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heart of a new bank liquidity channel. This channel complements the traditional bank lending channel, which focuses on small …We study how the consequences of violations of covenants associated with bank lines of credit to firms vary with the …
Persistent link: https://www.econbiz.de/10015301820
This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary … hedge interest rate risk. Hence, providing an understanding of this market and the drivers of market liquidity is a key … long-horizon swap contract denominated in EUR to construct seven liquidity measures. Taking a comprehensive approach, we ap …
Persistent link: https://www.econbiz.de/10015320846
The objective of the report is to define improvements to the repo market to better support collateral/liquidity …
Persistent link: https://www.econbiz.de/10015300037
Persistent link: https://www.econbiz.de/10015301857
In a stochastic frontier setting, we examine technical efficiency in the Middle East and North Africa (MENA). Evidence … technical efficiency profiles. The MENA have been characterized by increasing economic efficiency over time but with marked … for related studies of development technical efficiency. …
Persistent link: https://www.econbiz.de/10015298757
In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk....
Persistent link: https://www.econbiz.de/10015275831
Persistent link: https://www.econbiz.de/10015312008
into an early-warning model to predict bank distress among European banks. We use multivariate extreme value theory to … estimate equity-based tail-dependence networks, whose links proxy for the markets' view of bank interconnectedness in case of … outperform bank-specific benchmark models with- out networks. The results are robust to variation in model specification and also …
Persistent link: https://www.econbiz.de/10015298362
We analyze how corporate reorganization and liquidation change labor reallocation during bankruptcy using randomized judge assignments and linked Portuguese employer-employee and firm data. Reorganization reduces the negative effect of bankruptcy on employee earnings, even with most workers...
Persistent link: https://www.econbiz.de/10015275043
-prudential authority internalizes the systemic nature of liquidity and restores constrained efficiency by imposing a macro …I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An …
Persistent link: https://www.econbiz.de/10015301809