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Rating Assignments: Lessons from International Banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10005000371
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EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2010
face (such as foreclosure laws). In addition, we find that ratings may respond differently to the liquidity and operating …
Persistent link: https://www.econbiz.de/10008583666
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Bank Networks: Contagion, Systemic Risk and Prudential Policy
Aldasoro, Inaki; Gatti, Domenico Delli; Faia, Ester - CESifo - 2015
entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …
Persistent link: https://www.econbiz.de/10011155379
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Contagion in Financial Networks: A Threat Index
Demange, Gabrielle - CESifo - 2015
Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...
Persistent link: https://www.econbiz.de/10011257674
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The Price of Liquidity: Bank Characteristics and Market Conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - CESifo - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …
Persistent link: https://www.econbiz.de/10005051588
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Lender of Last Resort and Bank Closure Policy
Freixas, Xavier; Parigi, Bruno Maria - CESifo - 2008
During the last decades a consensus has emerged that it is impossible to disentangle liquidity shocks from solvency …
Persistent link: https://www.econbiz.de/10005405802
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CCS - Failing to Pass Decision Gates
Emhjellen, Magne; Osmundsen, Petter - CESifo - 2014
There is a planning gap for CCS projects in Europe. CCS demonstration plants are not implemented as expected. This fact is at odds with optimistic valuation reports that apply socio-economic valuation criteria for climate projects. However, CCS plants are in most cases to be implemented by...
Persistent link: https://www.econbiz.de/10010888457
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Thin-Capitalization Rules and Company Responses Experience from German Legislation
Weichenrieder, Alfons; Windischbauer, Helen - CESifo - 2008
By granting intracompany loans to their foreign affiliates, multinational firms may reduce their tax liability abroad. Many countries have legislated thin-capitalization rules (TCRs) that limit the allowable levels of intracompany loans or restrict interest deductibility if certainthresholds are...
Persistent link: https://www.econbiz.de/10005406131
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; Thadden, … - CESifo - 2013
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10010720638
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Profit Taxation and Finance Constraints
Keuschnigg, Christian; Ribi, Evelyn - CESifo - 2010
In the absence of financing frictions, profit taxes reduce investment by their effect on the user cost of capital. With finance constraints due to moral hazard, investment becomes sensitive to cash-flow and own equity of firms. We propose a corporate finance model of investment and derive three...
Persistent link: https://www.econbiz.de/10008572543