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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

means that, surprisingly, the association between stock prices and spreads of the banking sector does not seem to surge in …

Persistent link: https://www.econbiz.de/10010956052

Do mergers improve information? Evidence from the loan market

Panetta, Fabio; Schivardi, Fabiano; Shum, Matthew - Banca d'Italia - 2004

We examine the informational effects of M&As by investigating whether bank mergers improve banksï¿½ ability to screen borrowers. By exploiting a dataset in which we observe a measure of a borrowerï¿½s default risk that the lenders observe only imperfectly, we find evidence of these...

Persistent link: https://www.econbiz.de/10005770757

Deposit insurance, moral hazard and market monitoring

Gropp, Reint; Vesala, Jukka - European Central Bank - 2004

banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non …

Persistent link: https://www.econbiz.de/10005004531

Cross-border bank contagion in Europe

Gropp, Reint; Lo Duca, Marco; Vesala, Jukka - European Central Bank - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring...

Persistent link: https://www.econbiz.de/10005004534

Deposit insurance and moral hazard: does the counterfactual matter?

Gropp, Reint; Vesala, Jukka - European Central Bank - 2001

banking systems have been characterised by strong implicit insurance operating through the expectation of public intervention …

Persistent link: https://www.econbiz.de/10005004538

Banking consolidation and small business lending

Takáts, Elod - European Central Bank - 2004

finance more small firms, but incur higher costs than centralized ones. Small banks are interpreted as a bank with relatively … effects of banking consolidation and technological change on small business lending. The model suggests that not banking size …

Persistent link: https://www.econbiz.de/10005162884

Banking system stability: a cross-Atlantic perspective

Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - European Central Bank - 2005

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies … the euro area, we can also compare banking system stability between the two largest economies in the world. For Europe we …

Persistent link: https://www.econbiz.de/10005162899

Is there a single frontier in a single European banking market?

Bos, Jaap W. B.; Schmiedel, Heiko - European Central Bank - 2006

EU. Using a data set of more than 5000 large commercial banks from all major European banking markets over the period … 1993-2004, the application of meta-frontiers enables us to assess the existence of a single and integrated European banking … market. We find evidence in favor of a single European banking market characterized by cost and profit meta …

Persistent link: https://www.econbiz.de/10005530694

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - European Central Bank - 2002

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...

Persistent link: https://www.econbiz.de/10005530777

Fixed-Premium Deposit Insurance and Collective Action Problems Among Banks

Spiegel, M.M. - C.V. Starr Center for Applied Economics, Department of … - 1993

Persistent link: https://www.econbiz.de/10005605607