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Balance sheet strength and bank lending during the global financial crisis

Kapan, Tümer; Minoiu, Camelia - Deutsche Bundesbank - 2013

We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy. Using data from the syndicated loan market, we exploit variation in banks' reliance on wholesale funding and their structural liquidity positions in 2007Q2 to estimate the...

Persistent link: https://www.econbiz.de/10010984738

A single composite financial stress indicator and its real impact in the euro area

Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013

In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...

Persistent link: https://www.econbiz.de/10010957158

Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis

Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, Jochen M. - Deutsche Bundesbank - 2013

sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by …

Persistent link: https://www.econbiz.de/10010957160

Crises, rescues, and policy transmission through international banks

Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - Deutsche Bundesbank - 2011

The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of asset prices. To prevent a further meltdown of markets, governments have intervened massively through rescues measures aimed at recapitalizing banks and through liquidity support....

Persistent link: https://www.econbiz.de/10009283655

What predicts financial (in)stability? A Bayesian approach

Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - Deutsche Bundesbank - 2014

This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...

Persistent link: https://www.econbiz.de/10011122558

Pro-cyclical capital regulation and lending

Behn, Markus; Haselmann, Rainer; Wachtel, Paul - Deutsche Bundesbank - 2014

to an exogenous shock to credit risk in the German economy, loans subject to modelbased, time-varying capital charges …

Persistent link: https://www.econbiz.de/10011093849

Cash holdings of German open-end equity funds: Does ownership matter?

Dötz, Niko; Weth, Mark - Deutsche Bundesbank - 2013

lasting retail-orientation is likely to be linked to their exposure to the risk of strategic investor behavior at times of …

Persistent link: https://www.econbiz.de/10010984710

Banks and sovereign risk: A granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - Deutsche Bundesbank - 2013

sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for …

Persistent link: https://www.econbiz.de/10010957143

CDS spreads and systemic risk: A spatial econometric approach

Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system …. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally … and idiosyncratic risk premium. We identify considerable risk spill overs due to the interconnectedness of the financial …

Persistent link: https://www.econbiz.de/10010957156

Sector concentration in loan portfolios and economic capital

Masschelein, Nancy; Düllmann, Klaus - Deutsche Bundesbank - 2006

substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable … model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation … developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input …

Persistent link: https://www.econbiz.de/10005082754