Showing 1 - 10 of 91
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10011128859
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10011128878
This study puts the monetary transmission process in the eurozone between 2003 and 2011 under closer scrutiny. For this purpose, we investigate the interest rate pass-through from money market to various loan rates for up to twelve countries of the European Monetary Union. Applying different...
Persistent link: https://www.econbiz.de/10010601626
This study assesses how banking sector integration and especially cross-border lending affect macroeconomic stability … large banks as measured by high concentration in the banking industry has to be accounted for. I study the role of different … forms of banking sector integration - i.e. arms-length crossborder lending versus lending via foreign affiliates - for the …
Persistent link: https://www.econbiz.de/10009644901
affect cross-border banking. Furthermore, I extend the baseline model to allow for third-country effects, which have been …, is there a spatial dimension in cross-border banking? Second, if so, has it changed over time, and third, what happens if … this spatial dimension is ignored? I use bilateral data on cross-border banking assets for 15 countries over the time …
Persistent link: https://www.econbiz.de/10010896125
Patterns in cross-border banking have changed since the global financial crisis. This may affect domestic bank market … modes of cross-border banking impact bank concentration. I use a two- country general equilibrium model with heterogeneous … banking sector on bank market structures. The model suggests that both cross-border lending and bank FDI mitigate …
Persistent link: https://www.econbiz.de/10010896185
This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...
Persistent link: https://www.econbiz.de/10010783998
affect cross-border banking. Furthermore, I extend the baseline model to allow for third-country effects, which have been …, is there a spatial dimension in cross-border banking? Second, if so, has it changed over time, and third, what happens if … this spatial dimension is ignored? I use bilateral data on cross-border banking assets for 15 countries over the time …
Persistent link: https://www.econbiz.de/10010661271
banking and insurance performance, and evaluate the forecasts from our model. We find that taking unobserved common factors …
Persistent link: https://www.econbiz.de/10004963890
This paper investigates the factors influencing banks' decision to engage in advanced risk management, from both a theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and banks have become more active and advanced in the...
Persistent link: https://www.econbiz.de/10011128841