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Brei, Michael; Gambacorta, Leonardo - Bank for International Settlements (BIS) - 2014

This paper analyses how the Basel III leverage ratio (Tier 1 capital/exposure) behaves over the cycle. The analysis … headquartered in 14 advanced economies for the period 1995-2012, we find that the Basel III leverage ratio is significantly more …

Persistent link: https://www.econbiz.de/10011019155

Risk and liquidity in a system context

Shin, Hyun Song - Bank for International Settlements (BIS) - 2006

This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting. It is possible...

Persistent link: https://www.econbiz.de/10005157619

Financial intermediation and the post-crisis financial system

Shin, Hyun Song - Bank for International Settlements (BIS) - 2010

Securitization was meant to disperse credit risk to those who were better able to bear it. In practice, securitization appears to have concentrated the risks in the financial intermediary sector itself. This paper outlines an accounting framework for the financial system for assessing the impact...

Persistent link: https://www.econbiz.de/10008503112

Liquidity and financial cycles

Adrian, Tobias; Shin, Hyun Song - Bank for International Settlements (BIS) - 2008

. We document evidence that marked to market leverage is strongly procyclical. Such behaviour has aggregate consequences …

Persistent link: https://www.econbiz.de/10005127750

Debt-deflation: concepts and a stylised model

Peter, Goetz von - Bank for International Settlements (BIS) - 2005

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

Persistent link: https://www.econbiz.de/10005063361

Global dollar credit: links to US monetary policy and leverage

McCauley, Robert N; McGuire, Patrick; Sushko, Vladyslav - Bank for International Settlements (BIS) - 2015

, leverage and flows into bond funds, on the one hand, and dollar credit extended to non-US borrowers, on the other. We find that … prior to the crisis, banks drew on low funding rates and low-cost leverage to extend dollar credit to non-US orrowers. After …

Persistent link: https://www.econbiz.de/10011123575

Estimating hedge fund leverage

McGuire, Patrick M; Tsatsaronis, Kostas - Bank for International Settlements (BIS) - 2008

of leverage allow them to build up large positions. Yet the monitoring of systemic risks posed by the build-up of … leverage is hampered by incomplete information on hedge funds' balance sheet positions. This paper describes how an extension … of funding leverage used by hedge funds. The approach can take into account non-linear exposures through the use of …

Persistent link: https://www.econbiz.de/10005121419

A shadow policy rate to calibrate US monetary policy at the zero lower bound

Lombardi, Marco Jacopo; Zhu, Feng - Bank for International Settlements (BIS) - 2014

The recent global financial crisis, the Great Recession and the subsequent implementation of a variety of unconventional policy measures have raised the issue of how to correctly measure the stance of monetary policy when policy interest rates reach the zero lower bound (ZLB). In this paper, we...

Persistent link: https://www.econbiz.de/10010849789

The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis

Gambacorta, Leonardo; Hofmann, Boris; Peersman, Gert - Bank for International Settlements (BIS) - 2012

This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank...

Persistent link: https://www.econbiz.de/10010611736

Financial strains and the zero lower bound: the Japanese experience

Fukao, Mitsuhiro - Bank for International Settlements (BIS) - 2003

We analyse the case of persistent deflation in Japan by estimating the long-run Phillips curve equation using the GDP deflator and the estimated GDP gap. Then we show that the Japanese banking sector has been losing money since the early 1990s due to the heavy credit cost and that it is quickly...

Persistent link: https://www.econbiz.de/10005127761