Similar Search Results

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

Funding liquidity risk: definition and measurement

Drehmann, Mathias; Nikolaou, Kleopatra - Bank for International Settlements (BIS) - 2010

liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding …

Persistent link: https://www.econbiz.de/10008465655

Liquidity Risk and the Credit Crunch of 2007-2008: Evidence from Micro-Level Data on Mortgage Loan Applications

Antoniades, Adonis - Bank for International Settlements (BIS) - 2014

to liquidity risk contracted their supply of credit more sharply. I contribute to the identification of this effect by … relying on the use of micro-level data on US mortgage loan applications, which allows me to identify liquidity risk as an …

Persistent link: https://www.econbiz.de/10011106748

Foreign exchange intervention and the banking system balance sheet in emerging market economies

Gadanecz, Blaise; Mehrotra, Aaron; Mohanty, Madhusudan S - Bank for International Settlements (BIS) - 2014

Large-scale forex intervention in emerging market economies (EMEs) aimed at resisting currency appreciation has major implications for the composition of banking system balance sheets. The domestic monetary consequences depend on the nature of central bank liabilities that are the counterpart of...

Persistent link: https://www.econbiz.de/10010754140

Consumer credit scoring: do situational circumstances matter?

Avery, Robert B.; Calem, Paul S.; Canner, Glenn B. - Bank for International Settlements (BIS) - 2004

Although credit history scoring offers benefits to lenders and borrowers, failure to consider situational circumstances raises important statistical issues that may affect the ability of scoring systems to accurately quantify an individual's credit risk. Evidence from a national sample of credit...

Persistent link: https://www.econbiz.de/10005063345

Are credit ratings procyclical?

Furfine, C. H.; Amato, Jeffery D. - Bank for International Settlements (BIS) - 2003

This paper studies the influence of the state of the business cycle on credit ratings. In particular, we assess whether rating agencies are excessively procyclical in their assignment of ratings. Our analysis is based on a model of ratings determination that takes into account factors that...

Persistent link: https://www.econbiz.de/10005063364

Illiquidity and all its friends

Tirole, Jean - Bank for International Settlements (BIS) - 2010

explains why liquidity cannot easily be apprehended through a single statistics, and asks whether liquidity should be regulated … containment. Finally, the paper takes a macroeconomic perspective, discusses shortages of aggregate liquidity and analyses how … market value accounting and capital adequacy should react to asset prices. It concludes with a topical form of liquidity …

Persistent link: https://www.econbiz.de/10008503115

The failure mechanics of dealer banks

Duffie, Darrell - Bank for International Settlements (BIS) - 2010

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic importance of large dealer banks are nevertheless obvious...

Persistent link: https://www.econbiz.de/10008503118

Monetary and prudential policies at a crossroads? New challenges in the new century

Borio, Claudio E. V. - Bank for International Settlements (BIS) - 2006

and monetary and credit aggregates have expanded so much without igniting inflation (the "Great Liquidity Expansion puzzle …

Persistent link: https://www.econbiz.de/10005187755

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