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This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...
Persistent link: https://www.econbiz.de/10010538811
We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....
Persistent link: https://www.econbiz.de/10005530956
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...
Persistent link: https://www.econbiz.de/10010686804
Persistent link: https://www.econbiz.de/10004719190
Persistent link: https://www.econbiz.de/10004775182
This paper examines the relationship between competition policies and policies to preserve stability in the banking … considerations for payment systems. A core part of the paper is an analysis of the relative roles of competition and supervisory … countries giving a stronger role to prudential supervisors than to competition authorities and other countries doing it the …
Persistent link: https://www.econbiz.de/10005344959
This paper analyses how accounting frameworks can affect three important areas of responsibility of many central banks, namely monetary policy, financial stability and banking supervision. The identified effects of accounting rules and accounting information on the activities of a central bank...
Persistent link: https://www.econbiz.de/10011115258
We develop and estimate a stylized micro-founded model of the US economy. Next we compute the parameters of a simple interest rate policy rule that maximizes the unconditional mean of utility. We show that such a welfare-based rule lies close to the Taylor efficiency frontier. A counterfactual...
Persistent link: https://www.econbiz.de/10005025577
This paper is the first that applies a new measure of competition, the Boone indicator, to the banking industry. This … approach is able to measure competition of bank market segments, such as the loan market, whereas many well-known measures of … competition can consider the entire banking market only. A caveat of the Boone-indicator may be that it assumes that banks …
Persistent link: https://www.econbiz.de/10005344896
policy perspective, it highlights the importance of structural reforms that help enhance competition in this sector. This …
Persistent link: https://www.econbiz.de/10009327809