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Establishing Shari'ah compliant central bank liquidity facilities

Bank of England - 2016

Persistent link: https://www.econbiz.de/10011445691

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

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

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

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

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

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

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

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

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