Showing 1 - 10 of 52
Studies of the Bank of England’s quantitative easing (QE) policy have tended to focus on its impact on financial markets and the broader macroeconomy. Less attention has been given to the effect on banks’ balance sheets and bank lending. In this paper we use a new non-publicly available...
Persistent link: https://www.econbiz.de/10010890904
A number of OECD countries experienced an environment of low interest rates and a rapid increase in housing market activity during the last decade. Previous work suggests three potential explanations for these events: expansionary monetary policy, capital inflows due to a global savings glut and...
Persistent link: https://www.econbiz.de/10008862997
This paper studies the optimal intraday pricing in payment systems and its impact on banks’ payment behaviour and intraday liquidity management. A model is developed to compare the performance of two different mechanisms to reduce payment delay: a throughput guideline and a tariff that varies...
Persistent link: https://www.econbiz.de/10009358600
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks’...
Persistent link: https://www.econbiz.de/10009358602
We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...
Persistent link: https://www.econbiz.de/10009228596
While the financial crisis took a large toll on the UK banking industry overall, some institutions were forced to …
Persistent link: https://www.econbiz.de/10010791353
theoretical predictions on the behaviour of cross-border banking flows, and help explain why certain banking systems lost more …
Persistent link: https://www.econbiz.de/10010764520
We use data on UK banks’ minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999 Q1 to 2006 Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are...
Persistent link: https://www.econbiz.de/10010764521
competition between branches and regulated banks that are parts of separate banking groups, or because a foreign banking group …
Persistent link: https://www.econbiz.de/10010736761
We identify a ‘risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims’s procedure, while incorporating sign restrictions to simultaneously identify monetary policy, technology and demand shocks. The VAR-identifed risk news shock is estimated to account for around 2%-12%...
Persistent link: https://www.econbiz.de/10010839036