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Catharsis - The real effects of bank insolvency and resolution

Korte, Josef - Deutsche Bundesbank - 2013

In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, leading to suboptimal real economic outcomes. A rules-based...

Persistent link: https://www.econbiz.de/10010957115

Animal spirits and credit spreads in a model with a cost channel

Bofinger, Peter; Debes, Sebastian; Gareis, Johannes; … - Verein für Socialpolitik - VfS - 2011

Shocks in the financial sector caused the great recession of 2008 and pulled down the real economy. To implement financial dynamics in a stylized DSGE-framework we use behavioral elements in expectations to produce waves of bull and bear cycles in the financial intermediation process, that have...

Persistent link: https://www.econbiz.de/10010957277

Does capital regulation matter for bank behaviour? Evidence for German savings banks

Heid, Frank; Porath, Daniel; Stolz, Stéphanie - Deutsche Bundesbank - 2004

The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We estimate a modified version of the model developed by Shrieves and Dahl (1992). This paper contributes to the literature in three ways. First, we test the capital buffer theory...

Persistent link: https://www.econbiz.de/10005082780

Forecasting Credit Portfolio Risk

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and … the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the … asset value of a firm as unknown and uses a factor model instead. In addition, we demonstrate how default correlations can …

Persistent link: https://www.econbiz.de/10005082801