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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

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - Banco de España - 2010

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....

Persistent link: https://www.econbiz.de/10008471566

Preconditions for a successful implementation of supervisors' Prompt Corrective Action: Is there a case for a banking standard in the EU?

Nieto, María J.; Wall, Larry D. - Banco de España - 2007

Over the past years, several countries around the world have adopted a system of prudential prompt corrective action (PCA). The European Union countries are being encouraged to adopt PCA by policy analysts who explicitly call for its adoption. To date, most of the discussion on PCA has focused...

Persistent link: https://www.econbiz.de/10005590668

Multiple safety net regulators and agency problems in the EU: Is Prompt Corrective Action partly the solution?

Mayes, David G.; Nieto, María J.; Wall, Larry - Banco de España - 2008

This paper presents a stylized mechanism aimed at dealing with the cross border agency problems that arise in supervising and resolving cross border banking groups in the European Union (EU). The authors assume that PCA policies have been implemented by the national supervisors and explore the...

Persistent link: https://www.econbiz.de/10005590673

Dilatoriness of the banking enterprise debt in Spain, 1992-2003

Ruano-Pardo, Sonia; Salas-Fumás, Vicente - Banco de España - 2006

This paper analyses the determinants of the default ratio associated to banking debt in Spanish non financial firms over the period 1992-2003. It studies the factors influencing firms' entering and exit processes in and out from the default status. Additionally, it explores the factors...

Persistent link: https://www.econbiz.de/10005590729

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