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Bank risks, monetary shocks and the credit channel in Brazil: identification and evidence from panel data.
Ramos-Tallada, J. - Banque de France - 2015
shocks in some estimations. Second, I check whether several types of uncertainty may drive the BLC, beyond liquidity risk …. Over the long period, I find evidence that higher market risk borne by banks' securities portfolios (captured by a longer …
Persistent link: https://www.econbiz.de/10011269008
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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 data. Using a model of sequential solvency and liquidity cascades in networks, we analyze geographical patterns of loss propagation from 2008 to 2012. We study the distribution of...
Persistent link: https://www.econbiz.de/10011212945
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Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs.
Andrade, P.; Cahn, C.; Fraisse, H.; Mésonnier, J-S. - Banque de France - 2015
that borrow from several banks, in addition to controlling for banks’ risk. We find that LTROs enhanced loan supply in …
Persistent link: https://www.econbiz.de/10011196012
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Monetary Union with A Single Currency and Imperfect Credit Market Integration.
Bignon, V.; Breton, R.; Breu, M. Rojas - Banque de France - 2015
With the Euro Area context in mind, we show that currency arrangements impact on credit available through default incentives. To this end we build a symmetric two-country model with money and imperfect credit market integration. Differences in credit market integration are captured by variations...
Persistent link: https://www.econbiz.de/10011199814
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L’identification des groupes bancaires et d’assurance d’importance systémique mondiale.
Feller J.-B.; Kersuzan M.-D. - Banque de France - 2014
Le 6 novembre 2014, le Conseil de stabilité financière (CSF/FSB) a publié simultanément une liste de trente groupes bancaires et une liste de neuf groupes d’assurance systémiques à l’échelle mondiale. Cette publication est l’aboutissement de travaux annuels du Comité de Bâle et de...
Persistent link: https://www.econbiz.de/10011201337
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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
This article analyses the dispersion of risk weights for large corporate portfolios and identifies the sources of … dispersion among banks in terms of the Basel risk parameters. The analysis focuses on loans granted by 5 large French banking … in risk parameters are not related to the composition of loan portfolios. This article uses a unique dataset that has …
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
French banks’ liquidity risk and their lending. We find that banks with a lower funding risk and a lower ratio of long …
Persistent link: https://www.econbiz.de/10011204394
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Modelling and measuring business risk and the resiliency of retail banks
Chaffai, M.; Dietsch, M. - Banque de France - 2014
risk of volatility of banking profits which relies on the estimation of a profit frontier. This methodology allows taking …
Persistent link: https://www.econbiz.de/10011204395
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BASEL III: Long-term impact on economic performance and fluctuations
Angelini, P.; Clerc, L.; Cúrdia, V.; Gambacorta, L.; … - Banque de France - 2011
questions. (1) What is the impact of the reform on long-term economic performance? (2) What is the impact of the reform on …
Persistent link: https://www.econbiz.de/10008873321
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Financial stability in the EU new Member States, acceding and candidate countries.
Diev, P.; Pouvelle, C. - Banque de France - 2008
the exposure to exchange rate risk. We identify that the main vulnerability for the banking system stems from the open … exchange rate risk. In the event of a depreciation in the national currency, the banking system would therefore be exposed to … an increase in payment defaults on foreign currency loans. We consider this to be “indirect” credit risk for the banking …
Persistent link: https://www.econbiz.de/10009391779