …
Persistent link: https://www.econbiz.de/10010954915