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Sovereign Default Risk and Banks in a Monetary Union
Uhlig, Harald - CESifo - 2013
This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...
Persistent link: https://www.econbiz.de/10010877795
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Bank Capital Regulation with an Opportunistic Rating Agency
Efing, Matthias - CESifo - 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...
Persistent link: https://www.econbiz.de/10010667420
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Credit Derivatives and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni; Ioannidis, Christos; Williams, Julian - CESifo - 2011
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10009323299
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Quality of Institutions, Credit Markets and Bankruptcy
Hainz, Christa - CESifo - 2004
The number of firm bankruptcies is surprisingly low in economies with poor institutions. We study a model of bank-firm relationship and show that the bank’s decision to liquidate bad firms has two opposing effects. First, the bank receives a payoff if a firm is liquidated. Second, it loses the...
Persistent link: https://www.econbiz.de/10005765650
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Time-Varying Exchange Rate Basket in China from 2005 to 2009
Fidrmuc, Jarko - CESifo - 2010
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10008511600
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Creditor Passivity: The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings
Hainz, Christa - CESifo - 2007
Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information about a firm’s type to its competitors. Thereby,...
Persistent link: https://www.econbiz.de/10005181562
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Finance, Control, and Profitability: The Influence of German Banks
Chirinko, Robert S.; Elston, Julie Ann - CESifo - 2003
Bank intermediated finance has been cited frequently as the preferred means for channeling funds from savers to firms. Germany is the prototypical economy where universal banks allegedly exert substantial influence over firms. Despite frequent assertions about the considerable power of German...
Persistent link: https://www.econbiz.de/10005094259
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Connections and Performance in Bankers' Turnover: Better Wed over the Mixen than over the Moor
Battistin, Erich; Graziano, Clara; Parigi, G. - CESifo - 2008
survival of top executives (Presidents, CEOs and General Managers) to bank performance and the manager’s local connections …-manager appointments. We measure the extent? of managers’ local connections by the distance between the province of the bank’s headquarters … and the manager’s province of birth. We show that top managers tend to be local in the sense that the distribution of this …
Persistent link: https://www.econbiz.de/10005094382
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Determinants of Cross-Border Bank Acquisitions in Transition Economies: A Latent Class Analysis
Poghosyan, Tigran; Haan, Jakob de - CESifo - 2008
We analyze the microeconomic determinants of cross-border bank acquisitions in 16 transition economies over the period 1996-2006. By using a latent class discrete choice model we explicitly incorporate the macroeconomic and institutional heterogeneity of the transition economies into our...
Persistent link: https://www.econbiz.de/10005405973
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Long-Lasting Bank Relationships and Growth of Firms
Gambini, Alessandro; Zazzaro, Alberto - CESifo - 2010
A puzzling but consistent result in the empirical literature on banking is that firms with close bank ties do not grow faster than bank-independent firms. In this paper, we reconsider the link between relationship lending and firms’ growth, distinguishing firms by size and “health”. The...
Persistent link: https://www.econbiz.de/10008583662