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A DSGE model of banks and financial intermediation with default risk

Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011

This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is...

Persistent link: https://www.econbiz.de/10009293986

Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - C.E.P.R. Discussion Papers - 2015

the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign …

Persistent link: https://www.econbiz.de/10011196038

Financial Stability Policies for Shadow Banking

Adrian, Tobias - C.E.P.R. Discussion Papers - 2015

mechanisms for shadow banking that have been documented in the literature. I then illustrate the role of shadow bank policies …

Persistent link: https://www.econbiz.de/10011186633

Moral and Social Constraints to Strategic Default on Mortgages

Guiso, Luigi; Sapienza, Paola; Zingales, Luigi - C.E.P.R. Discussion Papers - 2009

We use survey data to study American households’ propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). We find that 26% of the existing defaults are strategic. We also find that no household...

Persistent link: https://www.econbiz.de/10005039578

Firm Default and Aggregate Fluctuations

Jacobson, Tor; Kindell, Rikard; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2008

This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we...

Persistent link: https://www.econbiz.de/10005504257

Banking Passivity and Regulatory Failure in Emerging Markets: Theory and Evidence from the Czech Republic

Hanousek, Jan; Roland, Gérard - C.E.P.R. Discussion Papers - 2002

We present a model of bank passivity and regulatory failure. Banks with low equity positions have more incentives to be … rates may act as an early warning signal of bank failure. We provide empirical evidence that the balance sheet information … collected by the Czech National Bank is not a better predictor of bank failure than higher deposit rates. This confirms the …

Persistent link: https://www.econbiz.de/10005123959

Credit, Financial Stability, and the Macroeconomy

Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015

Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...

Persistent link: https://www.econbiz.de/10011213304

Global Imbalances and the Financial Crisis: Products of Common Causes

Obstfeld, Maurice; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2009

This paper makes a case that the global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both have their origins in economic policies followed in a number of countries in the 2000s and in distortions that influenced the transmission of these policies...

Persistent link: https://www.econbiz.de/10008557008

Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008

Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009

The crisis of the advanced economies in 2008-09 has focused new attention on money and credit fluctuations, financial crises, and policy responses. We study the behavior of money, credit, and macroeconomic indicators over the long run based on a new historical dataset for 14 countries over the...

Persistent link: https://www.econbiz.de/10008636377

Optimal Interventions in Markets with Adverse Selection

Philippon, Thomas; Skreta, Vasiliki - C.E.P.R. Discussion Papers - 2010

We study interventions to restore efficient lending and investment when financial markets fail because of adverse selection. We solve a design problem where the decision to participate in a program offered by the government can be a signal for private information. We charac terize optimal...

Persistent link: https://www.econbiz.de/10008468692