Showing 1 - 10 of 26
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of...
Persistent link: https://www.econbiz.de/10011142079
A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks,...
Persistent link: https://www.econbiz.de/10009650627
This paper examines the impact of the recent global crisis on emerging market economies (EMs). Our cross-country analysis shows that the impact of the crisis was more pronounced in those EMs that had initial weaker fundamentals and greater financial and trade linkages. This effect is observed...
Persistent link: https://www.econbiz.de/10008727798
This paper studies implications of intermediation costs in credit markets. The presence of intermediation costs increases the amount of risky projects therefore results in financial fragility. Moreover, for an open economy that has a perfectly liberal capital account, prudent firms finance their...
Persistent link: https://www.econbiz.de/10004971485
We discuss issues of real estate price bubble, the extent of wealth effects, affordability, financial deepening and credit market risks. Our simulations indicate that given current wealth levels, cost of credit and maturity, average homes are not affordable by average consumers. The market...
Persistent link: https://www.econbiz.de/10004971492
Domestic absorption cycles are relevant in assessment and design of fiscal policies. Our cross-country analysis covers 59 advanced and emerging countries for the 1990-2009 period. We show that ignoring domestic absorption cycles leads to biased fiscal stance indicators, for both advanced and...
Persistent link: https://www.econbiz.de/10008876582
This IFC report summarises the results of a survey conducted on sustainable finance statistics among its members (with 63 answers, providing detailed information for 28 AEs and 31 EMEs). The objective was to identify related data needs, availability and gaps from the perspective of the central...
Persistent link: https://www.econbiz.de/10012705175
This paper presents a stylized analysis of the effects of ring-fencing (i.e., different restrictions on cross-border transfers of excess profits and/or capital between a parent bank and its subsidiaries located in different jurisdictions) on cross-border banks. Using a sample of 25 large...
Persistent link: https://www.econbiz.de/10008727810
This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest...
Persistent link: https://www.econbiz.de/10008876595
This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main...
Persistent link: https://www.econbiz.de/10009019581