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Fragmentation in the euro overnight unsecured money market : macroprudential research network
Garcia de Andoain, Carlos; Hoffmann, Peter; Manganelli, … - 2014
Persistent link: https://www.econbiz.de/10010482452
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Bank risk during the financial crisis : do business models matter?
Altunbaş, Yener; Manganelli, Simone; Marqués … - 2011
We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank...
Persistent link: https://www.econbiz.de/10009380937
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The risk management approach to macro-prudential policy
Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; … - 2021
stress and the financial cycle. An empirical study with euro area and U.S. data shows how to construct indicators of macro …
Persistent link: https://www.econbiz.de/10012547546
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A risk management perspective on macroprudential policy
Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021
Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...
Persistent link: https://www.econbiz.de/10012519434
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Estimating systemic risk for non-listed euro-area banks
Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023
The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...
Persistent link: https://www.econbiz.de/10014477734
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The impact of the euro on equity markets : a country and sector decomposition
Cappiello, Lorenzo (contributor);  … - 2008
This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …
Persistent link: https://www.econbiz.de/10003782653