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A macro stress testing framework for assessing systemic risks in the banking sector

Henry, Jérôme; Kok, Christoffer; Amzallag, Adrien; … - European Central Bank - 2013

The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development was reinforced by the financial crisis, which resulted in substantial losses for banks and created general uncertainty about the banking sector's loss-bearing capacity. Macro...

Persistent link: https://www.econbiz.de/10011115257

Banks, shadow banking, and fragility

Luck, Stephan; Schempp, Paul - European Central Bank - 2014

This paper studies a banking model of maturity transformation in which regulatory arbitrage induces the coexistence of regulated commercial banks and unregulated shadow banks. We derive three main results: First, the relative size of the shadow banking sector determines the stability of the...

Persistent link: https://www.econbiz.de/10011067219

Banks' financial distress, lending supply and consumption expenditure

Damar, H. Evren; Gropp, Reint; Mordel, Adi - European Central Bank - 2014

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks...

Persistent link: https://www.econbiz.de/10011067238

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...

Persistent link: https://www.econbiz.de/10011067242

The effect of G20 summits on global financial markets

Lo Duca, Marco; Stracca, Livio - European Central Bank - 2014

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. In this paper we run an event study to test whether G20 meetings at ministerial and Leaders level have had an impact on global...

Persistent link: https://www.econbiz.de/10011067256

Cross-border banking and the international transmission of financial distress during the crisis of 2007-2008

Popov, Alexander; Udell, Gregory F. - European Central Bank - 2010

We study the effect of financial distress in foreign parent banks on local SME financing in 14 central and eastern European countries during the early stages of the 2007-2008 financial crisis. We use survey data on applicant and non-applicant firms that enable us to disentangle effects driven by...

Persistent link: https://www.econbiz.de/10008568195

Modelling the time varying determinants of portfolio flows to emerging markets

Lo Duca, Marco - European Central Bank - 2012

This paper studies how the drivers of portfolio flows change across periods with a model where regression coefficients endogenously change over time in a continuous fashion. The empirical analysis of daily equity portfolio flows to emerging markets shows that the regression coefficients display...

Persistent link: https://www.econbiz.de/10010686726

A twin crisis with multiple banks of issue: Spain in the 1860s

Moro, Alessio; Nuño, Galo; Tedde, Pedro - European Central Bank - 2013

We document the twin crisis that affected Spain in the mid-1860s. First, we trace back its origins to the international crisis of 1864-66. Next, we describe the particular banking sector of Spain, characterized by the coexistence of the Bank of Spain with multiple local banks of issue. We...

Persistent link: https://www.econbiz.de/10010686742

The interplay of economic reforms and monetary policy: the case of the euro area

Drudi, Francesco; Durré, Alain; Mongelli, Francesco Paolo - European Central Bank - 2012

from September 2008 until spring 2010; and the euro area sovereign debt crisis from spring 2010 to the current period … the euro area. It has brought unprecedented challenges for the monetary union and triggered extraordinary adjustments in … both monetary policy and institutional arrangements at the euro area level. The purpose of this article is to outline the …

Persistent link: https://www.econbiz.de/10010686761

Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters

Koop, Gary; Onorante, Luca - European Central Bank - 2012

relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New …

Persistent link: https://www.econbiz.de/10010686766