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How does credit supply respond to monetary policy and bank minimum capital requirements?
Aiyar, Shekhar; Calomiris, Charles; Wieladek, Tomasz - Bank of England - 2014
We use data on UK banks’ minimum capital requirements to study the interaction of monetary policy and capital requirement regulation. UK banks were subject to both time-varying capital requirements and changes in interest rate policy. Tightening of either capital requirements or monetary...
Persistent link: https://www.econbiz.de/10010927827
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The network topology of CHAPS Sterling
Becher, Christopher; Millard, Stephen; Soramäki, Kimmo - Bank of England - 2008
particular instance, the effective removal of one bank for much of the day had little impact on the ability of other banks to …
Persistent link: https://www.econbiz.de/10005086593
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - Bank of England - 2010
Banks often measure credit and interest rate risk separately and then add the two risk measures to determine their overall economic capital. This approach misses complex interactions between the two risks. We develop a framework where credit and interest rate risks are analysed jointly. We focus...
Persistent link: https://www.econbiz.de/10005018055
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Funding liquidity risk in a quantitative model of systemic stability
Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - Bank of England - 2009
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
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Intraday two-part tariff in payment systems
Ota, Tomohiro - Bank of England - 2011
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
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Systemic capital requirements
Webber, Lewis; Willison, Matthew - Bank of England - 2011
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of …
Persistent link: https://www.econbiz.de/10009358602
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Risk news shocks and the business cycle
Pinter, Gabor; Theodoridis, Konstantinos; Yates, Tony - Bank of England - 2013
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
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - Bank of England - 2012
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents -...
Persistent link: https://www.econbiz.de/10010839048
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The impact of capital requirements on bank lending
Bridges, Jonathan; Gregory, David; Nielsen, Mette; … - Bank of England - 2014
We estimate the effect of changes in microprudential regulatory capital requirements on bank capital ratios and bank … lending. We do so by running panel regressions using a rich new data set, exploiting variation in individual bank capital … mostly recovers within three years. While estimated over a different policy regime and at the individual bank level, these …
Persistent link: https://www.econbiz.de/10010839049
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Size and complexity in model financial systems
Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - Bank of England - 2012
direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via …
Persistent link: https://www.econbiz.de/10010839052