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How Resilient is the German Banking System to Macroeconomic Shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …

Persistent link: https://www.econbiz.de/10005818895

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

Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk

End, Jan Willem van den - de Nederlandsche Bank - 2008

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main drivers of the recent financial crisis. The model takes into account the first and second round (feedback) effects of shocks, induced by behavioural reactions of heterogeneous...

Persistent link: https://www.econbiz.de/10005030214

Bank Efficiency the Role of Bank Strategy and Local Market Conditions

Bos, J.W.B.; Kool, C.J.M. - de Nederlandsche Bank - 2004

banking sector. The fact that environmental factors that are not appropriately controlled may easily bias efficiency estimates … inefficiencies on a set of a bank.s strategic choices, local banking market variables, and local (regional) macro variables. For the …

Persistent link: https://www.econbiz.de/10005101798

Forecasting the fragility of the banking and insurance sector

Bernoth, Kerstin; Pick, Andreas - de Nederlandsche Bank - 2009

important in the performance of banks and insurances, analyze the influences of a number of observable factors on banking and …

Persistent link: https://www.econbiz.de/10005101843

Modelling Scenario Analysis and Macro Stress-testing

End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006

factors in stress situations. The methodology is applied to the Dutch banking sector. …

Persistent link: https://www.econbiz.de/10005101857

Credit Ratings of the Banking Sector

Jonker, N. - de Nederlandsche Bank - 2002

In this paper we analyse the credit rating transitions of banks in Europe, the United States and Japan by using a competing risks model. We have distinguished two types of rating transitions: upgrading and downgrading. We have used some bank characteristics, like country of domicile, type of...

Persistent link: https://www.econbiz.de/10005106690

Increasing concentration in european banking: a macro-level analysis

Jansen, D.; Haan, J. de - de Nederlandsche Bank - 2003

The recent wave of mergers and acquisitions in the European banking sector has raised concerns that bank profitability …, competitiveness, efficiency and profitability in the European banking markets by using panel regressions. Estimates from various … recent studies on competition and efficiency in national banking sectors are related to concentration and profitability …

Persistent link: https://www.econbiz.de/10005106694

Comparing Efficiency in European Banking: a Meta Frontier Approach

Bos, J.W.B.; Schmiedel, H. - de Nederlandsche Bank - 2003

for a meta-frontier. Using a data set of more than 5000 large commercial banks from all major European banking markets … banking market. Empirical evidence supports the view that traditional efficiency techniques based on pooled frontier …

Persistent link: https://www.econbiz.de/10005106765

Efficiency vs. agency motivations for bank takeovers: some empirical evidence

Vincenzo, Alessio De; Doria, Claudio; Salleo, Carmelo - Banca d'Italia - 2006

Bank takeovers result on average in little improvements in performance. This may be due to conflicting driving forces behind them; however these have seldom been studied. We study directly the motivations for bank acquisitions by analyzing the prices paid for them, under the assumption that...

Persistent link: https://www.econbiz.de/10005113643