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Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?
Jiménez, Gabriel; Ongena, Steven; Peydró, José Luis; … - C.E.P.R. Discussion Papers - 2007
We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit...
Persistent link: https://www.econbiz.de/10005661943
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The Supermodular Stochastic Ordering
Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013
In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...
Persistent link: https://www.econbiz.de/10011083601
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Governance and Comovement Under Common Ownership
Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014
derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10011084086
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Increased Correlation in Bear markets: A Downside Risk Perspective
Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002
A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …
Persistent link: https://www.econbiz.de/10005124110
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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …
Persistent link: https://www.econbiz.de/10005504611
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - C.E.P.R. Discussion Papers - 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...
Persistent link: https://www.econbiz.de/10011145437
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Interest Rates and Credit Risk
González-Aguado, Carlos; Suarez, Javier - C.E.P.R. Discussion Papers - 2011
This paper explores the effects of shifts in interest rates on corporate leverage and default. We develop a dynamic model in which the relationship between firms and their outside financiers is affected by a moral hazard problem and entrepreneurs' initial wealth is scarce. The endogenous link...
Persistent link: https://www.econbiz.de/10009024482
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Modelling the U.S. sovereign credit rating
Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012
A methodology for generating sovereign credit ratings based on macroeconomic theory is proposed. This is applied to …
Persistent link: https://www.econbiz.de/10011084723
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Modeling default correlation in a US retail loan portfolio
Bams, Dennis; Pisa, Magdalena; Wolff, Christian C - C.E.P.R. Discussion Papers - 2012
This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirement in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of...
Persistent link: https://www.econbiz.de/10011083415
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Sovereign credit ratings in the European Union: a model-based fiscal analysis
Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013
We propose a model-based measure of sovereign credit ratings derived solely from the fiscal position of a country: a forecast of its future debt liabilities, and its potential to use tax policy to repay these. We use this measure to calculate credit ratings for fourteen European countries over...
Persistent link: https://www.econbiz.de/10011083470