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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations

Wagner, Wolf; Peersman, G. - Tilburg University, Center for Economic Research - 2014

Abstract: Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks...

Persistent link: https://www.econbiz.de/10011091756

Monetary Policy Rules, Adverse Selection and Long-Run Financial Risk

Eijffinger, Sylvester; Blommestein, H.J.; Qian, Z. - Tilburg University, Center for Economic Research - 2011

This paper constructs a macro-finance model with two types of borrowers: entrepreneurs who engage in productive activities and gamblers who play in lotteries. It links a central bank's interest rate policy to expected cash ows of both types of borrowers. Via this link we study how the...

Persistent link: https://www.econbiz.de/10011090362

Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply : Evidence from the Spanish Dynamic Provisioning Experiments

Jiménez, G.; Ongena, S.; Peydro, J.L.; Saurina, J. - Tilburg University, Center for Economic Research - 2012

Abstract: We analyze the impact of the countercyclical capital buffers held by banks on the supply of credit to firms … suggest that countercyclical capital buffers help smooth credit supply cycles and in bad times have positive effects on firm … credit availability, assets, employment and survival. Our findings therefore hold important implications for theory and …

Persistent link: https://www.econbiz.de/10011091652

Should we be Afraid of Friedman's Rule?

Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 2000

Persistent link: https://www.econbiz.de/10011092640

Credit Booms and Lending Standards : Evidence from the Subprime Mortgage Market

Dell’Ariccia, G.; Igan, D.; Laeven, L. - Tilburg University, Center for Economic Research - 2009

faster credit growth. We also find that the entry of new lenders contributed to the decline in lending standards. The results … on asymmetric information, and shed light on the relationship between credit booms and financial instability. …

Persistent link: https://www.econbiz.de/10011092670

Distance, Lending Relationships, and Competition

Degryse, Hans; Ongena, S. - Tilburg University, Center for Economic Research - 2003

A recent string of theoretical papers has highlighted the importance of geographical distance in explaining loan rates for small firms.Lenders located in the vicinity of small firms face significantly lower transportation and monitoring costs, and hence wield considerable market power, if...

Persistent link: https://www.econbiz.de/10011091782

Structural RFV : Recovery Form and Defaultable Debt Analysis

Guha, R.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

values.We incorporate RFV into an exogenous boundary structural credit risk model and compare its e ect to more typical … credit risk models.We show that some features of existing structural models are a result of the recovery form assumed in the …

Persistent link: https://www.econbiz.de/10011092403

MBS Ratings and the Mortgage Credit Boom

Ashcraft, A.; Goldsmith-Pinkham, P.; Vickery, J. - Tilburg University, Center for Economic Research - 2010

We study credit ratings on subprime and Alt-A mortgage-backed securities (MBS) deals issued between 2001 and 2007, the … credit risk (measured either ex-ante or ex-post), suggesting ratings contain useful information for investors. However, we … also find evidence of significant time-variation in risk-adjusted credit ratings, including a progressive decline in …

Persistent link: https://www.econbiz.de/10011090320

Corporate Governance, Opaque Bank Activities, and Risk/Return Efficiency : Pre- and Post-Crisis Evidence from Turkey

De Jonghe, Olivier; Disli, M.; Schoors, K. - Tilburg University, Center for Economic Research - 2011

Does better corporate governance unambiguously improve the risk/return efficiency of banks? Or does either a re-orientation of banks' revenue mix towards more opaque products, an economic downturn, or tighter supervision create off-setting or reinforcing effects? The authors relate bank...

Persistent link: https://www.econbiz.de/10011090672

Financial Connections and Systemic Risk

Allen, F.; Babus, A.; Carletti, E. - Tilburg University, Center for Economic Research - 2010

We develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures. In a clustered network groups of financial institutions hold identical portfolios and default together. In an...

Persistent link: https://www.econbiz.de/10011091107