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Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.
Gabrieli, S. - Banque de France - 2012
What influences banks’ borrowing costs in the unsecured money market? The objective of this paper is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow...
Persistent link: https://www.econbiz.de/10010575494
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Financing SMEs in Europe
Balling, Morten (ed.); Bernet, Beat (ed.); Gnan, Ernest (ed.) - Conference on "Financing SMEs in Europe" <2008, Paris>; … - 2009
Small and medium-sized enterprises are a centrepiece of Europe's economy. Due to their limited size and their generally lower creditworthiness, their access to financial market instruments is more limited than for large enterprises, which benefit from more elaborate Treasury operations,...
Persistent link: https://www.econbiz.de/10011705468
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What is the information content of the SRISK measure as a supervisory tool?
Tavolaro, S.; Visnovsky, F. - Banque de France - 2014
The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...
Persistent link: https://www.econbiz.de/10010929760
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Cross-border interbank contagion in the European banking sector.
Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015
This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure …
Persistent link: https://www.econbiz.de/10011212945
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Domino Effects when Banks Hoard Liquidity: The French network.
Fourel, V.; Héam, J-C.; Salakhova, D.; Tavolaro, S. - Banque de France - 2013
proposing a new model of banking contagion through two channels, bilateral exposures and funding shortage. Inspired by the key … Iterative Default Cascade algorithm to compute the propagation of a common market shock through a banking system. In addition to … for other banks. As an empirical exercise, we apply this model to the French banking system. Relying on data on banks …
Persistent link: https://www.econbiz.de/10010699072
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Bank Capital Adjustment Process and Aggregate Lending.
Duprey, T.; Lé, M. - Banque de France - 2014
This paper proposes a new micro-founded measure to quantify the aggregate capitalisation of banking sectors taking into …. (ii) This index correlates with future fluctuations in aggregate lending,especially when a banking system is under …
Persistent link: https://www.econbiz.de/10010797657
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Capital Regulation in a Macroeconomic Model with Three Layers of Default.
Clerc, L.; Derviz, A.; Mendicino, C.; Moyen, S.; Nikolov, K. - Banque de France - 2014
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....
Persistent link: https://www.econbiz.de/10011105999
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How may risk weights differ across banks? Evidence from the corporate portfolios of French banks.
Dietsch M.; Fraisse H.; Frappa S. - Banque de France - 2015
dispersion among banks in terms of the Basel risk parameters. The analysis focuses on loans granted by 5 large French banking …
Persistent link: https://www.econbiz.de/10011201340
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Banks’ supply of long term credit after a liquidity shock: Evidence from 2007-2009
Pessarossi, P.; Vinas, F. - Banque de France - 2015
We study the real effect on banks’ credit supply after a negative liquidity shock. Controlling for demand effects, we take advantage of the exogenous international interbank market freeze in 2007-2008 to assess the causal relation between French banks’ liquidity risk and their lending. We...
Persistent link: https://www.econbiz.de/10011204394
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Do LTV and DSTI caps make banks more resilient?
Dietsch, M.; Welter-Nicol, C. - Banque de France - 2014
This study provides responses to the question of the effectiveness of Loan-To-Value (LTV) and Debt Service-To-Income (DSTI) caps to contribute to financial stability. Using a lender’s risk management perspective, the paper provides a new methodology extending the standard asymptotic single...
Persistent link: https://www.econbiz.de/10010929761