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Hurtado, Samuel - Banco de España - 2013

Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so … issues also cause parameter instability after policy changes in DSGE models. This paper will look at the implications of … parameter shifts for econometric policy evaluation, to see whether policy advice derived from DSGE models would have differed …

Persistent link: https://www.econbiz.de/10010862249

Mitigating the pro-cyclicality of Basel II

Repullo, Rafael; Saurina, Jesús; Trucharte, Carlos - Banco de España - 2010

Policy discussions on the recent financial crisis feature widespread calls to address the pro-cyclical effects of regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle fluctuations. This paper compares the leading alternative...

Persistent link: https://www.econbiz.de/10008676007

Credit supply: identifying balance-sheet channels with loan applications and granted loans

Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - Banco de España - 2010

To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks...

Persistent link: https://www.econbiz.de/10008676892

Micro-based estimates of heterogeneous pricing rules: the united states vs. The euro area

Álvarez, Luis J.; Burriel, Pablo - Banco de España - 2010

micro based pricing rules into a DSGE model, we f nd that nominal shocks have a greater real impact in the fully …

Persistent link: https://www.econbiz.de/10008495180

Assessing the risk-return trade-off in loans portfolios

Mencía, Javier - Banco de España - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10004969766

What explains the low profitability of Chinese banks?

García-Herrero, Alicia; Gavilá, Sergio; … - Banco de España - 2009

This paper analyzes empirically what explains the low profitability of Chinese banks for the period 1997-2004. We find that better capitalized banks tend to be more profitable. The same is true for banks with a relatively larger share of deposits and for more X-efficient banks. In addition, a...

Persistent link: https://www.econbiz.de/10004969781

The impact of financial (de)regulation on current account balances

Moral-Benito, Enrique; Roehn, Oliver - Banco de España - 2014

Global imbalances and financial market (de)regulation both feature prominently among the potential causes of the global financial crisis, but they have been generally discussed separately. In this paper, we take a different angle and investigate the relationship between financial market...

Persistent link: https://www.econbiz.de/10010894465

The distribution of debt across euro area countries: the role of individual characteristics, institutions and credit conditions

Bover, Olympia; Casado, Jose Maria; Villanueva, Ernesto; … - Banco de España - 2013

The aim of this paper is twofold. First, we present an up-to-date assessment of the differences across euro area countries in the distributions of various measures of debt conditional on household characteristics. We consider three different outcomes: the probability of holding debt, the amount...

Persistent link: https://www.econbiz.de/10010862266

The effect of foreclosure regulation: Evidence for the US mortgage market at state level

Vicente, Fernando López - Banco de España - 2013

Do laws to protect borrowers curb foreclosures? This question is addressed by analysing the impact of foreclosure laws on default rates at state level in the US mortgage market. Using panel data techniques, we find a statistically significant effect of regulation on the different stages of the...

Persistent link: https://www.econbiz.de/10010862277

Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds

Martínez-Resano, José Ramón - Banco de España - 2005

This paper deals with the economics of secondary markets for government bonds. Ultimately, the analysis is shaped by a public policy goal: assessing the elements of a regulatory framework for these markets. In that regard, the decisive role of market structure leads to a critical review of...

Persistent link: https://www.econbiz.de/10004999273