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Macroeconomic propagation under different regulatory regimes: Evidence from an estimated DSGE model for the euro area

Darracq Pariès, Matthieu; Kok, Christoffer; … - European Central Bank - 2010

developments. Indeed, the heavy impairments of banks’ balance sheets brought to the fore the banking sector’s ability to provide a … financially-constrained households and firms and embedding an oligopolistic banking sector facing capital constraints. Using this …

Persistent link: https://www.econbiz.de/10008678671

The impact of public guarantees on bank risk taking: evidence from a natural experiment

Gropp, Reint; Gruendl, Christian; Guettler, Andre - European Central Bank - 2010

In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose...

Persistent link: https://www.econbiz.de/10008752567

Loan prospecting

Heider, Florian; Inderst, Roman - European Central Bank - 2012

We offer a theoretical framework to analyze corporate lending when loan officers must be incentivized to prospect for loans and to transmit the soft information they obtain in that process. We explore how this multi-task agency problem shapes loan officers' compensation, banks' use of soft...

Persistent link: https://www.econbiz.de/10010686757

Optimal asset structure of a bank - bank reactions to stressful market conditions

Hałaj, Grzegorz - European Central Bank - 2013

The aim of the paper is to propose a model of banks' asset portfolios to account for the strategic and optimising behavior of banks under adverse economic conditions. In the proposed modelling framework, banks are assumed to respond in an optimising manner to changes in their economic...

Persistent link: https://www.econbiz.de/10010686759

Assessing interbank contagion using simulated networks

Hałaj, Grzegorz; Kok, Christoffer - European Central Bank - 2013

banking sector soundness and resilience. We find a strongly non-linear pattern across the distribution of simulated networks …

Persistent link: https://www.econbiz.de/10010709532

Bank reactions after capital shortfalls

Kok, Christoffer; Schepens, Glenn - European Central Bank - 2013

This paper investigates whether European banks have capital targets and how deviations from the target impact their equity composition and activity mix. Using quarterly data for a sample of large European banks between 2004 and 2011, we show that there are notable asymmetries in banks' reactions...

Persistent link: https://www.econbiz.de/10010717713

Banks' financial distress, lending supply and consumption expenditure

Damar, H. Evren; Gropp, Reint; Mordel, Adi - European Central Bank - 2014

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks...

Persistent link: https://www.econbiz.de/10011067238

Is there a single frontier in a single European banking market?

Bos, Jaap W. B.; Schmiedel, Heiko - European Central Bank - 2006

EU. Using a data set of more than 5000 large commercial banks from all major European banking markets over the period … 1993-2004, the application of meta-frontiers enables us to assess the existence of a single and integrated European banking … market. We find evidence in favor of a single European banking market characterized by cost and profit meta …

Persistent link: https://www.econbiz.de/10005530694

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - European Central Bank - 2002

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...

Persistent link: https://www.econbiz.de/10005530777

Deposit insurance, moral hazard and market monitoring

Gropp, Reint; Vesala, Jukka - European Central Bank - 2004

banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non …

Persistent link: https://www.econbiz.de/10005004531