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Structured finance and the financial turmoil of 2007-2008: and introductory overview
Criado, Sarai; Rixtel, Adrian van - Banco de España - 2008
This paper provides an overview of the most important structured finance instruments in the context of the development of the financial turmoil that started in the third quarter of 2007 and continued into 2008. These financial market tensions were triggered by concerns about exposures of...
Persistent link: https://www.econbiz.de/10005022306
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Banking competition, collateral constraints and optimal monetary policy
Andrés, Javier; Arce, Óscar; Thomas, Carlos - Banco de España - 2010
We analyze optimal monetary policy in a model with two distinct financial frictions. First, borrowing is subject to collateral constraints. Second, credit flows are intermediated by monopolistically competitive banks, thus giving rise to endogenous lending spreads. We show that, up to a second...
Persistent link: https://www.econbiz.de/10008521844
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Bank leverage cycles
Nuño, Galo; Thomas, Carlos - Banco de España - 2012
We study the cyclical fluctuations of leverage and assets of financial intermediaries and GDP in the United States. Leverage and assets are several times more volatile than GDP, and experience larger fluctuations for unregulated (‘shadow’) intermediaries than for regulated ones. While the...
Persistent link: https://www.econbiz.de/10010678686
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Local versus aggregate lending channels: the effects of securitization on corporate credit supply
Jiménez, Gabriel; Mian, Atif; Peydró, José-Luis; … - Banco de España - 2011
dynamics nullify the strong local (bank-level) lending channel of securitization on credit quantity for firms with multiple … banking relationships. Credit terms however become softer, but there are no real effects. Securitization implies a credit … securitization collapse reverses the local lending channel. …
Persistent link: https://www.econbiz.de/10009319591
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Securization and banks´ capital structure
Almazan, Andres; Alfredo … - Banco de España - 2015
Asset securitization offers banks the possibility of altering their capital structures and the financial intermediation … process. This study shows that the introduction of securitization is associated with fundamental changes in the funding … policies of banks. In particular, we present evidence of more intense use of securitization by banks (i) with stronger growth …
Persistent link: https://www.econbiz.de/10011201724
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Sovereign ratings and their asymmetric response to fundamentals
Broto, Carmen; Molina, Luis - Banco de España - 2014
Changes in sovereign ratings are strongly asymmetric, as downgrades tend to be deeper and faster than upgrades. In other words, once a country loses its initial status it takes a long time to recover it. Using S&P data, we characterise “rating cycles” in terms of their duration and...
Persistent link: https://www.econbiz.de/10011096906
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - Banco de España - 2014
Correlations of equity securities have varied substantially over time and remain a source of continuing policy debate. This paper studies stock market correlations in an equilibrium model with heterogeneous risk aversion. In the model, preference heterogeneity causes countercyclical variations...
Persistent link: https://www.econbiz.de/10010862257
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Option-implied preferences adjustments, density forecasts, and the equity risk premium
Alonso, Francisco; Blanco, Roberto; Rubio, Gonzalo - Banco de España - 2006
The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...
Persistent link: https://www.econbiz.de/10005022240
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Has Financial Market Integration Increased during the Nineties?
Ayuso, Juan; Blanco, Roberto - Banco de España - 1999
This paper analyses whether there has been an increase in the degree of financial market integration during the nineties. To do this, we focus on stock markets and compute, first, a number of standard measures of co-movements that sometimes are interpreted as measures of financial integration....
Persistent link: https://www.econbiz.de/10005022253
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Speculation, Hedging and Intermediation in the Foreign Exchange Market.
Krüger, Malte - Banco de España - 1996
In this study it is attempted to estimate the amount of speculation in foreign exchange market.
Persistent link: https://www.econbiz.de/10005155219